I have a simple EnterShort or Long when some criteria is hit. This triggers as expected and shows as Submitted in Orders and occurred at 6:31 for 800 shares. The executions times really confused me.
300 shares at 6:35:28 for 40.14
400 shares at 6:36:55 for 40.02
100 shares at 6:37:39 for 40.08
There was plenty of liquidity at the time.
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