A14_BWB - Issue with IB Order Filling

[Venugopal]

Hi,

I started "Paper Trading" the A14_BWB on IB (TWS).

In the BWB class, the mid-price in ONE is used for modeling and PnL calculations. IB does not execute the order at mid-price in the paper trading account. The order goes through only when the ASK price is used for the Limit.

When I check the last price for each leg, the net debit I should be paying is far less than the spread ask price.

Anybody here has used TWS for trading the A14_BWB. Can you help me out here. Should I just not use the spreads and go with trading individual legs.

Regards
Venu

 

[vega4mike]

Hi,
While I don't trade the A14_BWB, I trade using IB. Just be aware that the mid-price is not a real price that the MM is obliged to trade, it is simply the avg b/w the bid and ask, hence, I suspect IB paper trading is executing at the bid if selling and ask if buying as those are the quotes by the MM's. You can't judge your execution expectations in real trading based on what you can do in ONE, it is not realistic, just use it as a guide. It will all depend on how the mkt is moving at the time you place the trade, which is always fluid. In ONE its static and easy and this sometimes gives a misleading picture.

 

[Marcas]

Quite true. Once you understand this you are better of. With some type of traders you can use MID prices without much problem - not always but most of the time you can do that. With other types this behaviour is very important and simply invalidates the whole concept of 'back-testing'. Especially true for short term trades (short term in holding or in dte).

 

[garyw]

I think most use the MID price which is close enough most of the time. However, it seems to be the Achilles heal of most backtests, where the results become useless for assessing validity. One would think tool providers, would give this flaw some consideration. Note: TOS Papermoney has same flaw. You can observe the issue in quote data if you are so inclined (from multiple sources).