Crossed markets Hi everybody, I'm working on some trading algorithms, and I'm currently using Interactive Brokers for both data and brokerage. One thing I'm noticing problematic is crossed quotes that hang around for a long time (minutes, or even hours...) I suspect they are from exchange's that have a hung order, or something similar. I guess my question is, is this something specific to Interactive Brokers, or something I have to deal with any market data feed? My trading algorithm needs an accurate 'tradable' inside bid/ask to work correctly. If it is something that actually exchange wide, and a common occurrence, it sounds like look at the book deeper than the inside bid and ask, and filter out the stuck quotes. Does anyone know of any standard or published methods for filtering stuck quotes to capture the true inside bid/ask spread. Also, how often should I expect to see these on NASDAQ equities? (I can think of the few ways to do it, but it wouldn't surprise me if better mathematicians me have developed a more robust filter for these quotes) Thanks Cameron
Hello Cameron, The only way that I could get around the issue was to compare the IB prices to a second data feed before sending the order. Very frustrating to say the least..... Matt
The trick with IB is to not use SMART for the exchange when requesting market data, for the Nasdaq use ISLAND (or any high volume ECN). SMART has value for placing orders but not for market data. There is a spreadsheet showing the problem toward the end of this post: http://www.elitetrader.com/vb/showthread.php?s=&postid=1560440#post1560440