Stop bitching at NYSE/specialist. If you cannot trade listed stocks, go and trade NASDAQ stuff. BTW, to my best knowledge, NYSE doesn't support...
Yes, the market fragmentation is the biggest problem for a tape reader, but there are listed stocks that still traded on NYSE about 80% if its...
IMHO, the answer in the book is wrong. It depends on how a particular market center executes ISO orders. For example, if you route your ISO order...
All Wyckoff's (Rollo Tape) books are very good, Neill's book is good as well, but you have to adopt the technique to today's market place since...
T&S windows usually have pretty dumb logic - a print at the current bid is a sell (red), and a print at the current offer is a buy (green). This...
If the specialist wants to go long and provide a price improvement, he has to bid the stock and be a part of top-of-book. Also, depending on the...
Remember, the specialist's limit orders are at the end of the line (PPY), and they cannot take bid/hit offer, those orders are delayed. But I...
The specialist has API that allows him to see the order flow, and he can provide a price improvement for an incoming order.
It really depends on the stocks you trade. For liquid stocks you probably be fine with market orders, but for stocks that trade say less that 5M...
Write your own algo to step in front of NBBO and provide liquidity vs. taking it.
Remember, that under RegNMS the only top of book is protected, so if you send an order down to NYSE and NBBO is somewhere else, you'll get...
Not enough info. What was TIF & where orders were routed to?
Never, and remember that IB is used by many pretty big houses via FIX lines, so it's better be robust.
You got executions from your broker, so you see the same filled price/size as broker gets them. Everything does match up well if you calculate...
My position manager is the first source of information, it keeps track of all orders and positions, calculates balances, buying power, commissions...
I was trying to avoid broker APIs at any cost. In my ATS I have implemented the position manager, use third party market data provider (through...
The question is not quite correct. Quickfix is very flexible when it comes to composing messages, so it can be tailored to any broker. What you...
Nothing is perfect, but at least you don't have to support a dozen different OMS APIs in your ATS. Not mentioning that some API's are simple FIX...
Does anyone have experience with Lime Brokerage? They also offer market data and OMS through API & FIX...
Could you please explain why do you care to see prints on the tape during NYSE crossing sessions?
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