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You need to start with a profitable strategy then consider automation.

For whatever it is worth, I have reviewed a fair number of tear sheets from both hedge funds and CTAs that trade options and there tends to be a material difference between from backtesting and live trading. More so than equities and future. Sometimes from +50% per year to fighting to breakeven...

Why would anyone exit 1000 shares with 10 share orders?

http://www.cboe.com/data/historical-options-data Bob

GotherL, It is a little confusing the way you asked. Every time you hit "buy" or "sell", your broker will charge you $0.005/share, but each order require a min commissions of $1. So 100 shares is $1.00. 200 shares is $1. 300 shares is $1.50. Your position size is not relevant, only the order...

can you email me your name?

That is what our non-pro clients pay for equity quotes. You should speak to your current brokers.

We offer that on the $10 equity bundle with Lightspeed Trader. What broker do you use? https://www.lightspeed.com/trading-platforms/lightspeed-trader/platform-features/

What software are you using for execution? Is it hosted?

I was not suggesting that in live trading, but in simulation you can use limit orders to take offers and hit bids to simulate worst case. My best guess is that in sim, the logic is very liberal with fills.

What do you trade-(Equities, Options and/or Futures) Are you active or more of an investor? What else do you need? We offer 5 broker neutral platforms.

In simulation, do you buy on the bid/sell on the offer? What is the logic for an execution? Have you tried running the simulation side by side to live trading so you can review the differences in fills?

Is it an Arb of any kind? Does it require low latency? What asset class?

A market order for the open will be filled at the best price under the exchange rules. Yes, it can move the stock a lot if volume is very low and your order is very big. You should place a limit if you are concerned.

I expect you will be subject to the open on the primary if set there, good or bad.

Hong Kong and Japan have their own fee structure. It is not per share but a fee per Trade Value. Scroll down to Hong Kong and Japan. https://www.interactivebrokers.com/en/index.php?f=1590&p=stocks2

I'm not sure what the issue was but it might have been Market data feed to the API. This would subject the user to non-display fees with the exception of a non-pro user for NYSE but NASDAQ has no exception. WE can now turn off the Market data to the API on LS TRader and your software can route...

What do you do now?

The answer is not that simple. They are two different trading platforms from two different technology companies that we offer. A conversion would make more sense to go over some of the important differences. https://www.lightspeed.com/trading-api/...

In case you are interested, Lightspeed Trader API and Realtick are both C++ APIs. Happy to chat anytime. Bob