Has anyone tried the Ameritrade API? Supposedly they give access to trading, streaming data (level 1, 2, news...), historical data, etc. Seems like a really nice api to build on. Thanks, -S
IB data should not be used to back-test. The general event handling of the IB API is a note of concern even for automated trading. Open-Tick = Free = You get what you pay for. Many good sources of back-testing data, but you must subscribe or pay.
I continually read these posts telling me how bad IB's data is and that is not my experience at all. The realtime data from IB although not perfect because of how they aggregate does not lag when volume swells like some quote services do. So unless you want to pay for a data link fast enough to handle every single trade on every exchange you trade, IB's realtime data is fine. As for the historical data, with any service I have tried (including IB's) what you download now may not match what you download later because it has been clean up in some way. Every bit of processing that is done on historical data moves it slightly farther away from reality. Reality is the data available to you at the moment you trade.