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So let me get this straight. You want to play the hedge fund/quant game, but can't even be bothered to run a backtest? What is it about finance that makes people think they can compete with a literal army of PhDs without doing any hard work? Do you realize that hedge funds have been performing...

Don't know if this is true as I have never looked into it myself, but the theory is that SSFs have the cost of carry built into the spread. If so then you would expect SSFs to have very little "trading" activity as crossing the spread is prohibitively expensive. Instead of crossing the spread to...

Sounds good but I have an even better idea: After you begin live trading, once per month post a screenshot of your account balance. I will then photoshop a picture of a cute cat on top of your balance. In exchange for this you will send me 10% of your profits every month (only if positive)...

Marketable just means that the limit price is >= the ask (for a buy) or <= the bid (for a sell). It is not a separate type of order. Regular limit orders basically do what you want here. If you want the most aggressive possible fill you could use a "sweep to fill" order...

Your question sounds like you're talking about a regular limit order, but the thread title includes the phrase "Limit Offset" which in the context of IB may refer to a parameter in various types of STOP orders. lindq's answer appears to apply to stop orders. For a regular buy limit order, if...

I just tried again in the premarket and it seems you are right, disabling dark pools made no difference. I actually got a submit time that is quite a bit worse than what I got yesterday (about ~2x on all stats). Seems quite likely now that the Good After Time system is somewhat flaky. I would...

The timestamp is, just like the price, data that comes from the exchange. It does not change based on how much the data provider is lagging. I actually did this experiment yesterday and only downloaded the tape for comparison today (historical data download). EDIT: Even if the data provider's...

The consolidated tape. SMART Primary routing. I would never use directed orders with IB due to the extra fees. Also I just realized I didn't have "don't route to darkpools" checked so I will repeat the experiment tomorrow and post again in case that makes a difference for submit time.

>1 post by this id yeah this totally isn't astroturf AT ALL. lol

Update: I just conducted a test using Good After Time / Good Till Time orders. The idea is that since the processing is all done on IB's side, the variable of my own ping to IB is eliminated. My methodology is as follows: 1) Choose 100 stocks with wide spreads in postmarket. 2) Submit orders...

How do you take advantage of being colocated? You can't send orders directly to the exchange w/o going thru a broker can you? Unless you are a broker?

instead of looking at the time between placeOrder and Submitted, what's more interesting is (exchangeTime - placeOrder) . exchangeTime can be found by looking for your quote on the tape. (Your numbers can bound that quantity above, but not below.) I'm going to do this experiment myself at some...

57ms, not too bad. Do you know if that is with or without scanning darkpools? Sounds a bit slower than it should be in theory, assuming that isn't scanning, but fast enough for what I'm looking to do.

That's interesting, thanks. I am curious, where are you measuring the end of the 250ms, is that when the execution happens on the exchange, or is it when you get the execution acknowledgement back through the API? Also, you said "fills completely", does that mean it fills partially much faster...

Appreciate the reply but what is instantly? I'm hoping to get some real measured statistics. I can do wide market experiments myself but it's not that trivial.. takes some work to set up the measurements. Thought I'd ask first.

Does anyone have any statistics regarding how quickly IB processes and routes orders? For example suppose my ping to IB is 2ms and I send a nonmarketable limit order. "Do not route to dark pools" is checked. How long will it take for my quote to appear on the exchange? That's the sort of info...

Actually you can model the margin requirements very accurately as long as you are not hitting their undocumented "concentration risk" thresholds. For equities, P.M. requirement is the maximum of: a) 15% b) any stock specific special margin requirement as listed at...

Do you get an error 1006 when the websocket closes? If so I am getting the same error.

The top 2000 symbols have 99% of the volume so there is effectively no difference in performance between subscribing 2000 or 25000.

You can extract the auction trades (time, price, volume) from tick data. see polygon.io, activetick, nxcore, etc.