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doh, I just noticed my system is long IBKR while this news came out ! And yes, the system runs on IBKR. Irony :D

Reducing the amount of accuracy of prices seems like an odd thing to do, what exactly is the goal here? Generally speaking such a transformation is inherently lossy (it destroys information) so there are going to be multiple ways to do it and none of them will be perfect. You need to figure out...

Your question is unclear: What do you mean by consolidate? What is "HFT raw tick data"? Are you talking about trades, quotes, something else? What is your data source? What is a "standard set"? My best guess is - are you asking how to compute OHLCV bars/candlesticks from tick level trade data?

Ahh he didn't delete his post, I just can't see it anymore because he blocked me. What an absolute gem this guy is. IMO, forum mods should strongly consider some kind of punishment here, temporary suspension if not outright ban. There has got to be some kind of price to pay for spreading lies...

Why, thank you. ;)

a non paywalled article about this: https://www.leaprate.com/financial-services/fines/interactive-brokers-fined-5-5-million-for-reg-sho-naked-short-sale-violations/

Post your evidence now, or stfu about it. If you won't post it, it doesn't exist. Wait a minute.. so IB would not want you to post your evidence, but also your critics on here are secretly working for IB, and asking for you to post your evidence. Your paranoia isn't even logically coherent...

No response from JSOP here while he continues to bash IB in other threads. He doesn't respond because he can't; he has nothing to back up his allegations.

JSOP is a slanderous lying troll who is paid to shill against IB. Trust me. Don't say I didn't warn you. You want proof? Private information, not going to happen. Any evidence that I want to submit, I would be submitting them to the courts and/or the regulatory bodies, not to a public forum...

This is ridiculous. Just post the text where IB admits "in writing" to holding limit orders in their system. Why would you not post it? The answer is obvious, it doesn't exist.

Huh? What could possibly be private about IB explaining to you how their order router works? If there's any actual private info in there, just redact it in your post.

I'm curious about this, can you please post what IB wrote here?

JSOP, What broker do you use? Your profile is private, so I cannot get a list of your many other posts. Perhaps you would be so kind as to link to some of the posts you are referring to? EDIT: never mind, I found out how to search your posts without going through the profile page.

Long on emotional paranoid rambling, short on facts and data. Can you give even one proof of a trade that you did where the commission fees were different than what is documented on their website? Can you actually name some of these "many, many" other brokers that are superior to IB and...

So IQ was 42 ms - to which location? Polygon is ? ms to the same location?

In this case raw just means "tick data" (individual trades) as opposed to bars (aggregated). Direct vs consolidated is a separate issue. I'm curious why there might be a difference in slippage. Did you measure differences in latency and find IQFeed to be worse? Slippage is only a second order...

I'm also interested to know this. What all is involved in the process?

I don't know if this is true. The close may be the same as the auction most of the time (especially for Nasdaq primary stocks due to their precise timing) but I think it won't be the same in general. Did you check thousands of symbols/days or just a few?

Disciplined use of walk-forward optimization has always translated into real life profitability for me. I would not trade based on a simple in-sample backtest. Curve fitting kills.

Curious about this as well. Is telling us the instruments giving away too much info?