Latency in placing/adjusting orders
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Hi,
This is On and Off so to speak. Lately this has been worse – I think due to more volatility. But actually it is quite often that an order stays “grey” a too long while before it is accepted. This is an IBKR thing.
The “Latency” is not really that but merely the processing time at IBKR (and possibly beyond). With IG I never saw this issue.Peter
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According to my own measurements, round trip latency from Paris to the instances in the USA (via Switzerland) is 200ms. This is the latency which matters.
In practice we may be able to see 20-40ms from the PRT data itself – this can be derived from what you see below from the orders list and when you click that text icon next to the mouse arrow.This data is to be interpreted very carefully, because it involves all sorts of “matter” you can’t see but is there. For example, the difference between the 2nd line and the 3rd line (3ms) may not be a feed back via the Exchange, but an “accepted” order by the broker, which WILL be executed at the exchange. Notice that this -from my example- was a Market Order and that Limit Orders may turn out to be treated very much differently (like maybe needs feed back by the Exchange towards the broker, which causes a double roundtrip from Broker to exchange (which theoretically is from Switzerland to Chicago and back (and that two times) for CME orders.
Quite many variants are possible.In your case – and I can’t emphasize this enough – it is IBKR herself who messes up.
This happens so often that changing Limit Orders each 1 second is totally impossible, because within a few minutes you will send the next Limit Order while the first has not been dealt with yet**. This will cause your autotrading system to be thrown out (never mind you don’t do that – so just telling about what practice predicts).**): Notice that IBKR has a virtual 1 second to deal with your order, when the TimeFrame causing Pending orders (Limit / Stop) is 1 second.
got reply from PRT and thougt I share this.
Could you please share the literal response you received from PRT ? No need to copy-paste names of course.
We like to know this, because usually PRT needs to make up some story because of something painfully failing while almost all can be solved by PRT themselves if they only know what to do. All data is of importance here because they need to be told what to do (mind you, they themselves are not traders experiencing these issues so in the end they can use all the help available). And FYI please notice : while you experience the lag and an unwanted deeper StopLoss, the AutoTrading guys will have kicked out their systems unwanted and unexpectedly.
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Sorry for “my latency” . The log data shown below. What was taken place during “Pending” is not known or communicated. I would like to say that PRT costumer support handled this i very good order, but all together I have had to readjust the way I take trades an place my orders. I only try to take trades where the risk/reward allow for greater slippage. Thanks for your insight and I have used “market order” among “limit orders” to iniate trades but my real issue have been with the “stop loss orders”.
Time (log)Time (event)StatusOrder PriceLimit PriceExec PriceOrder QtyQty exec
13 Nov 2024, 14:30:07.74313 Nov 2024, 14:30:07.720 DONE 2 407.30000.00002 409.4000 1
13 Nov 2024, 14:30:06.19313 Nov 2024, 14:30:06.137 PENDING 2 407.30000.00000.0000 0
13 Nov 2024, 14:30:06.15213 Nov 2024, 14:30:06.132 TRANSMITTED 2 407.30000.00000.0000 0
13 Nov 2024, 14:30:06.09413 Nov 2024, 14:30:06.084 INTRODUCED 407.30000.00000.0000 0
13 Nov 2024, 14:10:04.56413 Nov 2024, 14:10:04.559 INACTIVE2 407.30000.00000.0000 0
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