Where is the false information? The specialist still has ways to participate in the fast market (in a limited way though). Please explain where...
http://www.nyse.com/pdfs/2007pricelist.pdf
Theoretically, any broker can front-run your market orders since he sees all your flow. And I'm pretty sure every big house does that at some...
1. NYSE HYBRID does match almost all orders these days (when market is fast). 2. During slow markets the specialist cannot go long on up-ticks...
How liquid is your stock? It maybe an algo working a buy order and bidding up the price.
IB feed is snapshot based (sends every 100ms or so). AFAIR, IB API gives you an ability to request bar info (1 minute min). Go and shop for...
If you care more about executions than the price, just shoot ISO and DNS orders to NYSE. You'll quickly kill yourself sweeping the book......
If a broker sends an order down to an exchange/ECN where the quote is away from NBBO, the order will be rejected (on NSX for example), or a the...
You may also look at NYSE Action Market/Limit orders. You can use FIX to send orders if your software doesn't support those order types.
I use my custom-built software to produce the tape. Here is an example (BZH.N today): 15:56:01 7.23 x 7.25 17 x 3 15:56:02 7.23 x 7.25...
Really depends on the stock. I believe it happens pretty much every time when you see the slow quote indication on NYSE feed. I often see 1 lot...
The specialist or a floor broker may post "reserve liquidity" orders into NYSE Display Book. Take a look at:...
The chances to get the price improvement are very slim, the specialist participation rate is extremely low these days :(
http://quickfixengine.org has pretty much the same features, free, and easy to use. If you are looking at FIX connectivity, I believe you are...
Many ECNs natively support reserve liquidity (on NYSE it's available for specialists and floor brokers). Usually SmartRouter will watch every tick...
Are you kidding me? 100ms is eternity in today's market. When you are sitting on Java & IB market data you are the last person on this planet that...
My statement about TWS API timing was based on the real order execution. My ATS does extensive logging, and I had observed all order ACKs and...
Everything counts. You spend 1 ms submitting your order via TCP/IP, and Java based TWS can easily spend 50-100ms processing your order before...
I'm not sure you can quantify this. Market doesn't stand still while the broker works your order (especially with SR when it takes seconds to get...
I don't see any magic here. Algos can cancel/replace orders a couple dozen times per second, and prettry much every ECn has an option (called...
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