Great project ! (I'm following also your other threads). I like the "grey box" approach (don't get this the wrong way :) ). Keep it up.
My backtests gave better results with ARCA prices, but in the end it was a too good to be true situation :)
https://www.interactivebrokers.com/en/software/tws/usersguidebook/configuretws/configure_smartrouting.htm I think the option is not available in...
Make sure to check "Pre-Open Re-route" in TWS. (Global Configuration > Configuration > SmartRouting) "This allows you to route orders to major...
You are right, that seems to be the case. Thanks.
So today I tried submitting my limit orders with ARCA as route, allow fill outside RTH and good after 9:28:30 (because i'm not sure if ARCA...
This is what I have for BAC (ActiveTick data) : T,20160108093000070,15.940000,100,P,0,0,0,16 T,20160108093000070,15.940000,100,P,0,0,17,0 ......
Yes, there's a seperate auction, you can check here for official ARCA open and close price wich sometimes differ from the NYSE....
3-4 min before the open. I know everything is setup correctly, because when I specifiy NYSE as the exchange, my orders are green, and I do get the...
With OPG and ARCA, the order is not green but blue...waiting for the stock to open on the NYSE before becoming active.
I got about the same answer from IB support : "A customer can create a Limit order with the attribute for "Yes" to outside RTH and add a time...
With route as SMART, the order becomes active on the primary exhange, NYSE. Maybe this is a silly question, but what should I do to get the ARCA...
For NYSE listed stocks like BAC, etc...when I specify ARCA for the exchange, order status says "order is being held and monitored", instead of...
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