Did any of you experience order execution lag today after submitting orders into IB's API Excel?

Discussion in 'Interactive Brokers' started by SteveM, Sep 20, 2021.

  1. SteveM

    SteveM

    I submit orders into using IB's excel DDE spreadsheet that is linked to their API (I believe that is how it all works). On a day where there is a ton of trading activity on the market open (like today), I notice there will be a significant lag from when I submit my orders, to when my orders actually hit the IB servers and get executed.

    This delay seems to happen on any day where the S&P 500 opens down by -1% or worse. Have any of you experienced similar, and do you have any ideas on how to resolve it to improve executions? The problem isn't getting the orders submitted, the problem is in the lag between when I submit and the timestamp of when these orders actually execute. Thank you for any advice you may be able to give me.
     
  2. 2rosy

    2rosy

    what are the timestamps?
     
  3. SteveM

    SteveM

    I submit a market order at 9:30 AM, and immediately get a "submitted" notification on my TWS platform....the trade then executes after a large delay. Today the "submitted" order didn't execute until 9:31:15 AM, despite being submitted at 9:30 AM....again, this was a market buy order.
     
  4. Yep, I experienced delays of just over a minute at today’s open as well. It’s not something I’ll look into unless it happens two or three days in a row.
     
  5. KCalhoun

    KCalhoun Sponsor

    Out of 71 orders fdly 3 lagged 10s or so, others fine
     
    murray t turtle likes this.
  6. KCalhoun

    KCalhoun Sponsor

    That's unusual, was it liquid eg > 20k shares/minute volume?
     
  7. SteveM

    SteveM

    Glad to hear I'm not the only one experiencing this problem. This is the 4th time this has happened to me since I have been submitting orders through IB's API via their Excel DDE spreadsheet.

    The problem is that if you are a systematic trader, days like today are when you want your orders filled immediately with no bullshit, as they present the best opportunities of the year.

    It always happens when their is an overnight gap down in the S&P500 futures of at least -1%...my theory is that on these "panicky" days, IB's servers get hit with an increase in orders and therefore things move through the system much slower.

    The conspiracy theorist in me believes IB is intentionally holding back orders from retail traders so their institutional clients can get filled first....which sounds like conspiracy nonsense, but we've seen similar things happen at Robin Hood, Schwab, and even Vanguard will experience "technical issues" and not allow people onto their website on days were markets are extremely volatile.

    Reminds me of the quote "when the time comes to leave, you won't be allowed to."

    I hope I am wrong about all this speculation.
     
    murray t turtle likes this.
  8. SteveM

    SteveM

    No, it wasn't a liquidity issue at all...ETFs that trade millions of shares daily....and it was a market order.
     
    murray t turtle and KCalhoun like this.
  9. How was your fill? Price improvement? Worse, better, same ? Could be the market order has to wait to the MOO orders fill or they flash a dark pool or just that when the exchanges are busy the exchanges reports are delayed or they have so many trades they have delays reporting. Look at T&S at the exchange as well.
     
    murray t turtle likes this.
  10. %%
    DOES sound unusual slow, but i would be more concerned about a bad fill.
    I've had slower on FED days around 1;00 CST,+ open price.....a fairly common pattern.
    FOR sure, for sure i would eXpect more+ more slippage on open+ last 15 minutes, even if on a liquid etfs+ fast fills.
    But for entry on open or exit on open i would suggest order resting waaaaaaaay before market open..............................................................................................................
     
    #10     Sep 22, 2021
    SteveM likes this.