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I happen to be working on this area right now so I will confirm this later, but it appears IB is watching the live data and when it sees a trade that matches your simulated trade it fills your order accordingly. So if you have a limit buy order for 1000 shares of AAPL at $123.00 it waits until...

Tommaso, Are you using SMART for downloading market data? If so try using ISLAND or some other high volume ECN instead. That might also cure the freeze you are seeing. I was having problems with "negative spreads" as well and found that SMART was reporting bid and ask prices as the "best"...

Some exchanges do not have native support for stop orders so IB simulates them. Is the order with "IB" placed on a different exchange? If so the "IB" may mean it is a simulated stop order. Just a guess.

You might have more luck with that question in IB's TWS API forum located here: (registration required) http://individuals.interactivebrokers.com/cgi-pub/discus/discus.pl I'm programming using the Java API so I can't be of much help, but there are people using C# and C++ on that forum.

There was a post here by SideShowBob earlier this month about hosting his ATS on http://vpsland.com. He was using http://www.1and1.com but was having problems making the transfer. VSPLand looks very reasonable but I would wait for a good report from SideShowBob first.

I continually read these posts telling me how bad IB's data is and that is not my experience at all. The realtime data from IB although not perfect because of how they aggregate does not lag when volume swells like some quote services do. So unless you want to pay for a data link fast enough...

I think you're on the right track. My backtesting framework is written using IB's api and my approach is to save IB's market data exactly as it came in during live trading. I do nothing to "sanitize" the data and even insert tokens in the data stream as I save it to indicate when the server...

Sorry I missed that. Must have been my bad character encoding. :)

I found a fix in case anyone else is having this problem with FireFox on ET. Under the menu item "Tools" select "Auto Select" for Character Encoding. I still don't know why NONE of the other character encodings work on my machine, but "Auto Select" fixes it. Strange.

Thank, I guess there is something bogus with my machine. I'll try the FireFox site.

My only beef with FireFox is that it doe not show certain characters on some web sites, ET included. What do you see in the lower right side of these posts? I see this: Edit/Delete � Quote � Complain Note the question marks. In IE I see a bullet character. FireFox shows...

What framework are you using if you don't mind me asking? Does it allow you to use the same exact data for real trading as for backtesting? In other words, can you save the exact tick data you used for trading and "replay" the session repeatedly to tweak your strategy?

Unlike most systems I am downloading ALL the data including ask/bid. This is for an ATS I am writing from the ground up, I probably should have been more clear in my first post - sorry. This makes it possible to develop strategies that are more "tape reading" oriented, not based on watching...

I agree. I am moving to futures. It might be nice to test what effect the underlying index or stock price movement has in relation to a future. Uncrossed asks and bids might come in handy for that but for simulating trades I think I'll tune it for just futures, at least for now.

Here are some more results since my last post focusing on IWM. Rather than using SMART for the exchange I monitored each exchange individually. Here are the results for Thursday of last week which was a particularly bad day for crossed ask/bid: So it appears that ISLAND is the best...

Are you saying I only look at bid/ask crossing my limit price without taking into account the price and size of actual trades? That might work OK for ES during RTH but I'm looking for a more general set of rules (trading multiple markets & timeframes). For example while ES trades at ask and...

With limit orders the question is would you really have been filled at that price. That depends on how many were before you in the queue when you placed your order. As I described it the simulator would always give you a fill even if there was only one trade at that price. A better approach...

IB's market data stream contains ask, bid and last price plus volume info so there should enough data to make backtesting a good approximations of real trading but there are some pitfalls. Rather than go over my mistakes I'll jump right to my proposed new system. I've lost count of the...

So are you implying smart fund managers leave to make their own personal fortunes and the managers left behind are the under-performers? It seems to me that could very well be true. From my own experience I can make more on a percentage basis trading a smaller amount. If I go too low then...

Change your simulation to use a billion or two as starting equity and see what your positions sizes would have to be. Generally, what works for us "little people" does not scale up so well trying to trade billions. That's why it can work, we are able to live off crumbs, like cockroaches. :)