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Market order time delay


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Market order time delay

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  #1 (permalink)
 WoodyFox 
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Anybody else experience Market order delay this morning on MNQ (09-21)?

My strategy placed 2 contracts long on NQ with no delay but my one MNQ Market order long at the same price filled 9 minutes and 49 seconds later and nearly 150 ticks off the price triggered. Weird Time delay...Just glad it was my micro instead of the mini's.

I literally thought it just failed to trigger until the execution showed up later.

Crazy thing is, I almost always get better Market fills with MNQ than I do with NQ.

LOL, Every once and awhile...something weird happens with NinjaTrader. Who knows.

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 Mich62 
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Today was rollover day and maybe you followed the automated NT instructions (pop-up) and did rollover today (to the Sept contract). I always wait 1 day because the volume in the new contract is very low (which can cause unpredictable fills). Maybe that caused the problem? I traded the MNQ June contract without noticing anything strange. I see now you wrote MNQ 09-21. I think it's better to wait 1 day with rollover. Check the volume.

Today's volume in the June contract:

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 WoodyFox 
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Mich62 View Post
Today was rollover day and maybe you followed the automated NT instructions (pop-up) and did rollover today (to the Sept contract). I always wait 1 day because the volume in the new contract is very low (which can cause unpredictable fills). Maybe that caused the problem? I traded the MNQ June contract without noticing anything strange. I see now you wrote MNQ 09-21. I think it's better to wait 1 day with rollover. Check the volume.

Today's volume in the June contract:

Agree it Could be Rollover Volume.

I have been rolling Wednesday night at midnight for a few years now on NQ.
Of course the Strategy does not always take a trade first day, but when it does, I haven't had an issue.

(The Trigger was also on the 9:40 AM EST Bar...so just after open)

I would accept massive slippage but not such a time delay to complete my order.

It cost me 150 Ticks (75 bucks) but the trade is still open so to be determined if its a bigger loss or smaller profit.

Cost of doing Business.

If it was one of my contracts on NQ at $750.00...that might just eat at me though.


But your probably right. Thanks for your insight.

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Cutloss
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i had an 8 second delay for a 20 seconds and i was fing pissed

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 tr8er 
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WoodyFox View Post
Agree it Could be Rollover Volume.

I have been rolling Wednesday night at midnight for a few years now on NQ.
Of course the Strategy does not always take a trade first day, but when it does, I haven't had an issue.

(The Trigger was also on the 9:40 AM EST Bar...so just after open)

I would accept massive slippage but not such a time delay to complete my order.

It cost me 150 Ticks (75 bucks) but the trade is still open so to be determined if its a bigger loss or smaller profit.

Cost of doing Business.

If it was one of my contracts on NQ at $750.00...that might just eat at me though.


But your probably right. Thanks for your insight.

Yes, yesterday was roll-date, but NQ always rolls very late, so rolling NQ on roll-date is a bad idea. Yesterday the volume of the June-contract was round about 10times the volume of the Sept-contract. The NQ rolls most of the time on Monday after roll-date. The ES rolls most of the time the day after the roll-date.

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 tr8er 
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Mich62 View Post
Today was rollover day and maybe you followed the automated NT instructions (pop-up) and did rollover today (to the Sept contract). I always wait 1 day because the volume in the new contract is very low (which can cause unpredictable fills). Maybe that caused the problem? I traded the MNQ June contract without noticing anything strange. I see now you wrote MNQ 09-21. I think it's better to wait 1 day with rollover. Check the volume.

Today's volume in the June contract:

You are right because of the roll-over, but a 10min delay of a market-order has nothing to do with low volume, a market-order should always get filled immediately.

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 Mich62 
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tr8er View Post
You are right because of the roll-over, but a 10min delay of a market-order has nothing to do with low volume, a market-order should always get filled immediately.

Yes, you're absolutely right. Low volume can cause slippage but not the delay we're talking about. But then what caused the delay? The hardware (computer), the software (NT lagging), connection/network issues or issues on the broker/exchange side?

The trace file (..Documents\NinjaTrader 8\tracetrace.20210610.00000.txt) shows timestamps per order state. Maybe there's an explanation. Maybe @NinjaTrader can explain?

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Mich62 View Post
Yes, you're absolutely right. Low volume can cause slippage but not the delay we're talking about. But then what caused the delay? The hardware (computer), the software (NT lagging), connection/network issues or issues on the broker/exchange side?

The trace file (..Documents\NinjaTrader 8\tracetrace.20210610.00000.txt) shows timestamps per order state. Maybe there's an explanation. Maybe @NinjaTrader can explain?

Our support team is best able to help understand where the delay may have originated from.

https://ninjatrader.com/Help

Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
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Cutloss
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the delay was caused by the convenience gateway being flooded with orders for all futures no matter what symbol! and other bottle necks especially risk check at your fcm!!!

if you have direct access no risk check! and market segment gateway..the convenience gateway also has lower bandwidth!!! go figure

this is simple..to understand..quotes keep flowing..no risk check!

also your competition may flood the convemience gateway with orders..especially since it happened at that juicy bottom!!

not illegal if not caught or not too many orders

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 tr8er 
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Cutloss View Post
the delay was caused by the convenience gateway being flooded with orders for all futures no matter what symbol! and other bottle necks especially risk check at your fcm!!!

if you have direct access no risk check! and market segment gateway..the convenience gateway also has lower bandwidth!!! go figure

this is simple..to understand..quotes keep flowing..no risk check!

also your competition may flood the convemience gateway with orders..especially since it happened at that juicy bottom!!

not illegal if not caught or not too many orders

Maybe, but he is talking about 10 minutes and not seconds

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