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The Italian levy looked pretty reasonable to me until I noticed this "little detail" -- from the FT article: To me, this looks like a hole big enough to drive a truck through -- provided you're a big, well-connected firm. My guess is that any FTT/'HFT tax' that ever makes it to the US...

Nasdaq / INET / Island cal all refer to the Nasdaq (as of 2013) due to acquisitions; these are present as "legacy" names within brokers. As far as market share is concerned, it's also interesting to note that the proportion of "handled" volume remains somewhat more constant. Since Nasdaq...

This is usually true, but not always. [B] Again, usually true, but not always; I've had commission plans that offered per-ticket trading with full ECN rebates. If you trade high volume, virtually any imaginable payment plan you can suggest will be considered by your broker, providing...

How do you presume to know this? Your posts on this thread seem devoid of anything factual and add only negative value to what is otherwise a highly informative thread initiated by someone whose motives are by all appearances open and magnanimous.

A 1 second minimum would reduce a lot of the garbage we currently see on the equity markets. Any HFT that can't tolerate trading at almost-human speeds should be out of the market. Place/cancelling 4000 times a second is simply unjustifiable spam. A 1-second minimum resting period would wipe...

Why not trade it yourself through an institutional sales person who also has connections to outside capital? Then if/when it proves itself in the real world, they can help you with funding, and at that point I think you'll have the leverage to keep your own code.

I hope they're right -- IB's association with Timber Hill represents a serious potential conflict of interest, the hazard of which is greatest for the most active traders. I would not use a broker that reserves the right to shuffle their orders off to an "affiliate" rather than the best...

Yes; by law, the well-known futures contracts must all trade on their particular exchange. In contrast, the equities side is massively fragmented with dozens of alternative execution venues (such as dark pools), not to mention the fact that brokers can trade against their own clients and/or...

Thanks for posting here, hft -- this gets my vote for best ET thread of all-time. If you don't mind my asking, how does a firm with tremendous volume handle the increasingly nightmarish US tax code? Does it just get passed off to Green & Co or some similar firm, or can outside firms even...

FYI, you may not get the complete picture unless you get the order imbalance feeds directly from the exchanges (Nasdaq is one of the big ones for this, as is NYSE). Which is unfortunate in my view, as it adds to the heterogeneity of market data. Independent of that, this seems to be an...

For what it's worth, I've used NxCore under Wine in production for several years, and most (if not all) of the incompatibilities I've seen have been cosmetic (esp. with the GUI acting strangely, which isn't a serious problem as you really don't even need to use it once it's set up); I've never...

I'm about 85% sure that the OP is probably a troll, but in case not: No offense, but I think you were off your rocker not to quit pursuing this full-time after 6 months, not to mention 8 years, given that you claim to have a very high-powered degree that is in demand, and that you supposedly...

Just a lag, as far as I could tell. My systems stayed up the whole time and continued without incident once the lag was over. I don't think I've ever seen quote misinformation on NxCore myself, aside from some stale NYSE quotes that seemed to have been NYSE issues and seem to have disappeared...

There is no ms resolution for exchange timestamps yet. They were saying towards the end of last year that it would be in place on Jan 1, but apparently higher-priority issues came up. I remain hopeful, though, as it does seem to be on their to-do list. But in practice, it's not a huge issue...

NxCore fell behind during the flash crash, although it never crashed; it was a few minutes behind for about an hour, at least in my case, after which it caught up again and operated normally. I think this was due to a bug that they knew about at the time but hadn't fixed, as the data volume was...

[/B] That is interesting, and thanks for pointing it out. I am a bit skeptical of the idea that a sudden bounce-back in VIX will dramatically improve their fortunes, however. 2006-9 was a period of wide-open opportunity in electronic equities trading owing to the exchanges' having bought up...

For answers to your questions, I'd suggest that you select the S-4 filing from this Web page, which contains the answers to your questions, along with hundreds of pages of other stuff: http://www.knight.com/investorRelations/secFiling.asp In particular, note that GETCO had the following...

Yes, I think this is true by a 1974 law: http://en.wikipedia.org/wiki/Commodity_Futures_Modernization_Act_of_2000#The_exchange_trading_requirement In practice I think this greatly reduces the problems faced by equities trading (internalization, payment-for-order-flow exclusive deals with...

Where does this "price improvement" come from? I don't think they're giving you a free lunch. This is a firm that reserves the right to send its orders to its Timber Hill affiliate. To assume that you're going to get the same price as you would from a real exchange is a stretch -- and this is...

Nanex NxCore was once in the Amazon cloud -- not sure if they're still offering this, but if so then I think it would be relatively effortless (aside from the obvious paying the monthly cost and writing to their API), as their system already archives all the data on your local machine automatically.