Is anyone else having a lag issue when sending in MARKET orders via TWS? Absolutely horrible fills lately with these MKT orders.
Thats likely to be your markets rather than latency in sending them. Perhaps some form of limit order to manager the acceptable slippage. Or use stops so that they are on the server rather than having to add ... delay of data + delay of you + delay of order + server translations to the process.
Surprised you don't use a better front end like NinjaTrader which does work with IB since you are obviously a professional trader who does this for a living.
I know Ninja trader adds a lot of atm strategic advantages among other things, but are you sure that it adds speed when used with IB data to orders being executed? I was always curious about this as intuitively it adds another layer if you use the web based server trading platform option and NT stores the orders, stops on your machine---isn`t that creating even more of a speed delay? I don`t know but what are your experiences of using NT with IB in terms of execution speed versus just entering using booktrader-stictly from a speed perspective---not all the other advatages NT offers?
I use it with zenfire, but my understanding since I have had my computer turned off sometimes, is that orders sit at the exchange. The problem is that if you are doing a strategy for example say a trailing stop or if 1 contract hits target, 2nd contract stop moves up by so much, you do need to have your computer running. Also, NinjaTrader works on different layers to connect, so it replaces TWS, it does not act as a layer on top of TWS as you suggest, and market orders go in as fast if not faster than TWS. The problem with futures for any type of market orders, means you are accepting the bid vs a limit order that gets you the exact price. For example, if the ES is trading at 1085, and you want to sell market order, no matter what platform you are using, you will get filled at 1084.75 and lose .25, which is only fine if you think the market is going to go lower before you reach your target of say 1085. I would rather use limit orders to get out at 1085, so that means sometimes the market needs to go through 1085 to get you out at that price.