Recent content by mr19

http://www.nasdaq.com/symbol/adi/historical Looks like you can add up to 25 symbols. Should be able to hack up with your favorite scripting language to grab the data.

http://www.nasdaqtrader.com/files/crosses/CrossStats20140102.txt Data usually available the next day and is available historically by changing the date in the URL.

Thanks, unfortunately going through a broker isn't an option for the data.

Anyone know where I can get opening/closing auction volume for individual securities on the NYSE? It's freely available from NASDAQ but I believe you have to pay for the NYSE data but for whatever reason I'm struggling to find a link. TIA.

By consolidated I mean the CTA & UTP equity feeds as opposed to processing exchange feeds directly.

Nice thread. Do you feel it is still possible to make money using the consolidated feeds (assuming colo, etc). Or do you feel the latency of those feeds takes you out of the game.

where do you send IO close orders for listed symbols? NYSE? From what I can tell INET supports listed but I don't see any volume in listed when I pull up their NOII.

If I submit a LIMIT order to INET before the OA cutoff with the session tags set to both pre-open & core, will this order participate in the OA? I know how to participate in the OA, what I am looking for is an order that I can submit pre-open and if not filled during the OA turns into a...

I write perl scripts (although it could be in Python, Java, etc) that basically act like web browsers and download web pages with the data I care about. After the I fetch the page I parse it looking for fields I need. Sometimes it's easy, sometimes it's a PITA. For example, I have a...

Well, I know if I don't do it this way I get an email first thing AM from our compliance dept. But here is an excerpt from the Reg SHO FAQ at http://www.sec.gov/divisions/marketreg/mrfaqregsho1204.htm (NEW! 08/28/09) Question 2.4: How should a broker-dealer mark an order where the seller...

LONG 100, want to sell 300. I know I have to split this into two orders, SELL 100, SELL_SHORT 200. If I then decide I only want to SELL 200, can I just cancel the SELL 100 order? Or do I have to cancel both and then send SELL 100, SELL_SHORT 100? Can't find anything that covers this, my...