Recent content by lrm

  1. L

    Dedicated Server for Unattended Automated Trading

    CPTrader, Check out Steadfast Networks: http://steadfast.net/
  2. L

    What happens inside the spread?

    Agree, but that's not what is generally accepted as a "flash order". Just don't want to add to the confusion. When a BD fills the order prior to it entering the broader market they are internalizing it. Either by filling it themselves or letting one or more liquidity centers see and potentially...
  3. L

    What happens inside the spread?

    That's just broker/dealer internalization, not flash orders.
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    What happens inside the spread?

    Are you talking about the sub-penny orders? If the spread market is 25.95 bid / 25.96 ask and you see prints at 25.959 and 25.955, for example, then you're seeing sub-penny execution. This happens because it is legal for non-displayed orders to execute at sub-penny prices. This happens on dark...
  5. L

    Lightspeed API

    Lightspeed makes you sign an NDA before you can see anything related to the API. Call them up, tell them you're interested, sign the NDA, and you'll get ample information to evaluate what they have. It's easy as pie and takes < 1 day to get the NDA, sign it, and get it back to them. In terms...
  6. L

    What does a HFT data feed actually look like?

    I don't think it could, really. Unfortunately, most folks don't understand this type of order beyond what they hear on CNBC, and those folks certainly don't understand it. Therefore, myths begin to perpetuate. I'd suggest trying to track down an interview or two of the BATS CEO talking about...
  7. L

    What does a HFT data feed actually look like?

    You're right, of course, I over simplified. Perhaps too much. Most importantly the order is executed against the BATS book first, then it is posted to the market participants for execution for 500ms (not 50ms as I erroneously said) before being disseminated to the national market. One key fact...
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    What does a HFT data feed actually look like?

    It's simple really:BATS receives an order to BUY 100 shares of CSCO at market BATS "asks" traders using the BATS direct feed with the appropriate entitlement if they can fill that order. These traders have a certain amount of time to respond. I believe it was 50ms. If no response, the order...
  9. L

    Need historical minute data - good source?

    Check out Automated Trader's historical NASDAQ data. It will only be useful for NASDAQ issues, but it is reasonably priced data and is sourced from the raw NASDAQ Itch feed: http://www.automatedtrader.net/nasdaq_tick_data.xhtm Take care, Louis
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    What does a HFT data feed actually look like?

    Most use data feeds direct from trading centers. Each of these feeds is different, but all carry messages used to represent depth of book changes and execution messages. A few examples: NASDAQ TotalView-ITCH BATS PITCH CME Globex FIX/FASTThe most serious of the high-frequency firms don't use...
  11. L

    RGM Advisors in Austin

    No AUM. Trade their own money.
  12. L

    Advice required regarding automated trading from home / office

    Why not rent a cube/office in a shared office space? There are serviced offices all around that allow you to rent the space you need, and you'll be able to chit chat w/ other folks as well. I did this in Sydney for about 8 months, had a great time. Louis
  13. L

    the right multi purpose software?

    What data feed & broker are you using? Thanks, Louis
  14. L

    the right multi purpose software?

    I should clarify. When I said "NT" above I meant NinjaTrader. I'm currently investigating NeoTicker, but I am concerned with the data feed support, especially for futures. There are some recent forum threads on the NeoTicker forum with folks who are frustrated with the feed options available...
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    the right multi purpose software?

    I tried NT's programming environment. I found NinjaScript to be a bit obtuse, but it's possible I'm missing something. Their documentation of the API is a bit sparse, IMO. I'm looking at Multicharts, and now NeoTicker, thanks to this thread. Louis
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