WL7-IB-extension-has-5-secs-delay-in-sending-orders

I noticed that WL7 takes 3-7 secs to stage an alert. The next 1-minute bar streaming begins 3 to 7 secs late instead of 1 sec past the minute. The moment next 1-minute bar shows up alert is generated almost in an instant. Overall, it takes 5-9 secs to get order filled by TD.

Here's the breakdown of the delay:
1) Alert show up 3 to 7 secs past the minute as the next minute bar shows up 3-7 secs late.
2) It takes another 2-4 secs for order to show up as a 'Working order' In ThinkorSwim.
3) The moment 'Working order' is visible it gets filled in < 1 sec (instant) by TD.

It seems most of the delay is coming from WL7 + communication with broker API. The moment, order is in the broker system it gets filled fast. Not sure why the next minute bar streaming is not quick enough. Is it related to machine CPU? I'm running WL7 on quad-core Intel i7 processor.

Here's the snapshot showing alert placed at 9:12:07 local time or 7 secs past the minute


Here's what it takes for order to get filled by TD. It shows 5-9 secs. I noticed that both buy and sell to-open orders take another 4 secs. Not sure if that is coming from TD side as both to-open and to-close alerts get generated at the same time.



With WL6.9, overall delay is only 1 sec past the minute to get order filled by IB. Please investigate this. This is crucial for intra day trading as more than 5 secs delay doesn't give the best fill price.

Here's the snapshot showing when the same 9:12:07 alert got filled by TD.

Since you're mixing IB and TD above, is it correct to assume you're using IB for streaming and TD for trading?

QUOTE:
I noticed that WL7 takes 3-7 secs to stage an alert.

Are you using a streaming chart or the Strategy Monitor? If the latter, are you using the streaming or polling method? Check the configuration.

QUOTE:
Here's the breakdown of the delay:

1) It just occurred to me that if using a streaming chart, it's possible that the heartbeat isn't occuring on time. IB doesn't provide a heartbeat, so we subscribe behind the scenes to EURUSD and use its trades for the heartbeat. If neither your symbol nor EURUSD trades at or just after the minute mark, then there will be a delay before the bar closes, which is when the strategy runs.

Update - Actually we get a consistent 5-second update for this EURUSD "streaming bar" subscription, so the IB heartbeat is very accurate.

2) << It takes another 2-4 secs >> - Once the order is placed, there's nothing more we can do. IB is definitely much faster at activating an order than TD over the API.

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This is crucial for intra day trading

I agree that any artificial delay is generally not desirable.

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as more than 5 secs delay doesn't give the best fill price.

But you'll have to agree that sometime a delay will actually give you a better price! Market order slippage works both ways - only in a backtest is it always a negative.

So that we can evaluate the ticks for the trade times, what time zone are you in? Given the trades starting at 09:12 in Post #2, it must be at least CST unless you're trading premarket.

I'm not mixing IB and TD. Since this was a question about about delay I wanted to post in the same thread. I'm streaming and trading using TD in Post #2.

QUOTE:
Are you using a streaming chart or the Strategy Monitor?

I'm using a streaming chart. Do you think Strategy Monitor will generate faster alerts?

QUOTE:
IB doesn't provide a heartbeat.

Does TD provide a heartbeat?

QUOTE:
what time zone are you in? Given the trades starting at 09:12 in Post #2, it must be at least CST unless you're trading premarket.

Yes, I'm CST zone but my streaming charts are in EST. I see alert time stamps are listed in local time zone CST.

Does the latest build have time improvements in placing orders?

QUOTE:
I'm using a streaming chart. Do you think Strategy Monitor will generate faster alerts?

No.

QUOTE:
Does TD provide a heartbeat?

For TD, we subscribe to QQQ behind the scenes to get frequent updates to use as a heartbeat. A streaming bar is closed as soon as there's a tick in the next interval for either symbol.

Correction on the IB "heartbeat" in Post #3 - we actually get an update for the EUR/USD "streaming bar" subscription every 5 seconds. This is an accurate heartbeat.

QUOTE:
Does the latest build have time improvements in placing orders?

Let's be clear - there is no delay in placing orders that are signaled. I think we're actually talking about generating the signals if the bar doesn't close quickly at the end of the interval, correct?

Even though Build 16 uses a different 'callback' for the stream, it should have not had any effect on closing the bar more quickly. I was looking at this quite closely for a couple weeks and didn't notice a delay, but I'll take a look again next week and pay close attention to closing an interval even when the instrument hasn't created a tick in the next interval.