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Yeah, I will move over to real trading soon enough. I just want to make sure it's not losing money super fast which makes for very expensive testing.

I had a new record fill roundtrip latency from IB for -100 shares of IWM: 661 seconds. I speculate it's either faulty paper trading simulation on their end or their short availability is interfering. "Luckily" I got a better fill due to it, but 11 minutes delay makes it completely random. My...

So you would be fine with being slandered at the discretion of a bunch of your opponents? There's nothing relative in this. A government does not put up posters attacking its citizens, period.

What the hell is the kind of government which puts up posters slandering an individual anyway. It's sick.

I'm doing this, don't got anything statistically significant yet though as it's just been running for a week. Seems as if it's not doing quite so bad as in simulated delayed fills backtesting, but TBD. I'm measuring roundtrip latency I get on IB order fills and for small orders of 200 units it's...

W/ adverse selection I mean adversaries selecting the same trades as I do, but faster, thus leading to a worse price for me (manifesting as higher slippage). Of course, I don't actually 100% know that's the true cause of the slippage, but it's a reasonable hypothesis. If someone has a better...

Yeah, that's what I mean by "using average slippage". I deliberately targeted these ETFs due to the low spread the algo by design might seek to switch direction often. Anyway, the cost of the spreads seems small compared to the wider slippage due to adverse selection.

It is tick data that has second precision rather than millisecond precision. Yeah, it's pretty silly but that's the terms of the data provider to the algo development platform I'm currently using apparently. Anyway, it seems getting millisecond precision data should be step 1 before I make any...

A big problem is I'm also working with second stamped tick trade data without bid/ask, so there's a limit to how far I can take my simulation. Yeah, maybe it's time to buy the data I do need rather than using free tick data... True, it's definitely an unrealistic assumption, the question is how...

Ok, so I basically made a Sharpe 8 algo (trading IWM/SPY/QQQ), with the chief unrealistic assumption being that fills are executed at the last trade price observed. If I delay fills by 1 s after order, almost all of my alpha goes way. I can to some extent get better results by predicting what...