I run a live system (with realtime data from IB) and am using the RightEdge paperbroker with the "Use bid/offer to calculate fills if available " option enabled as my broker.
Am running 1min bars, and sometimes the trade stays in the pending orders for quite some time (2-5bars) although there is a bid offer available and the order is a market order. Am using 1lot (position size) every time which is the minimum, hence the bid/offer size is not an issue. That way as far, as I understand, when I have a Sell Market Order it should fill me immediately by hitting the first bid (or by lifting the first offer if I have a Buy Market order).
However, this is not the case, does the paperbroker wait for an actual trade to take place before filling me?? ie Volume to change??
I am also assuming that my fill is the bid or offer price (Sell/Buy) that way I have the bid/offer effect within my resulting pnl. Is that correct ??
Any advise would be much appreciated