Recent content by ppy93

Is it because the volume is too small?

Does it mean D-Limit displayed orders placed at IEX can take advantage of both crumbing quote protection and order protection simultaneously? https://www.tradersmagazine.com/xtra/iex-increases-crumbling-quote-protection-in-displayed-trading/

I am working on a strategy that needs to minimize slippage against the NBBO midpoint at the time of placing the order. The alpha decays slow enough to give me an entry/exit window of 5-10 minutes. My trade size is less than 1% of the volume in the entry window. In other words, I can be quite...

Thank you guys for your advice. I just tested it with IB and both orders were accepted.

Assuming I have placed a limit buy order, after 10 minutes the buy order is still pending, can I place another limit sell order of the same stock with a limit price that is 50bps away from the limit buy order without violating the cross trade rule? The spread of the stock is less than 20bps.

Thank you and I will give it try.

Do you mean placing various limit orders at different prices within the spread?

Thank you. Do you know which brokers have to access their service?

I have an intraday strategy that is sensitive to slippage. What is the best algo/route to minimize slippage against NBBO mid price at the time of placing the order? I am OK with filling the order passively and slowly. The daily turnover of the stocks I am interested is $100M+ but not extremely...

Thank you so much. I am interested in data after 01/01/2020 at the moment. I need 4 fields: ticker, rebate rate, fee rate and shares available. Again, thank you for your generous help!

I am aware of IB's FTP and I download the most current data from it. Is historical data of 2020 also available on the FTP? Thanks a lot!