> However, I wonder why the system says it expects at 10.00.04 a fill of > 1327? It could have expected so a 10:00:00, but not > four seconds later.. > > Here is your explanation:
07/26/1116:00:00.407SecondNature2Placing order 75 07/26/1116:00:04.923 SecondNature2Order 75 is filled. Average fill price: 1329.5. Position: 1 At 16:00:00.407, your system places an order. The market price at that time is 1326.75 - 1327.00, so the order is expected to fill at 1327. However, it take 4.5 seconds to execute your order, and by that time, the market is already trading at 1329.25-1329.50, so your order fills at 1329.50. As a result, you are hit with the 2.5 points slippage. For comparison, my average execution times are between 100 and 400 milliseconds. Ultimately, you need to address the quality of your network connection and the latency. You are located in Germany, and trading the ES in Chicago, so there is quite a bit of distance. You may want to host your trading system closer to the exchange. Additionally, I see a lot of messages in your log related to lost connections and market data resets, which tells me that your network connection quality is not that great. There are a lot of hosting services out there, so you may want to do some research. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
