I am building an automated Algo system, so I dont have to sit here all day long staring at this cr*p and can go and do something more meaningful.... Building and testing using IB's Simulated trading. Does anyone have any knowledge of where the orders are placed in the queue for the E-Minis when u join the BId / Offer. Thanks for any info. Kap.
Placed into a queue? You are aware that your paper trading orders do not go to the actual exchange, right? Therefore there is no way even for IB to know reliably when the order would have executed if it were a real order. There are some old threads about the precise algorithm IB uses to fill these paper trades, search abit. The bottom line is that you will have to switch to real money trading (in small size) at some point and model the actual behavior.
yes I have been trading for a living for over 8 years, prop and institutional. I did search , and didnt find anything, but an IB rep on these boards has informed me that paper fills sit in the queue in the position a real order would sit . Quite impressive if this is the case as I would be happy wit being filled at the back or trade through but this is even better news [/B][/QUOTE] The bottom line is that you will have to switch to real money trading (in small size) at some point and model the actual behavior. [/B][/QUOTE] - it will be a marketmaking algo eventually so small size isnt an option
If you assume that the price has to go to one tick beyond where you want to be filled, you're on safe ground. That's what IB simulated fills seem to indicate most of the time anyway (I have a lot of experience with IB paper trading).
> IB rep on these boards has informed me that paper fills sit in the queue in the position a real order would sit. This is not true. The exchange does not tell you where your real order sits, and you can only guess approximately. The reason is that when people cancel, you dont know whether they were ahead or behind you in the queue. So, approximately yes, precisely, no. Anyway IB feed does not give you all that precise information about the order book that you can get if you have the real datafeed from the exchange.
ok, here is that thread i mentioned, some comments from people who are in the know, but no discussion of the precise algorithm to do the fills: http://www.elitetrader.com/vb/showthread.php?s=&threadid=130021&perpage=12&pagenumber=2 People seem to say good things about the SIM accounts. But here is one guy who says this: <b> Are you trading small sizes of very liquid stocks? If so IB's paper account does a good simulation of live trading. If your size is large relative to liquidity, then paper trading is a poor substitute, for these reasons: - your limit orders push the market away in live trading, not in paper trading - paper account assumes you get all the liquidity trading at or above your limit price, this doesn't happen in live trading And the biggest problem regardless: there's no emotional involvement with paper trading. </b>