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Is this the raw data you are getting? If so, this is not raw ITCH data, someone along the way is cooking it somewhat. I'll bet that step is where the problem is. I do not believe that sale conditions are the answer to this.

ET style? HFT is the guy on the other side of everyone's losing trades.

I wish each person who wants to chime in on this were required as the first step to define what they think HFT is. It sounds like from Cuban's rants, you could expand his opinion to be about all "traders". But of course, he doesn't waste time explaining his definitions and evidence. Just skip...

From this year: Broadvision BVSN

Couldn't find the CNBC chart you are talking about, found this one if anyone is interested: <img src="http://static6.businessinsider.com/image/4fbe9cc769bedd7c4f000002-590-/chart-of-the-day-sp-vs-gold-may-2012.jpg">

Clearly.

Are you joking? Who didn't love the 70's? All that great fashion and architecture.... Time to rip up all those granite countertops and put in some avocado green.

I think most platforms with an API will have samples programs that you can use to get started. Maybe take a look at this: http://www.interactivebrokers.com/en/p.php?f=programInterface

If ever a company needed to beat the earnings estimates, FB in October is the one. I expect maximum accounting shenanigans.

August 1st. google: nyse retail liquidity program

It used to be that there were clearly erroneous "clearly erroneous" trades. I mean $30.00 stocks trading a few times at $1000. It seems to me, back when that would happen, it was in the best interest of the markets to break those trades as that was not good price discovery. I don't see that...

Not sure I'm following exactly but, are there two messages in the feed, one putting the 300 shares on the offer and the second showing that 300 executing...and they have the same nanosecond timestamp? Is it possible the 3100 was post-only, there was a bid of at least 300 hidden also post-only...

I believe you'd get cash for your 1 share. If you had 11 shares and a 10-1 reverse split happened you'd then have 1 share and get $ for the remaining 1.

I believe he is just making stuff up. Except the last part, the Beatles made that up.

Rumors that an algo at Knight went crazy this morning thus all the crazy volume and price moves of the first 30 minutes today.

What happened?

This has turned into a pissing match. There's no argument that for control of memory management and other reasons C++ or some other low level language is best. But given the original post, someone who is currently using Excel/VBA, doing on the scale of 100 trades a day, and wants to do more...

Unless you want to use MATLAB's compiler, distributed computing, or parallel computing toolboxes, I'd consider using Octave (free) over MATLAB.

Didn't he run a hose from his tailpipe to his window and try to die of carbon monoxide? But I think he might have done it in the parking lot where someone saw him. Also, his car was a Tesla. Just kidding.

I read it as, anyone can send passive orders with sub-penny increments. RLP's have requirements to do so but, "Member organizations other than RLPs would also be permitted, but not required, to submit Retail Price Improvement Orders." (As long as your broker gives you the capability to send...