[ts-gen] order execution and connectivity problem

[Nils Gebhardt]

On Tue, 2007-10-09 at 10:24 -0400, R P Herrold wrote:
> On Mon, 8 Oct 2007, Nils Gebhardt wrote:
> 
> > I get some strange connectivity behavior. ...


> But I _am_ concernted that a MKT order took 40 minutes to fill 
> on the initial SELL.  What are the 'Regular trading hours' on 
> the exchange upon which 'GBM' trades?  

08:00 - 22:00 (CEST)  

> >From the IB site, the relevant exchange hours seem to be:
>  	07:30 - 20:00 (CET)
>  	www.eurexchange.com

this information is outdated...
 
> of 'rth'.  This is a work in progress, and so I have not 
> formally added it to the trading shim site yet, but a copy is 
> at:
>     http://www.herrold.com/commands.pdf
> 

thanks for this link!


> I see History data there, but am unsure about Timezone skew, 
> to be able to look for the OHLC data and quantity entry [i.e., 
> when did trades start after the order was entered, such that 
> Quantity > 0] in question.  The PastFilter.uid = 15 value also 
> shows additional data outside of 'regular trading hours', but 
> I am uncertain the exact time in play to look for an open and 
> trading market at the time of your MKT order.
> 

market opening was 30 minutes before the order command was logged. 



> You should be able to use this email and the command.pdf 
> reference as a template to see into the right time frame of 
> History.  Please let the list know the result of your 
> investigation.
> 

I can count 588 trade events in the time window in question. 

Actually I had the same problem in the same set up the first time some
days ago already, but that time I was rather slightly confused than
worried. I think the time gap was even worse (>100 min).  Unfortenatly I
do not know how to reproduce the scenario, usually it runs fine. 

I just picked from commands.pdf the commands 'verb' and 'open', that
might help to get more output in case the phenomena reoccurs and to
clarify weather tws acknowlegded the output of trading shim. 



Thanks 

Nils