Recent content by ericholtman

Not particularly. I already track skid in my trading system. So I know, if I place a market order, what the quote was going in, and what the VWAP is on the executions. If I switch over to Arrival Price (or any other algo), I'd compute the skid the same way. I'm not interested in...

Oh, I've seen the marketing literature. I was wondering if anyone had any actual trading diagnostics they were willing to share.

Looking for slippage data, i.e. quote was "X bid, Y ask" when I sent the order, average execution was "Z". Thanks.

I'm currently using NxCore as my primary market data source, and using CSIData for end-of-day as a secondary source. I'm looking to add another data provider, so that I can have something to doublecheck NxCore's reported dividends and splits. I can't use CSIData for this, because they don't...

Huh? 1) Settlement is T+3. They aren't "fully paid for" until T+3. 2) Did you agree to allow IB to load your shares (if you have a margin account, I bet you did)? If so, why complain now.

Unless I misunderstood what you had, I thought you only had a list of "hard to borrow", without the rates. If you actually had daily copies of those files (with the amount and indicative rates for borrows, and long/short initial margins), I'd be interested in getting copies.

(I think I've asked this here before.... it's like a yearly quest). looking in particular for the files: ftp://ftp2.interactivebrokers.com/usa.txt and ftp://ftp2.interactivebrokers.com/margin_stocks.txt

I currently use CSIData for daily OHLCV data. I'm considering paying up for their historical database of all stocks, including delisted ones, so that I can augment our backtesting to eliminate (some) survivorship bias. However, some of our models use marketcap as an input, and so I'd need...

I know you can download the data from ftp://ftp2.interactivebrokers.com/usa.txt and they update that file (at least) once a day. Does anyone out there have historical versions of that file, that they would be willing to share with me, so that I can the hard-to-borrow and indicative...

Heh..... seems to have resolved itself. Step (1) post to elitetrader Step (2) data is fixed. . . . profit!!!!!