Neoticker can do what you want, supports zenfire and IB. Not perfect, but no retail product is. Learning curve, but good support forums and attentive developers.
I agree. I am also backtesting some high frequency strategy. I am not sure what set assumptions to use though. For example, once the signal is generated, if I use the mean trade price in the next 1 second for buy/sell, I got fantastic backtest results. But if I use the worst trade price in the next 1 second for buy/sell, I got extremely crappy results. Any thoughts?
If you are using a market order, why not use other side of the bid/ask. Be sure to account for your order latency. Limit orders are harder. You can get steped in front of and orders that should hit yours might trade on another exchange. Your order can even be traded through due to top of book rules. For limit orders, it is not a question of slippage, but if the trade happens at all.
Thanks. For the limit order, if the trade happens, does it guarantee a complete fill or just a partial fill? And suppose by calculation we need to trade in a balanced manner x= 100 shares and y=200 shares, and the relation must hold, how do we do such kind of trades?
Not sure. The best I could do was to assume that I can get a % of all shares that trade at my price or better. It is not ok to assume that you get every share at your price because that will result in very profitable scalping systems that are untradeable.