"200ms-400ms? delay in between each order is transmitted by Gateway and has?Submitted status"
Do you wait for the "Submit" status before submitting your next order? Can you submit orders without waiting for the status update? How do you measure time?
I placed 8 orders (3 bracket orders) for 8 different stocks and the avg time per stock (i.e. 8 orders) was 3 msecs. I have seen some stocks (e.g. NFLX) take 5-8 msecs. I do not wait for the submit status, and by the time I am done placing 64 orders, avg of ~25 msecs have passed (and this includes time from TWS callbacks and my own logic).
Not sure how much difference does it make but I tested with very liquid US stks, am using C++ and TWS GUI, tested within 1/2 hour of market open.?
