Man, better to know the market you are trading on! http://www.nyse.com/pdfs/hm_booklet_Cp_4.pdf
Someone might have executed ISO (intermarket sweep order), hitting the book up to or even above 73.15 Milliseconds after the sweep autobots or...
Again, check T&S. I'd bet it was a buy sweep.
Not enough info, but in general T&S would tell the story.
RegNMS. I think your limit order became marketable on the ARCA and got routed out. Better watch NBBO and act accordingly...
You are missing the point. When people talking about professional real-time feed, they mean uncompressed, unfiltered streaming tick-by tick data....
What are you taking about? NYSE trading is closed after 4:00pm (not sure you are eligible to enter orders during crossing sessions). You must have...
Also, On NYSE the first close print is the imbalance print - specialist will stop the imbalance against the book (and he may participate as...
Are you sure it wasn't limit-on-close order? You cannot cancel MOC/LOC after 3:50pm, so you got executed at the close price.
Yes, yes, you do have platform-independent order management protocol (and FIX support as well). How about platform independent market data feed...
Abstract your system from a concrete market feed provider, use FIX as your OMS, and you won't have any single headache about all that crappy API...
I've contacted them a couple of month ago and got received the full API for Windows. Asked the question about Linux version and got a straight...
Alex, Do you have any plans to port your API to Unix? It appears that you have all necessary variables: API, FIX support, direct exchange...
Absolutely wrong. Market sweep hits the book, and the specialist has to provide price improvement in order to jump in front of a customer order....
Let me ask you one question. What made you think you had a print outside of the quotation? NYSE has separate feeds for trades and quotes, and...
With http://quickfixengine.org/ you may have a running prototype over a weekend. Having FIX handler, you can easily switch between brokers...
http://individuals.interactivebrokers.com/en/p.php?f=programInterface&ib_entity=llc Under Interface Comparison
Market sweep prints, ISO prints, reserve liquidity (a.k.a refresh prints), cross prints, PRIN prints, all of these can be observed on NYSE without...
You have to show at least 100 shares if you want specify max floor (aka iceberg or hidden liquidity). Which market center posted the quote...
In order to send the flow directly to NYSE one has to be a NYSE member, which costs several million $$ (don't remember the exact number for 2007)....
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