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yes, i've written both execution and simulation... don't forget data, that's important too. the number of symbols in and of itself won't be a problem for most brokers, but as a result of running many symbols your order frequency and messages per second can cause major problems. most will...

is rolling your own not an option? i think a 3rd party solution may get you there in the short term, but in the long run there will always be something frustrating that you won't have much control over. when you start to really push your automation, you'll find control and understanding every...

yes you're right, technically that's true. i suppose i'm being a bit 'legacy' in my nomenclature, but it's one of those marketing terms that have managed to stick around (ala xerox). for instance, my feed delivers full book for all exchanges, but rather than use the trade names (arcaBook...

always is different than 1/3... either you're subscribed to one of those new 'quantum' feeds, or you're not making much sense. <1% cxls on the QQQQ's? come on man, at some point you have to use your brain to analyze the data vs just using it to produce data! talking to traders who are telling...

i wouldn't say it's 'way' too high. sounds like he's paying .004 @ probably way < 1M/mo. he could maybe get it down to .007, but he's not doing enough volume where a thou is going to matter. fwiw, i pay .00125 all in doing 6M/mo with some decent execution algorithms. @OP, asking for cost...

i haven't seen this, but there are lots of quirky things due to being so locked into MFC and with the different VS versions. what i recommend. revert to the base API straight from genesis, and try running their PlaceOrder function without any modifications. if it works fine, then you know you...

yes, they do... that sounds like your vendor's feed implementation.

that doesn't make sense. a modify is a cxl/replace. so, anytime there is a reduction in liquidity at any given price level that isn't trade related, it's by definition a cxl. no way it's "not going to show up", unless your feed is broken.

this is a grey area, but have gotten some counsel in the past that said as long as you can prove income was generated from invesmtent/trading, it should be good. might want to talk to green, he was working with a law firm about an opinion they were writing up for a decent offshore firm that...

SPY/SDS... ever hear of ETF's? just because he played for the phillies, doesn't mean you won't sound like an ass when you quote his options 101 book...

if the irony wasn't so thick, i might've had a go at that...

by NBBO, i meant 'top of book', not the published L1 feed. anyway, if you get a zero size for a level, and no trades executed there, then, yes, you have canceled orders. basically, any time you have a reduction in size on the book that's not trade related, a cxl occured.

heh, you guys are spoiled. vix is still high 20's... just wait till it goes back to the teens. back when double digit ES days were craaazy days.

the penny bids, and 1k offers you see are there because, depending on the exch, mm's are always required to quote a market. it has nothing to do with cxl's. the only way to detect cxl's on a book is to have an algo that wathces -delta for sz updates. tricky to do on the nbbo because it has to...

i've never heard of cancellation fees for nasdaq, i don't think they have them. a friend of mine really banged on their servers hard for almost a year, and at some point they just told him to stop it, but never any fees. it IS common for retail brokers to implement these limits, as execution...

hosted and locally. MFC... not big fan of it though, but since the GUI doesn't rank high on the list of importance for me, I never get around to swapping it out.

look, if you're an american, and you're setting corps up to run your prop firm as an american and you're not claiming that income, the irs will own you. might not happen today, or tomorrow, but when it bites you, you'll lose everything. only reason i'm even taking the time to respond, is...

i'm actually working on this right now, and what i've found is that most all data can be inferred from your position, risk and order management code. i'm just building a lightweight class that queries these objects during live trading, performs the calculations for metrics i want, posts to a gui...

1. you recommended americans living abroad could setup offshore corps to avoid paying taxes by leaving money in the corp and paying themselves a small salary. if they control the corp (you implied they could): fail. 2. see above. if you control your corp, are an american living offshore or...

... i don't think you even need to analogize 'bad packets'.