Please excuse my English I'm from Germany and my English is very rusty.
I have a connection issue using IB for day trading which affects the real time order execution with IB. You will probably only recognize it as a discrepancy in your personal order price tracking and the order price under which it is executed through IB. I created a support ticket at IB which is under work but no solution in sight. If it is not solved I will quit IB.
My Environment:
I use
NinjaTrader's API to generate orders from NT
DOM or chart trader in IB Trader Workstation. I have DTN IQFeed for the chart real time. I have strategies running for automated trading.
The issue:
I wondered that orders I placed in NT occasionally where not executed in IB or why the prices at which the order where executed at IB differ so much from the trade log in NT.. When I checked the log files in NT and IB I found periodically "connection loss and re-connect due to socket errors with the IB data gateway servers" entries in the IB TWS logfile.
After help through the NT support and installation of the new TWS version through the NT support guys the issue could not been solved.
I opened a ticket at IB 4 weeks ago. IB Support gave me a link to an non-public TWS version. The disconnection issues disappeared. So this is an software issue from IB. You will perhaps will not recognize it - it depends on the way you trade - because its symptom is an increases in the latency of the order execution time to 40 - 180 seconds. If the TWS Software detects that connection loss it tries to reconnect which most of the time is succesfult. But when you wonder why your profit is less than expected or your loss greater than expected check the TWS logfiles for those connection errors and you have the reason.
Btw. this is not an internet connection issue (IB confirmed that). My IQFeed connection is stable and fast you cannot not wish to have a better connection.
If somebody wants to have a copy of the conversation with the IB support or a copy of the TWS logiles I'm more than happy to send or publish it.
Manfred