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Hi, Has anyone done recent comparison how realistic the fills simulated in IBKR paper trading are vs real live trading fills? I'm more specifically trading US stocks with market orders using IB smart routing if that makes a difference. Quite often my orders are filled within few seconds in the...

I'm no expect so take this with a grain of salt, but with FPGA you implement the trading algos straight in the hardware, with the main idea of lowering the latency caused by the network hardware and software TCP/IP stack to shave off micro-/nanoseconds. You can get these FPGA development boards...

That's some sweet ping time compared to my >100ms ping from home :)

Cool, and got one of your books in my library, still have to find the time to read it though :)

HFT firms have their servers running in the exchange and pay a lot of money for that benefit. They also develop trading FPGA boards to shave off microseconds from the reaction time. It's quite a different ballgame :D

There's quite a bit of edge I can have with a custom solution when I'm not bound by the limitations of existing platforms and being on the mercy of external developers never implementing features/improvements I need. For example people think that MT5 parameter optimization is efficient. The...

C++ for sure isn't the easiest language to get started with, lol. I was thinking the other day that if I was to make my platform available to others, I would add ability to define custom trading strategies without need for programming knowledge. And not just combining existing high-level...

Power interruptions are the main reason for me to think of running the live trading on VPS (and stable internet and hopefully lower internet latency to reduce slippage). The interruptions are pretty common here where I live. I run my software currently on a laptop which survives the...

Hi @fan27, Tickblaze looks nice, will get some good ideas from there ;) I haven't used Rust but have heard some good things about it. What makes you implement your own system? I'm currently day trading only stocks, but the plan is to expand to other instruments in the future once the platform...

Hi, I would be curious to hear what kind of software/hardware setups people use for their algo trading, to get some ideas how to improve mine. I believe many retail traders use existing software platforms like MetaTrader? Do people develop their own proprietary systems and can you tell some...

Depends on the time of the day and how volatile the market is if 5sec bars have any value for any particular ticker. It's easy enough to build lower resolution bars though once you have the 5sec bar data, for example to improve parameter optimization performance. I'm using trades, but have also...

Unlikely since I'm using C++ :D It's a server side pacing thing and IBKR specifically mentions that they are not really a historical market data provider: https://interactivebrokers.github.io/tws-api/historical_limitations.html

5min is probably a lot faster (sub-second per day) since it's 60x less bar data. I'm fetching 5sec bars though not 5min.

I'm looking for historical data providers offering 5+ years of 5sec bars of US stocks. I have been using the free IBKR API to fetch the data from their servers, but it's quite slow and takes ~15 seconds for a single day per ticker at 5sec bar resolution. It would take over 7 months of non-stop...

Was thinking the same the other day, i.e. how would offsetting the price data impact the candle stick patterns, but didn't get around to try it out. So, thanks for posting this! But I was also thinking that if enough people act upon these patterns with specific standard offset, then it becomes...

Hi, I'm developing an algo day trading platform (only US stocks for now, so mainly NYSE/NASDAQ) using IB TWS API and would like to optimize the slippage. Based on my testing the slippage can have quite a large negative impact on P&L, particularly for trades early in the day in volatile markets...

Interfacing with the API is quite small part of developing a full fledged trading platform. In my experience a lot of time goes into developing frameworks for backtesting, parameter optimization, strategy development, portfolio generation, etc. which is API agnostic. I'm using C++ because I have...