A month ago I was trying to decide between several vendors... most looked roughly comparable, so I ended up going with IQFeed + NinjaTrader. I've been having strange problems with the IQFeed feed for several days, with one single symbol: TYP. Bars for TYP would arrive about 15 minutes late (compared to the timestamp) 5-10 times throughout the course of the day. I realize TYP is thinly traded, doesn't explain the timestamp issue though. I had already had this trip me up befor... so I was filtering them out within OnBarUpdate(), didn't think much about it. Well, at about 5:00 PM EST just now, I had a call into OnMarketData() for TYP in my strategy, with the time stamp of 3:50:00 PM. (I shit you not.) I was *not* filtering within OnMarketData (just never occurred to me), and as a result... my strategy ended up placing a buy order after hours on a thinly traded symbol, and now I'm probably out at least $1k. I have my strategy configured to only accept bars until market close, but it's not smart enough to filter out market data. I'm pissed at IQFeed, especially since I just sent them an email asking about TYP a few days. How many times am I going to get tripped up by these stupid fucking bugs. I guess I'll try to ask for a busted trade, but not holding my breath.