I have a limit order to pick up some PFE today.  The limit order was placed immediately at the open for $18.00.  PFE gapped up a little bit this morning and opened around $18.10.  I glanced at my delayed ticker which I have opened when I don't have IB cooking and saw a low of $17.96 posted.  Oh good, I got filled.  So I fired up IB to see my fill only to find the order still sticking out there.  Surely my little order would've been gobbled up with a low print of $17.96.  I checked a chart on IB and never did the line go lower than $18.03.

I've seen this happen before and sometimes it will stick and sometimes it gets corrected, sometimes days later.  The point to make here is that no matter what trading system you create, you're always susceptible to bad prints in back testing and even real time.  If my system posts a fill tomorrow, then my system is now out of sync with reality.  This is bad.

It's important to try and assess how bad this data problem will be.  I've been trading this system for quite some time and it happens to me once a month or so.  It's not enough to be bothered with, but is incredibly annoying.  For those that trade at a higher frequency, I expect this would be more prevalent.

And as usual, I don't recommend PFE.  Never follow anything I do.  This is for educational and analysis purposes only.