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So let's say you have a OCO stop limit at 10.00 and stop market at 9.00. The 10.00 stop is hit and your order goes to NASDAQ as limit offer 5000@10.00. The stock is trading all the way down to 9.75, your market stop order not hit yet. It is very likely that the 5k resting order will get...

Awesome insight! I just want to mention that IB has many "smart" options to choose from and ET members like @d08 contributed greatly on the subject.

Exactly that, built out over years. I don't have any back-testing or gui though. I capture market data and replay using my own simulator. Tedious ... that's why I try to come up with strategies in my head and then prove or dis-prove them with data.

What a great man ... the original HFT!

Hi. I don't know much about him but a couple of people mentioned him. When I glance over a few videos he posts, it's mostly Monday Morning Quaterbacking stuff. If it helps you no problem, but can you point me to anywhere where he actually taking real time trades based on his teachings?

On a more optimistic note

Don't be a hero, sometimes you gotta take what little you have left and walk out holding your head high

Short the book, long the movie

I second that!

The idea is that often the stop gets triggered by 100 share trade through (in some venues/brokers simply by lowering the bid!). Once the stops are hit (or no more sellers found), the price goes right back up. If you trade these kind of stocks, you are not trying to eliminate slippage/stoppage...

True, but I have a compromise solution ... Although I don't use it as stops are for sissies :) Have a two tiered stop using OCO order. For a long, place one stop limit order at your regular stop price and the other market stop order at your "get me out at any price." If the stock trades...

If you keep posting like that and you will bring the wrath of IB Gods upon yourself :) Nicely done.

Next make it easier on yourself and forget about IB for now ... Find a more user friendly API. For Futures I would recommend Rithmic (or TT). Write a program to receive market data, normalize it and feed to your strategy module/program. Write a module/program to receive generic orders from...

... What else can you ask for, freeloaders? Actually, I can think of one more thing ... All of the above is great, especially if you are using passive limit orders, but I would like to be able to keep my money with IB. So, @alpaca, would it be possible to have orders sent through you but...

First decide if you want to build something within existing platform or you want a standalone program.

K, understood, but I am still not clear if you wish to do it yourself or would rather have someone else build it for you? Big difference in first steps to take.

I don't understand the question ... As far as writing code? If you test in C++, that should not be a challenge for you.

5k order!? Split and route to different venues? That is great, the best way for stops imo. Unfortunately I don't think you can do that with IB. Don't trade thin and/or fast moving stocks with IB. If you must use smart route, remove dark venues. Good luck.

I think you are mixing DMA with latency. The "screening" takes a millisecond at worst, so irrelevant for most retailers connecting over internet. The main thing is that I can send my order directly to venue of my choosing. Most retailers are not getting liquidity rebates so it doesn't matter as...