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Bump! Its a challenge question - anyone got any idea!!

Only one word - fcuking crazy. I can see you must be so upset. Probably in this case, using a mkt order would have gotten you in the position, its hard to test these kinds of various order fill assumptions in a backtest. It seems that simply there is no substitute for experience in this field...

Yes, going to store the live data. Not going to have problems for fills on losing trades. Great to know! :D About execution, I am going to start research with the assumption that I would be buying ask and selling bid. My reasoning for not trying to be bidding at bid comes from the stories I...

Adding 56.

sold at 52, 53.

Yes that is doable just clumsy because in the combos in TWS, i can experiment with different kinds of + s and -s between contracts. Calculating all of the bid asks correctly in excel is certainly possible just clumsy. Thats why i asked if there is a way to directly get the data from TWS...

Filled on this at 51.5. Now flat. Will offer at better levels

Today I plotted some combo charts on IB TWS charts. However, when I tried to download their historical data using excel API and through Multicharts, I couldn't do it - since those are synthetic spreads and combos which don't trade on any exchange. Pointing with mouse on any bar on the TWS...

Thanks a lot for your suggestions and tips :) What data source do you consider good for stocks historical data? I had read somewhere on ET couple years back that IQ feed has wrong intraday high and lows values in historical data.

Good point. I plan to use information in this link to construct stocks present in NASDAQ over the years. http://en.wikipedia.org/wiki/NASDAQ-100#Changes_in_2008

Thanks d08. Can you also address specially points 3, 4 and 5 in my original post. The horrific slippage in first 5 minutes that you mentioned - does it happen rarely or is it very prevalent? What is the most usual value for slippage in first 5 minutes on high and low volume stocks? Thanks.

long forgotten thread. Bumping it up hoping to see if people have found use of quote boosters for anything interesting, since apparently IQ Feed data is better and cheaper than IB.

good suggestion in 2nd para. Maybe within 2 months, I will go down your suggested path once I have tested waters. So, for example, for following stocks, what kind of spread and slippage will i get during morning, afternoon and towards close? High Volume: AMZN, AAPL, VOD, GOOG, CA, ADSK etc...

Hi, So, finally after trading futures for few years, I have decided to start some testing on stocks. I have decided to start from NASDAQ 100 stocks. The reason well they sound cool! LOL. I guess 100 stocks would be enough for me for the time being. I would be trading through IB. My plan for...

very true. Every ES trader should know this.

filled 1649

Added at 46.5, offering 49

short around 50, 51. Not a recommendation . just publication :) LOL

nono!! bad trade bad trade, get out save your dollars :)

Bought 1648, offering at 50.5