Recent content by Helene1717

Thanks for the prompt reply, zdreg. Because I'm only using NYSE data right now. But it would be lovely to know NASDAQ's too. H

Hi! I'm looking for trading fees of NYSE (maker rebates, taker fees, etc.), especially back to the early 2000s. Any suggestions where to find them would be appreciated. PS I've tried to contact the exchange but didn't have any luck so far. Thanks, H

Thanks, eusdaiki! Yep, but it seems that retail investors' orders are handled in bundles by institutions. Then they effectively becomes HFT to the exchanges (unless the retail investor specifies a target venue), right?

Thanks for sharing your trading experience, d08! That's really helpful, I've always wondered about practical concerns of retailers. In case you might be interested, with respect to this specific question, I'm also interested in how the SMART system of your choice, or in general institutional...

Thank you for helpful elaboration, Occam! Yes I'm only considering US equity market here. Thanks for bringing up the clock latency problem. I am using sip data, but it does not include any suggestion on latency of specific exchange. Nevertheless, I don't think it to be a severe flaw for sip...

Thanks for the reply, d08! Exactly - my question is, after splitting order over time, for execution of each piece, will you prefer certain exchange or rebate/fee reasons, or avoid one venue due to information leakage concerns? Thanks! H

Thanks for the reply, JackRab! I agree with most of your reply, but didn't get the second point: consider a desperate informed trader placed an enormous market order, 1. if there is not enough depth: there would not be any indication of his order size since the order is partially filled; 2. if...

Hi, I'm a researcher in finance and am interested in puzzling fee structures across exchanges. Having no experience in trading, I'm curious how in reality traders deal with the maker/taker fees. I have a purely imaginary hypothesis for informed traders' choice, and do let me know if you find it...