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I'm not sure if many individuals do this, but I'm sure the quant hedge funds do. The dollar amounts applied to these longer-term quant strategies is colossal and completely dwarfs that applied to HFT. Check out "The Quants" by Patterson if you want to learn more about these funds and their...

I am not totally sure, but it sounds to me like you probably would need to decouple your strategies from NinjaTrader, which would require extensive programming, unless you coded yourself and made things fairly portable. Last I saw NinjaTrader doesn't support FIX, so my guess is that without...

I've used lots of distros and there seems little difference from my point of view. I have used many versions of Wine as well, and I don't think I actually had many problems even when the version was less than 1.0, although things did improve with higher version numbers, becoming pretty much...

I've been running NxCore for years under Linux in full production; I just rebooted a server that ran NxCore uninterrupted since December 2013 (the reboot was precautionary and had nothing to do with Linux or NxCore). That's a single, uninterrupted NxCore process, running on Wine, nonstop for...

There's nothing inherently difficult running mixed-OS systems as such. Wine, VMWare, and multiple servers are all feasible for this; there may be an extra layer of debugging involved, but debugging such problems as I've encountered them has been far easier than debugging my core code ;) Most...

In any event, I think it would certainly make sense for the SEC to figure out exactly who it was who made those trades, and what connection they might have to executives, law firms, etc. involved in the potential deal.

At least the new microcap pilot program will banish sub-pennying for one portion of the test. http://www.reuters.com/article/2014/06/25/sec-pilotprogram-trading-idUSL4N0P61HV20140625 In another positive development, politicians appear to be taking an interest now...

If you're talking about US markets, Nanex NxCore can do this with ease, but will cost you something in the low $1000's per month (requiring a 1 year minimum commitment, too, maybe?). It is a full tick feed for either the NBBO or full OPRA, and you need to use one of their API's to access the...

It's not surprising to me, given that dark pools are now executing lots of small trades, rather than the blocks they were supposedly created to trade. It seems to me that if you're an institution trying to move a big block, your intentions get broadcast anyway on today's dark pools (as they...

NxCore can do this but is significantly more expensive than IQFeed (at least the default IQFeed). It is a strictly API type of system that gives you the whole OPRA feed, or else just the options NBBO.

I don't know what the microstructure of the markets you traded in the past, but I am pretty sure it's very different than that of US equities. If you're talking about the less liquid equities, scarcity of liquidity is compounded by fragmentation. Most retail brokers sell 100% of their order...

IEX allows for queue jumping -- my guess is that that's the "carrot" they used to get major B/D's to support them. (Why would large B/D's support an exchange that promotes fairness, when, historically, a major source of their "trading" revenue has been to probabilistically skim their own...

"except for quote updates from market makers" -- how convenient for IB; IB's Timber Hill is a market maker and an HFT. So he's proposing a rule that only allows the biggest of firms to quote frequently -- that will really "fix" things -- i.e., it will fix the outcome in favor of an oligopoly of...

"The game" of trading more effectively is fine by me, but I don't much like the practice of manipulating the rules of "the game" in order to gain market share at the expense of fairness and transparency, in this case enabling B/D's to skim more off of their clients in the process. And that's...

"broker preferencing" (which is really queue jumping) looks really bad to me. As if we didn't have enough to deal with, with internalization, PFOF deals with wholesalers, fragmentation, and byzantine order types. This will add yet another way for brokers to skim their clients -- something US...

I'd guess the ban is due to the fact that an ETN can track pretty much anything, so giving a client a large amount of margin to buy one could subject the lender to unusual risk, though I'm surprised they don't leave it up to the broker. (PM is not just about the options risk -- it's also about...

If you're talking about trades going through your hidden orders in general, then the largest culprit is probably internalization/payment-for-order-flow by "wholesalers": retail brokerages selling their order flow to Knight, Citadel, etc. These orders generally get a "price improvement" of...

Are you adding or taking liquidity? Citadel, Knight/GETCO, and 3 other firms form the vast majority of "subpennying" in the market. If you're taking liquidity, you're just "robbing yourself" of the .0001/share (:D) you'd be getting if you used some "discount" broker's "smart" (:D) routing...

If you use FIX (which in my experience is far more robust than broker or platform API's), then you can more or less switch brokers seamlessly without switching API's. Basically every broker that caters to larger/higher-volume clients offers FIX, which has robust features such as automatic...

If you mean you're trying to add liquidity, that would not be surprising. It seems that internalization and retail brokerages selling their order flow to "wholesalers" (Knight, Citadel, UBS, Citi, and the former E*Trade) has risen to an all-time high over the past couple of years -- over 50%...