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Not particularly. I already track skid in my trading system. So I know, if I place a market order, what the quote was going in, and what the VWAP is on the executions. If I switch over to Arrival Price (or any other algo), I'd compute the skid the same way. I'm not interested in...

Oh, I've seen the marketing literature. I was wondering if anyone had any actual trading diagnostics they were willing to share.

Looking for slippage data, i.e. quote was "X bid, Y ask" when I sent the order, average execution was "Z". Thanks.

I'm currently using NxCore as my primary market data source, and using CSIData for end-of-day as a secondary source. I'm looking to add another data provider, so that I can have something to doublecheck NxCore's reported dividends and splits. I can't use CSIData for this, because they don't...

Huh? 1) Settlement is T+3. They aren't "fully paid for" until T+3. 2) Did you agree to allow IB to load your shares (if you have a margin account, I bet you did)? If so, why complain now.

Unless I misunderstood what you had, I thought you only had a list of "hard to borrow", without the rates. If you actually had daily copies of those files (with the amount and indicative rates for borrows, and long/short initial margins), I'd be interested in getting copies.

(I think I've asked this here before.... it's like a yearly quest). looking in particular for the files: ftp://ftp2.interactivebrokers.com/usa.txt and ftp://ftp2.interactivebrokers.com/margin_stocks.txt

I currently use CSIData for daily OHLCV data. I'm considering paying up for their historical database of all stocks, including delisted ones, so that I can augment our backtesting to eliminate (some) survivorship bias. However, some of our models use marketcap as an input, and so I'd need...

I know you can download the data from ftp://ftp2.interactivebrokers.com/usa.txt and they update that file (at least) once a day. Does anyone out there have historical versions of that file, that they would be willing to share with me, so that I can the hard-to-borrow and indicative...

Heh..... seems to have resolved itself. Step (1) post to elitetrader Step (2) data is fixed. . . . profit!!!!!

Well, yeah.... they don't open until 8:30am EDT. Was just posting here to see if it was "just me", or "everyone".

anyone else having this problem: I fire up UA, and hit download, and it just cycles through a list of servers (ua2.csidata.com:80, ua3.csidata.com:80, etc), before failing with this error: Error CmpDaily Message Invalid Request, Please Try Again. I have already rebooted my computer...

Without dates, it's pretty hard to use them. But I will check this list against what I've extracted.

Did you even read my post? I have plenty of OHLC and intra-day data. I am looking for "ticker changes". For example: On 6/2/09, GM became GMGMQ.

I need NYSE/AMEX/NASDAQ stocks, from 10/1/08 to present (although back longer would be ok). I currently have NxCore, so I could extract this stuff myself, but there's always an error or miss or two, I'd like another source to compare to. Any pointers?

If the quote size is 4x2..... for BRK.A is that 4 shares by 2 shares, 40 shares by 20 shares, or 400 shares by 200? same question for the B class.....

I'm currently looking at csidata.com and eoddata.com. Here's my requirements: 1) Past 15 years. 2) Overnight updates after purchase 3) all US equities, including companies that have gone tits up. 4) data is provided for splits and dividends, since I'll be computing daily returns...