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DTN NxCore is an API-oriented solution which has either NBBO or full OPRA feed, real time and history going back years. My guess is that it's quite a bit more expensive than IQFeed, though.

See also this thread from a couple of days ago: http://www.elitetrader.com/vb/showthread.php?s=&threadid=57129

OTC's are highly internalized by retail B/D's and their NITE/UBS/Citadel/etc. payment-for-order-flow (PFOF) friends, so you'll be lucky to trade at price X unless it benefits the PFOF firm. If you start making money consistently against the PFOF firm on a ton of short-term trades, they have...

Very true, especially when it comes to on-line message boards (the boards with a higher "amateur" contingent such as Yahoo's are by far the worst, but it does appear that the same human nature, as you put it, affects even the exclusively professional crowd here at ET :D). I wonder whether...

Good point, but not just the American consumer -- also the world's consumers, most nobably the emerging middle classes of India and China, who want their share of the oil as well. We could very well (albeit not without pain) wean ourselves off of imported oil entirely -- after all, virtually...

At first glance I found this article appealing, but then I realized you can stop here -- it's already failed. The electorate demanded low taxes, unsustainable entitlements, unsustainable personal consumption, and lip service to deficits. And the "545" obliged. Hence, the author...

Interesting chart, thanks. I'm sure that the answer has little, if anything, to do with either of the two US presidential administrations. Volume went up dramatically during the 2000-2008 period, far more than [pick your favorite macroecon stat]. My take: Volume went up dramatically as...

Very insightful, thanks. I've read a number of such "papers" and although I occasionally do agree with some of their suggestions, their arguments strike me as hyperbole backed by headstrong ignorance. And that makes me doubt whether I should agree with anything they say at all. The irony...

Thanks for posting that, doublechin. It's not too much of a surprise, considering how much tighter spreads have gotten, how much volume+volatility have declined (in many markets), etc. It's just a really competitive market (in both HFT and not-so-HFT), and it looks to to get even more...

Interesting post, thanks. I've occasionally wondered how people end up in a job like that. Too bad he didn't toss in the towel earlier and find a different career. Maybe he still can.

Edge might be defined as "positive expected value from the strategy". By that definition, it's largely independent of discipline or risk management, although lack of these two could easily torpedo a good edge. By the way, "better than 50/50" is largely meaningless in this context, as the...

I was assuming that the user whose question I was answering ("softdown") wanted a batch of historical data covering several months/years. But for most subscriptions consisting of a single exchange, I'm sure the (real-time) pricing would indeed be below $1000/month.

No one can answer this but you. But I'm sure you're also aware that given 100 traders fitting the profile you outline and who do quit their day jobs, the vast majority will be failures and will let down their families, big time. 4 great months after 6 years of mediocrity really doesn't seem to...

DTN NxCore has this historically as well as RT if you're willing to use their API and your budget is in the 000's.

Maybe, maybe not. Tradeworx claims, if I remember correctly, that the cost of adverse selection for liq adding orders on such ECN's now equals the gain on the liquidity rebate, on average and for each such ECN individually. Find the papers on it -- it's a lot less clear than it may first appear.

The aforementioned link doesn't deal at all with counterparty identification -- only an obscure way to "track" orders that wouldn't really be practical anyway -- and if one were really concerned, then why not just route elsewhere or cancel/replace the order rather than mod it. :confused:

Anyone who knew wouldn't have needed to "confirm the assumption". No assumption was needed -- the OP's post was perfectly clear. So then how are your orders being flashed? Only DirectEdge's exchanges even have flash at this point, and even then the order has to have the right tags...

I strongly doubt that anyone with more than the most rudimentary knowledge of ECNs and their terminology would ever need to ask that question. And who exactly needs to chill here? :D [B] Why (and how and by what venue, for that matter) are you sending flashable orders when you don't...

Naive? :D And this coming from someone who as of the start of this thread didn't know what "taking liquidity" means? :D Please correct me if I'm wrong, but an order on all of today's non-dark, non-NYSE ECN equity books is still a real order, one that will get hit if you cross it. Yes...

"Taking" and "removing" are exact synonyms when referring to liquidity in this industry. If this is really true, then consider looking at the size of the bid or ask before sending your order -- only send orders for the size that's displayed. Minimum quotable size is usually 100 shares...