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Maybe I don't use the GUI enough to be informed on this, but the way I see it is: execDetails dumps the information into executions in TWS, orderStatus is used for all the colorful crap that shows up in the tabs, and errors debugging? I'm not sure order ack was ever even the intent of any of...

Only true for last trade right? Worried mostly about bid and ask.

Here's my uneducated guess as to why they implemented a lot of the stuff the way they did in such an unintelligible fashion. It seems like to me the API was put together for building out a GUI based trading platform rather than automated trading in mind. This explains some of the AWESOME...

I finally narrowed down the issue and will post my findings for anyone who may run into this issue in the future. In order to get a full view on execution, you have to look at orderStatus, execDetails, and errors. Assuming you submit a limit order, you should get back an orderStatus with...

Here's an issue I've been running into with the data, which took me a few days to debug (thought it was an issue with my code), for anyone who's working on an ATS. Basically when you have fast moving markets and you're submitting orders on fills, you'll end up submitting orders on stale...

I've overrided execDetails to create a Fill object which is then passed into onFill and doOnFill methods. I'm tracking order states which doOnFill will update as well as orderStatus. For my doOnFill logic, it will either push out new orders or replace old ones. Basically orderStatus isn't...

I may be missing something here, so hopefully somewhere here could point me in the right direction. Currently, I'm working with the Java API for IB. I've overrided orderStatus and pass status variable into a switch statement which then will call some particular method. Now as I understand it...

Guessing their nyc routing servers are at 60 Hudson. That being said, like CalVolibrator mentioned IB and HFT do not go hand in hand. Holding period doesn't mean much in regard to dependence on latency. Lime might be a reasonable solution..

A little late on replying, been busy - it sounds like you might just be best off coding up your own library. Depending on what you need it might not be too huge of a task to take on.

I agree that C# is great for handling the business end of things and almost everything else but HFT. Wasn't aware that it's extremely slow, however I suppose it also depends on what your definition of slow is right? :) Suppose it takes a few seconds for this thing to run, that's ages for...

I didn't read all of the posts so I don't know if this already suggested or not, but why not use a R wrapper for C#? If your strategy isn't extremely latency sensitive (I suspect it's not otherwise you wouldn't be using c# to begin with) then it's a fairly reasonable approach. R.NET...

This is just another way for wannabe retail traders to feel like they're trading within institution plain and simple.

What kind of backtesting are you looking for? Vectorized or event driven?

I somewhat disagree with your post about subscribing to eoddata, the reason being is the only real upside I see to going to a data vendor for EOD data are as follows: 1) They handle delistings and symbol changes effectively and 2) provide corporate actions. You'll certainly be able to pull...

So in a nutshell, I believe drcha is talking more or less about p-values here. In a coinflip example suppose have a coin in which it is unknown whether or not it's a fair coin. From there you want to set your null hypothesis, which would be the coin is not unbiased. You flip it and get 5...

You'd be wasting your time with ML if your singular goal is to get into quant trading. On the hand if it's something you're actually interested in by all means.

IB doesn't provide tick data, I believe they're just 500ms snapshots. So exactly what you just described is a big issue with their data feed, you might get same price even if they're two entirely different transactions.

I think you need to be more clear, which probabilities are you talking about? Risk-neutral?

Yes

gw1.ibllc.com - avg = 1.726ms mkgw1.ibllc.com - avg = 1.889ms Both sample size of 20