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Does anyone know how Interactive Brokers calculate historical volatility? The result is quite different from Bloomberg.

I found the solution, which is to choose:run TWS using Java WebStart

With the latest TWS update, I cannot have a paper trading TWS and a real TWS open simultaneously as I could before. Has anyone experienced the same change or found a solution? Thank you.

BUNT

http://www.cnbc.com/id/102605761

BLV?

I will try to ask for IB's best effort VWAP versus guaranteed VWAP tracking error and post it here, if they provide it. I guess there should be no conflict of interest, because it is the exchange fee that makes the guaranteed VWAP expensive - not the IB commission per se.

Thank you. Then it would be IB's best effort VWAP, because with the 0.017 cents per share exchange fee plus normal commission for the guaranteed VWAP, on low priced stocks, the cost can easily amount to 50 basis points one way. I don't know what the slippage is on IB's best effort VWap...

The planned midday auction on NYSE would be much welcomed.

I actually justed checked pricing on guaranteed VWAP at the same time you were writing this comment. I'm sorry I didn't do that before posting. The exchange fee of USD 0.017 is simply too high to make it attractive - especially on lower priced stocks. I would then much rather prefer MOC or do...

Thank you, I cannot predict market sentiment - others might succeed at that. I - like you - believe that MOC will result in better execution on average. I have a lot of experience using MOC. However, because VWAP will unwind the positions throughout the day, VWAP imply lower risk since my...

Ok, thank you. If you are using IB, do you use guaranteed VWAP or IB best efforts lower cost VWAP?

Has anyone tested IB VWAP versus MOC? The positions that I need to unwind generate no return during the day. I just need to unwind the positions with the least amount of risk and friction. If I unwind the positions in the morning, I minimize risk. However, morning liquidity is light and thus...

I did not realize there was a short sale restriction in effect on the stock in the heat of the battle.

Here is the answer from NYSE : "The NYSE indicated that because there was a short sale restriction, your order became a Limit-On-Close with a price of 33.36. In this case, regular sell LOC @ 33.36 orders (as opposed to short sell LOC) are ahead of yours. The order did not execute because there...

I am covering this in real time ;-)

Ib is now calling NYSE to find out why they did not execute the order.

However, this does not seem to fit the definition of the uptick rule from wiki: "The uptick rule is a trading restriction that states that short selling a stock is only allowed on an uptick. For the rule to be satisfied, the short must be either at a price above the last traded price of the...

IB answer: TRN had to end on an uptick in order for my MOC short sale order to fill. Into the close TRN traded at 33.35, then numerous times at 33.36 until the close and the auction was 33.36. Since this is not an uptick, my MOC short sale order was not filled.

I will ask IB to confirm.