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IB order execution delayed ?!

Hi All,

I am running an algo on local computer connected to IB Gateway. I have observed that orders are sent on right time by the algo (log files), but when I check  IB account, I was surprised to see that orders executions sometime differ significantly: from few seconds to 6 minutes ?!

I found out that my computer time clock was around 1-2 minutes behind, and this will account for 2 minutes difference, but not for the 6 minutes delay I see.

The issue is that if this happenes at the end, my order is actually scheduled to be executed on next day market open.

 

I also recall that some time ago, I had same problem (few min execution difference), when I ran algo from QC web interface using IB account.

Has anyone observed similar delay with IB? 

Thanks

Nik

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.



IB is actually known for giving a very good execution time.

https://www.interactivebrokers.com/en/index.php?f=/en/general/about/mediaRelations/06-05-08.php?ib_entity=uk

"In addition, TAG also reported that Interactive Brokers executed orders six times faster than the rest of the industry, at a speed of 0.9 seconds vs. an industry average of 5.6 seconds. The analysis included all market orders of size less than 10,000 shares."

 

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Thanks JP B for the link!

I also think that this cannot be execution issue on IB site, but most likely something in between or the reprot shows wrong timing (which does not sound probable either).

I guess IB study counts the timing from the moment they receive the order.

I had similar issue during March when running 2 algos (same code) on QC web interface with resolution 1 sec - one algo on QC paper account and one on IB account. All executions were exactly the same second, but there was one which was 1min 7sec late on IB.  

The common between current case and March issue is IB Gateway. But I have not found complains on internet for this matter - only disconnect problems.

thx

Nik

 

 

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Hi NIk, if you have a bug report with LEAN (running locally) please submit an issue to https://www.github.com/QuantConnect/Lean along with the associated algorithm and logs. There are no known issues with interactive brokers order submissions but I'm happy to help diagnose your issue on github. What you run locally and what we run live in the cloud are very different so we cannot compare apples to apples.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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