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I think the issue is that even if you have direct exchange access, that does no good unless orders actually get to the exchange. If orders are filled off exchange, your order will not get filled. As I understand it, the requirement is that if the fill is off exchange, ie internalized, the...

The log now shows that the missing trade was restored, but my portfolio position in TWS still shows short. I suspect that I need to restart TWS to show the flat position. I will restart at the end of the day and confirm that the issue is resolved. Small drama, but looks like a happy...

Nah. Just a simple accounting issue that needed human intervention to resolve. My little account shows a modest profit, but not at IB's expense. I am a good customer.

I am on chat with a rep now. He is checking with the back office. It looks like the trade was restored at the exchange, but my account was not updated. Not surprised that this kind of thing would slip through the automation. Hoping for a resolution soon.

The fill was at the inside bid/ask at the time. Only the 100 shares on EDGEA where canceled. The other 100 shares on ARCA where not.

I had my first ever trade problem yesterday. At the end of the day, I shut down TWS and noticed a short position that was not there before. I dug into it and found that 100 shares of a 200 share trade from early in the morning had been canceled. The cancel time was 16:40, after the close of...

Exchange fees for pros are much higher. You are non pro

I have said it before and I will say it again. The court system exists to make a very good living for attorneys. What they taught you in school is secondary to it's true purpose.

I use Ami broker for intraday bar testing. Testing 1 system variation over 1 year of 5 minute bars for 800 symbols (about 15 million bars) takes about 15 seconds on a Intel i7. This is under 1G of data and is cashed in memory. For tick backtests, I was not happy with anything I could find...

I think that if you are willing to pay the spread, even if it is just a penny, the order is not likely to ever hit a public exchange unless you are using routed orders. I use a lot of stop orders for exits and I am sure that I am leaving money on the table. But, I haven't been able to find...

Almost all of the orders I make that are marketable are reported as filled via "smart". I assume, but perhaps I should not, that these orders are filled by IB's market maker branch, Timber Hill and they are able to do this profitably. This is not a bad thing. TH provides liquidity at the...

Anyone know of a good place to put money overnight to earn a little yield? My trading has very low exposure, especially overnight. It seems silly to keep everything in cash >90% of the time. At the end of the day, I could buy a high yielding stock or I could exchange traded corp bond with...

IB makes a lot of money on order flow by internalizing marketable orders. They cant do that if the orders are routed, so they charge more for orders routed with the api. A nicer way of saying it is that the offer lower costs if you let them trade your order flow.

Yeah, but how would we use these from the API? Doesn'T the API lock out all order types that are only supported on one exchange?

Hmmm. The role of the trading system is to react to market events, (trades, quotes, time) and respond with orders. Virtual methods can avoid a lot a if/then/else logic and make it easy to abstract a system from the events that drive it. For example, there might be a virtual methods for...

Not a big deal. If done right, there is very little if/then/else logic and very little code. Here is how the one I hacked together works: I use a object per symbol and per system. Each system is a sub class of a general system abstract class. There are virtual methods to handle...

There are other brokers that support this.

I believe that most of these sub penny fills are just your broker internalizing the order. I see this on IB almost every time I use a market or stop/market order. The broker can take the fill and profit from the spread, rather than pass it to the exchange. Your broker has the right to...

I can add that the IB relative orders do not result in good fills on NSDQ stocks. They get bid up and result in poor fills compared to a simple limit order. I did A/B testing on this and found that all tested variations of Relative orders performed very poorly.

LOL!!!!!!