There is absolutely no way you can fit today's market data update frequency into FIX pipe. There is FastFIX for that purpose. I use IB for...
If IB supports MD over FIX, it has to comply with the standard. Check this out: http://fixprotocol.org/specifications/fix4.2fiximate/index.html...
They don't offer FIX for paper accounts. You complete certification on a test FIX line, pay $500 and then go live. Then you have to generate at...
Fragmented flow is still a major problem for the NYSE tape reader, but adopt or die... It appears that NYSE has tuned up the execution system...
Try this: http://www.trade-ideas.com/StockInfo/_ScreenerConfig.html
In general high price/low volume stocks tend to have larger spreads. Also, the spread on a particular market center is usually wider that NBBO....
Snapshot-based market data feed will drop quotes and aggregate trade prints. So if someone traded say 9 contracts 50ms before you did, IB would...
The short answer is yes. http://individuals.interactivebrokers.com/en/trading/marginRequirements/margin.php?p=d&ib_entity=llc
Ask IB to clear PDT flag on your account, they can do that once in 180 day period (per NASD rule).
AFAIK, darkbooks/pools don't post any quotes...
In the case when you have reserve liquidity the very next quote would come with the same size or what left. So you shoot 100, 300, or 1k buy...
Use 100 shares and see where it prints and what is the very next quote is. You have to have a very good unfiltered true tick-by-tick market feed...
I have verified (on FIX level) that NYSE cancels day orders only after the stock is closed, i.e. after the close print. So I don't see how that 6k...
Well, here is the tape 30 seconds prior the close: 15:59:23 1.14 x 1.16 649 x 93 15:59:43 1.14 x 1.16 649 x 114 15:59:44 1.14 x...
Here is the tape for yesterday's close: ... 15:59:54 1.14 x 1.15 958 x 95 16:00:00 1.14 x 1.15 977 x 95 16:03:03 1.14 x 1.15...
... ... 15:59:59 1.19 x 1.20 272 x 91 16:03:01 1.19 x 1.20 272 x 91 C/C 16:05:42 20s1.19 @ 16:05:42 1.19 x 1.20 252 x 91 C/C...
What was the stock? I bet it was a large-cap one, in small/mid cap they use to just satisfy minimum 1k to display, and when NYSE reduced min size...
The specialist, floor broker, or properly coded algo strategy would never flash big/offer with that size. It must be a stale order, a typo, or...
Yeah, it's getting harder and harder to spot institutional/floor orders, and the specialist reserve liquidity is an important piece of info IMHO....
There is no such statistics. Get historical tick-by-tick data and figure that out, which is not trivial given the fact that quote and trades are...
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