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"How can I troubleshoot entry orders not filling?"

By Dave Mabe

Here's a question from Angel R. (name used with permission):

Angel R.:

I've been testing an intraday trading strategy. I wanted to ask you about the following:

I'm trading with IB-Gateway on a VPS located in the US. Everything looks good, but lately I've noticed a delay in IBKR executing my entry orders (more than 10 seconds, up to 1 minute!), which includes increased slippage in the entry price. I use a market order for my entry. I have a safety mechanism in place to cancel the entry order and the bracket order after a 15-second delay if they aren't executed. I implement this by canceling the parent order.

I had considered using a limit order for my entry, but I'm worried that the placed order might not be executed.

What do you think of this approach? Is there a better way to handle this situation?

Dave:

Interesting situation. I'm surprised that you would see such a long delay in the execution of a market order.

The first thing I would do is send a message to IBKR support about the order and why it didn't execute.

It will take them a bit to get back to you, but they should come back with an answer about the specific order.

In the meantime, I would add some debug logging to your software to log when certain events happen, for example:

  • Signal triggered

  • Orders generated

  • Orders submitted

  • Orders rejected/canceled

This way, you have a complete forensic picture after the fact that you can use to figure out where the delays are.

Using the IBKR gateway (versus TWS) is a good idea for this type of setup to minimize the memory footprint on the VPS, but I like using TWS to view the orders and modify them if needed.

Here are the non-default fields I add to my orders grid in TWS:

  • Submit Time - time order was submitted and made live on IBKR order servers

  • Details - one field that shows the applicable price field for orders: i.e. limit price for Limit orders, stop for Stop orders

  • Start Time - the good after time for the order (for timed exits)

  • End Time - the good until time, mostly for entry orders

  • OCA Group - the one-cancels-all group id

  • Order Ref - can be used as a client field for use in your program - I normally include the strategy name

  • Fill Price - fill price for the order, if executed

I would also look at Time and Sales at the time of your order to see what the market looked like, and then brainstorm a different approach to get a fill without too much slippage.

You can use T&S to see what the best limit price you could have used for the entry order that would have gotten filled.

Thanks for the question, Angel, and for sharing with the group.

-Dave

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