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Interactive Brokers Cheap but the Fills Suck
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Interactive Brokers Cheap but the Fills Suck

  #31 (permalink)
Elite Member
Milan (I)
 
Futures Experience: Advanced
Platform: Ninjatrader
Broker/Data: Kinetick
Favorite Futures: FDAX,6E,CL,YM,NQ,ES
 
redratsal's Avatar
 
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Fat Tails View Post
Usually you use historical tick data for back testing. IB does not offer any historical tick data. So how could you do a backtest without data?

Or do you run your PC 24/24 to collect the condensed real-time ticks of Interactive Brokers and save the as historical? If you do this you deserve the false results.

If you use IB as a datafeed, which was the case of the OP, the only way to record historical data is via realtime, it is not my case since I use Kinetick, just wanted to point out how bad is IB as a datafeed especially with tickdata. Accuracy sometimes might be subjective

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  #32 (permalink)
Just starting out...
New York City
 
Futures Experience: Intermediate
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Posts: 4 since Apr 2011
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This was an actual trades

Fat tails,

The trades was actual. However, at the time, Live Session Interactive Brokers never print the price 1354.00, it printed 1354.25 as you can see from my screen capture. Rithmics - Optimus did, it exited the trade as well, While Interactive Broker trades still stuck.

However, you are correct, once you reload the data in Interactive Brokers, it provided the 1354.00 on it's historical charts, but that after the trade not during live session.

My point is that Interactive Broker data feed is slow and inconsistent, it has happened to me more than once. I know it's only a tick, but it happen on my exit tick. Also, if you manual trade, it probably would affect you, but with an auto-system. It will mess up your trading system.

Ron

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  #33 (permalink)
Just starting out...
New York City
 
Futures Experience: Intermediate
Platform: Multicharts, Tradestation
Favorite Futures: ES
 
Posts: 4 since Apr 2011
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Redratsal, you are correct!


Redratsal,

you are 100% correct in your analysis! IB data feed on realtime is bad. I do believe that IB has extensive data filtering or some sort which during realtime provide inconsistent result while historical data show another.

Look at both of my screen shots, it's was capture seconds of each other. Rithmics data feed show 1354.00 which is correct. IB shows 1354.25 which was incorrect. However, once I create a historical chat with IB, it show 1354, but that after trades not during.

Thanks again Redratsal.

Ron

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  #34 (permalink)
Elite Member
Barcelona, Spain
 
Futures Experience: Intermediate
Platform: NinjaTrader 7
Broker/Data: Interactive Brokers/Kinetick
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I use Interactive Brokers from 1 year ago and I'm glad I use BracketTrader now, had lots of issues with the TWS BookTrader.

One thing that happens so often to me with IB is that I use LIMIT orders and I'm used to enter long above the bid and short below the ask, I don't like to use market orders but I must enter trades this way because I trade momentum (with 6E). The nice thing with IB is, more often than not I get a BETTER fill than my limit order (1 pip), I never enter more than 2 contracts at once, of course, but it gives me a lot of confidence with this broker.

I use NT strategies to enter the trade (I enter manually) and sometimes I beat the NT sim. because I get a better fill.

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  #35 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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rontan View Post
Fat tails,

The trades was actual. However, at the time, Live Session Interactive Brokers never print the price 1354.00, it printed 1354.25 as you can see from my screen capture. Rithmics - Optimus did, it exited the trade as well, While Interactive Broker trades still stuck.

However, you are correct, once you reload the data in Interactive Brokers, it provided the 1354.00 on it's historical charts, but that after the trade not during live session.

My point is that Interactive Broker data feed is slow and inconsistent, it has happened to me more than once. I know it's only a tick, but it happen on my exit tick. Also, if you manual trade, it probably would affect you, but with an auto-system. It will mess up your trading system.

Ron

The real-time tick data of Interactive Brokers is condensed data. But you can run NinjaTrader on Kinetick data feed and execute through Interactive Brokers by connecting to both of them simultaneously. Of course you will have to pay for the real-time data feed.

In the end, it is not a brokers core business to provide you the best real-time data feed, but the broker should be measured against reliability and speed of order execution.

If you had an order at 1354.25 which was not filled, was that a limit order residing in the exchange, and did this happen with your real account? If this limit order was sitting in the exchange it would have been filled irrespective of your data feed!

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  #36 (permalink)
Trading Apprentice
Dana Point
 
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Fat Tails View Post
If this limit order was sitting in the exchange it would have been filled irrespective of your data feed!

A market order will always be filled, although there may be slippage. But it's very possible to not be filled on a limit order if there's enough size in front of your order.

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  #37 (permalink)
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Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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mRoss21 View Post
A market order will always be filled, although there may be slippage. But it's very possible to not be filled on a limit order if there's enough size in front of your order.

@rontan told us that he did not get filled, so it was not a market order.

What I wanted to say is that an exchange held order will be filled or not filled independently from the name of your broker.

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  #38 (permalink)
Trading Apprentice
White Salmon Washington
 
Futures Experience: Intermediate
Platform: IB
Favorite Futures: Options
 
Posts: 2 since Dec 2012
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Yes I agree. I have contacted IB many times after big slippages and they claim not to make markets and just send it to the exchanges. Comparison trades made simultaneously through Ameritrade/ TOS indicate otherwise. TOS will waive any fees for any credit buyback of a nickle or less. They will negotiate fees and are very willing to give away free trades on any questionable fills. AMeritrade claims to make the most options trades and strongly suggested that because of such large order flow they are given preferential treatment on fills at exchanges

IB lulled me into over trading and when you consider the slippage I believe the benefits are minimal If I did the same number of trades with TOS I am confident I could get $4.00 per contract per .75 per contract.

Not getting filled on a great trade will more than make up for the cheap discounts.

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