while i haven't picked up a Shield (yet lol) both my compact and full size MP 9's have ran perfectly on Blazer brass, Remington UMC, and Herters (Cabelas) 115 fmj.
They have been 100% flawless (2600+ rounds) and i normally pick them up in the $10-12 range max for 50 at Gander, Cabelas, and even Dicks when on sale.

OP, in my Shield research, seems some have also mentioned from an accuracy stand point that 124 grain does better for them over 115.
Perhaps grab a couple boxes of the same brand but different grain to compare for yourself to see what works best for you.