Totally Bogus Fill prices!

For the system Risk Averse FX, C2 reported a fill

(sell to close) in EURGBP at 17:50 EST 02/23 at

0.6858 for a profit of 30 pips.



Problem is, the market was nowhere near that price

at the time. EURGBP was trading 6803-6805 at the

time. Trade was underwater by 25 pips when C2

closed it out at an alleged profit!



How many other “profitable” trades are like this?

Does this happen often?






Matthew,

Indeed, that’s a bug. The 17:30 fill is a misquote.

Please cancel the fill.



Schmitty, it’s the first time it ever happened in the advantage of the system, but it happened 3 times on the stop-loss side, always when the market was closed for the week-end.

JEP



HI. I’m a new subscriber to Risk Averse. I think the “fill” at .6858 was my doing. In order to catch up to Jerome’s open order on EURGBP, I placed a market order at IB when the ask was .6804. Unfortunately for me, IB actually filled it at .6858. I called and they backed the trade out. I placed the trade around 5:30pm. Not sure if IB has something going on that time of day.

Hnmm… Interesting. I’m working on a Forex system, but I’m having fits with data feed integrity. Bum fills or quotes can mess up both system signals and customer results. Not encouraging…

If you except the week-ends, quote feed is rather reliable.

However, in many pairs, there is a quote gap and a larger spread than retail brokers.

JEP

Several posts concerning this problem (eg. see posts on Autotrading forum on 2/13/06 with main thread topic “Limit Orders”), and it does seem to be restricted to after hours and/or weekend market orders. But it can sure screw up things! I also had IB bust a trade that was filled in my real account at prices up to 120 pips away from the market price at the time, and I had no idea the order even existed when it was executed (long story … bad tick, TB left market order over weekend, crazy fill on Sunday.

Jerome: It’s not the “feed” that giving me problems, it’s bad ticks, etc. Bum data. I’m working on some filters.