Our primary stock feed had a problem this morning. This caused late fills in our Hypothetical Fill Engine, and general unhappiness all around. I have switched to our secondary data source while I investigate. I am sorry for this trouble and will try to figure out what happened and ways to prevent this in the future.
For what it’s worth, I doubt the problem is just in the feed. I placed the same order at the same time (before open) in a test and a production system, and they were both delayed. That much could be explained by feed issues. However, the order in the production system got filled exactly when I cancelled the order for the production system (at the price for that instant), and the order for the test system got cancelled exactly when I cancelled the order for the test system, two minutes later, again, at the going price for that point in time. Hope this helps.