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This link explains internalization and payment for order flow. And gives estimations at the money being syphoned off of the public quote. http://premarketinfo.wordpress.com/2012/02/23/dark-secrets-where-does-your-retail-order-go/

The argument is that a retail trader (who often do use market orders) would have to pay a 37 spread if they did in fact use a market order. The point of the article is that spreads are definitely not tighter at certain times of the day. And if you think you can sell IBM at 203.44 when quote...

That was a consolidated quote. Wasn't NYSE quote. That was all the liquidity present.

Two years after the Flash Crash - Spreads are Narrower and Liquidity deeper than ever before? Think again. http://premarketinfo.wordpress.com/2012/05/07/two-years-after-the-flash-crash-spreads-are-narrower-and-liquidity-deeper-than-ever-before-guess-again/

Powerpoint on HFT tractor beam. Discusses rebate trading and how HFT rebate traders lean on orders. http://www.premarketinfo.com/public/files/HFT_Tractor_Beam.pdf

Coke (KO) spiked 90 cents in the last few minutes of the trading day today. An unbelievable move for KO on no news. What happened? Answer: http://premarketinfo.blogspot.ca/2012/03/what-happened-in-coke.html

This link explains internalization and payment for order flow. http://premarketinfo.blogspot.com/2012/02/where-does-your-retail-order-go.html

Understanding internalization and payment for order flow. http://premarketinfo.blogspot.com/2012/02/where-does-your-retail-order-go.html

Dividend, Your orders can be logged in a number of ways. Predatory HFT programs will track your order as soon as it is sent to the exchange. This allows the HFT to gauge short-term supply and demand, and allows the HFT to put together "a mosaic" of short term liquidity. When short-term...

http://www.premarketinfo.com

http://www.premarketinfo.com

Financial Transaction Tax Punishes Main Street more than Wall Street http://www.hftreview.com/pg/blog/tripledtrader/read/16967/financial-transaction-tax-punishes-main-street-more-than-wall-street

Blog arguing against transaction tax. http://premarketinfo.blogspot.com/2011/11/lawmakers-to-propose-transaction-tax.html

I'm writing an article on prop trading for a magazine. One section focuses on rebate trading. I'd like to interview a prop firm that specializes in rebate trading. PM me if you're interested.

Okay, we're not talking about HFT being the problem here. We're talking about internalization being the problem. You can pony up all you want, get to an HFT level, and possibly participate in some internalization pools. But the ones you participate in will be exhausted flow, where the orders...

http://www.defendtrading.com/cfm.v21.n5.15.pdf

CBSX Get Paid to Take Model - A Glimpse into the Future http://www.defendtrading.com/blog.html?entry=cbsx-get-paid-to-take

It all has to do with order flow.....most uninformed orders get internalized now...making it very difficult to get filled on the bid and the offer in illiquid stocks. This makes scalping and market making unprofitable strategies. Even in liquid stocks, the only time you get filled on the bid...

This is a bug in IB system....I have seen this for years, and have filed multiple complaints. I haven't seen it lately though. Basically u try to lift the offer of $3, and it bids you against it at $2.99. No matter what router you use, it just bids you against it. I've tried to...

From Bright Trading, detailed description on how internalization impairs public price discovery, and discourages displayed liquidity. http://www.sec.gov/comments/4-602/4602-29.pdf