Latest Price versus Fill Price...

Robert Morse said:
Why don't you just run your strategy with max 100 share lots for a month and see what happens.? Set a max loss for the month and let it go. This is the only way you are going to know.
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I'm doing this, don't got anything statistically significant yet though as it's just been running for a week. Seems as if it's not doing quite so bad as in simulated delayed fills backtesting, but TBD. I'm measuring roundtrip latency I get on IB order fills and for small orders of 200 units it's about 1 second, large orders (e.g. 5000 units) it's several seconds as IB is presumably trying to reduce market impact (worst so far, 16 s).

winnertakesall said:
When you get down to "seconds" granularity, everything becomes more execution dependent. I don't think the issue here is the latency though. Rather, it costs to cross the bid and ask spread and that wasn't accounted for in the backtest.

Let's assume I have a trading system that buys everytime price goes down one tick and sells everytime price goes up one tick. For the last hour, price has went up and down this 2 tick range 40 times. Does that mean I could have made 20 ticks in profit? NO. Price really did go up and down 40 times. But the only way to get those backtested price is through limit order, which requires waiting of unknown time. For contracts like es, my order could be like number 400 on the queue. So the fact that price go up and down 40 times only means I am now like 20 contracts closer to execution, which is still 380 contracts away. If you don't want to wait, then issue market order but it will cost you 1 tick per order or 2 tick per round trip trade to cross the spread.

I think there are studies that show that prices can be predicted for a brief few seconds. To profit from that, I think you need infrastructure similar to HFT. Think about the above example, if I can just capture that one tick gain 20 times in an hour, then I should be able to make 100% of my capital by the 17th day, thus your high Sharpe. Changing the broker by itself probably isn't going to cut it. You can, however, put it in sim just for fun.
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Might be necessary with HFT infrastructure yes, but that's what I aim to determine. Again latency requirement TBD when I get ahold of better data.

Basically, crossing the regular average spread twice is fully acceptable. However, I get as much as 0.1% slippage (average) on last price versus fill price when I have the 1-2 s delay in simulation.
 
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Snuskpelle said:
I get on IB order fills and for small orders of 200 units it's about 1 second, large orders (e.g. 5000 units) it's several seconds as IB is presumably trying to reduce market impact (worst so far, 16 s).
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That sounds VERY high but is likely from your location in Sweden. For our clients, we offer two hosting sites. One at the NASDAQ data center in Carteret which is our low latency offering and one in Great River. Great River is very good for those far away like you that just want to decrease their delay from their location to one near the data center.
 
I had a new record fill roundtrip latency from IB for -100 shares of IWM: 661 seconds. I speculate it's either faulty paper trading simulation on their end or their short availability is interfering. "Luckily" I got a better fill due to it, but 11 minutes delay makes it completely random.

Robert Morse said:
That sounds VERY high but is likely from your location in Sweden. For our clients, we offer two hosting sites. One at the NASDAQ data center in Carteret which is our low latency offering and one in Great River. Great River is very good for those far away like you that just want to decrease their delay from their location to one near the data center.
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My current VPS is in Brooklyn actually, but I guess IB server is somewhere else in the US than NY. I've already contacted Lightspeed and a couple of others - from the responses I received you guys seem like the best fit if it turns out latency is something I must reduce.
 
Yeah, I will move over to real trading soon enough. I just want to make sure it's not losing money super fast which makes for very expensive testing.
 
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