Why orders get rejected right at the start of a new minute

[Fairman]

Why orders get rejected right at the start of a new minute

Some scalpers notice a strange cluster of rejections or delayed fills in the first second or two after a minute rolls over. It looks random until the timestamps get lined up.

Several things can converge there. Many algorithmic strategies fire on bar close, so a wave of orders hits the same liquidity at the same instant. Price feeds can also stall slightly while the platform builds the new candle. Bridge software sometimes batches requests on a timer, which creates a small traffic jam.

For a scalper entering on bar-close signals, the result is a systematic disadvantage. Everyone is reacting at the same moment, and the book thins out for a beat.

One fix is to randomize entry timing slightly. Waiting two or three seconds after the close, or entering on a tick-based trigger inside the bar rather than at the boundary, often improves fills noticeably.

It will not turn a bad setup into a good one, but it removes a hidden tax that most backtests never include.

Has anyone compared fill quality at second zero against second five on the same strategy?