Recent content by dinn13

The other 1 M shares will be cancelled back. The idea is that if one gets a fill it will be cheaper than going to nyse/nasdaq but if you don't then just send the residual to the primary exchange. JPM (JPBX ats) and Posit have very similar agency close cross offerings that work the same way...

They are talking about consolidating CTA (https://www.ctaplan.com/index), UTP (http://www.utpplan.com/) , and ISRA to just a single consolidated feed/plan. While I think that makes sense to do it's not really going to change much other than wouldn't have to code two different specs if consuming...

That name does look like a decent candidate. Took at look at some tick data and see on average a 40bps spread. Yeah that's not nearly as competitive a space as say with the large caps and I bet 60 mics is just fine for that. The question will be just how much non-informed flow can you capture...

Very cool! A suggestion if you don't mind and assuming not already doing this.. but have some agents that are trading vwap/pov/IS style algos with no alpha (ie your institutions). If you're aiming to do this on liquid names then beware. I'll just describe the HFT setup at nasdaq to give you an...

I've had a deep dive from nasdaq as they call it. They bring in a senior engineer and product people who explain in detail how their systems work. Peg orders are not part of the core matching engine. You're effectively using an algo that sits outside the matching engine and thus why they aren't...

Robinhood is a broker-dealer https://brokercheck.finra.org/firm/summary/165998

if I recall correctly the only time I engaged with him was to disagree with what he was saying.. but I was nice about it which is just how I interact by default.

Firms that have a ton of flow (ie HFT) would have a significant advantage if they got their fills before it hits the book feed so overall a good thing assuming you're not Virtu/HRT/etc... Yeah that's a fair assumption especially for what is sounds like you're trying to do. If you need to know...

I have had a deep dive from nasdaq as they call it. Bring in the head engineer to explain how everything works. They did specifically address that. Client messages are sent over ITCH before they are sent over OUCH.

I was looking to connect to one of the SLP's directly from an HFT firm cause they were pitching it. I directly asked them if they build alphas off of the flow and they claimed they don't. But were putting a caveat on it and being a bit cagey which gave me the impression they were full of shit...

The price improvement is a relatively trivial amount. The reason they do is so that they can claim the order received best execution since the filled price is better than the far take. I forget but is there also a rule that they can't just fill at the far take, that they have to price improve? I...

A latency arb or other short term opportunity doesn't always exist so simply immediately dumping the risk is a no go. HFT would love to exit positions immediately but there is a tcost to it. So for example one of the reasons Virtu carries over 3 B overnight...

Colo doesn't matter per se. There are plenty of firms and specifically broker algos that are colocated that don't need to be since they aren't really making use of the lower latency. If you don't have short term alpha then latency doesn't matter. If the source of the order isn't collocated but...

The HFT firms want non-informed/zero alpha flow and take losses from informed flow that comes along with it. To put it another way, they want to pay for trades that aren't correlated with future price movement. I was speaking to someone senior at one of the HFT firms and they were complaining...

I've heard they have strict NDA's and non-competes that they are willing to enforce for example like with pavel/alexander although that took place in 2003. Supposedly a job at rentec is the last job in finance you'll have but you'll get paid for it... I've worked in the industry for going on 15...