Originally Posted by jcl
But why do you need trade ticks at all? Order filling is caused by ask and bid, not by trade ticks.
Are you sure? Bid and ask price are market prices and are therefore relevant to market orders. But sometimes, when a trader has a buy limit order around bid price, another trader will sell at market, filling the limit order to the buyer's advantage. It is difficult to realistically simulate these kinds of fills without trade ticks.

This is also why IB offers Midprice, Pegged-to-Midpoint, Pegged-to-Primary, etc. orders, because there are people on the opposite end of the trade who will fill these orders.

I have a client that wants to trade better-than-market prices by placing limit orders somewhere between bid and ask.