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In your data format, I see nothing about the exchange that a trade occurred on or the exchange for the Bids and Asks (or even the Market Maker). This is vital information!
For instance, if I'm trading AOL and a trade didn't occur on the NYSE, then it doesn't count.
Example:
I have a sell stop at 99 15/16 on AOL, and the NYSE specialist does this
NYSE 100 x 100 1/8 (and prints 100 1/16 stock)
NYSE 99 7/8 x 100 1/16 (and prints 100 stock)
Now the problem occurs when someone on the Boston exchange fills and order at 99 7/8 (which is perfectly legal and valid). Then:
NYSE 100 1/16 x 100 1/4 (and prints 100 1/8 and never less)
So, If my system is based on data not knowing the exchange, then it would stop me out, but if I can set it to only use NYSE trades, then I would still be in my position.
In real life, with a stop order sitting with the NYSE specialist, I would never be executed. Thus without knowing the exchange, the system could not imitate real-life.
Will you be providing exchange information?
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