Hi, I have been placing orders via Kite Connect APIs for quite sometime. I calculate the expected price for the order quantity based on market depth I receive in websocket tick feed. I understand that slippages are likely for MARKET orders. Earlier I used to get 0.03% on an average(and 0.0% median) slippages. However, for last 3 weeks or so, the slippages have increased to 0.3-0.5% suddenly for almost 30-40% of the trades I place. The code is same and there is no additional network delay. Zerodha orderbook gives timestamp upto the level of seconds. I observe that orders are placed and executed in the same second.
Has anything changed in the tick feed snapshotting or order execution or something else? This sudden lag in the tick feed is handicapping me:( Even if I place LIMIT orders based on the price I see in the tick feed, significant of them would not be executed given the lag(/slippage) in the feed. (I tried with kite.quote api in place of tick feed and the slippages have remained the same. **0.3-0.5%** slippages for 30-40% of the trades is HUGE!)
If required, I can also share the order details with Zerodha team over emails.