I am doing some testing using RAPI to run my code, and R-Trader to review / evaluate my orders. I notice that often times there is some latency reporting back my order state.
As an example this is an example of what I see sometimes,
- I submit a resting limit order at a bid price of 100.
- I receive a message that my order is now open, and resting in the queue at 100.
- After my order is in an open state, the market moves down to a bid price of 99. However I do not receive a message that I was filled at 100.
- From here, the market moves up to 105. I don’t receive any message at this point.
- Finally the market moves back down to 99, and I receive a fill.
It seems that there is either some built in latency in the messaging in the SIM, or I am hitting some blocking in my code, and need to free up my messaging method 100% by putting everything else onto separate threads. Before I get into creating thread pools and doing further optimizing, I just wanted to check and see if there were any known latency settings built into the SIM by design, and if so, if there would be any way to change them.
Thanks in advance!