How fast is IB order execution?

Discussion in 'Order Execution' started by maciek, Feb 21, 2012.

  1. maciek


    I am using ninjatrader simulator. There is a setting called "immediate fills." Does interactive brokers have close to immediate fills? Or is ninjatrader realistic when it comes to fill times. Since ninjatrader takes forever to fill an order in the simulator.
  2. If it's a marketable order, snap your fingers and the order is filled.
  3. No, he has a good point.
    This sort of thing is measured in milliseconds.
    Is it 100, 500, 1000 ...which ?
  4. Using my <a href="">bot</a> i usually get fills (lmt orders) in the range 100-400 ms for the round trip (to rome)
    but my connections isnt particularly fast (residential mc-link)

    IB paper trading fills are usually significantly slower than real trading fills (fx in particular).

  5. I'm at around 500ms on IB as well. You can't trade anything that requires pinpoint accuracy with IB, your slippage will be terrible. You have to factor in slippage of about 2.5-3 x the bid-ask spread in all your models to be on the safe side.
  6. In real trading, I am not actually seeing any slippage and practically all my executions are "immediate", at least compared to the timeframe of the strategies which make sense to play when one is not colocated.

    But it may also depend on the instruments traded. Clearly one must carefully formulate the lmt price.