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I never saw a subpenny fill on BATS when I used it, but then again I switched back to Nasdaq for almost 100% of my trades as it seems I get better fills there by the numbers I ran.

That's bizarre. Did it really go to BATS? Or did your broker internalize it? Try calling your broker or BATS and ask the question you just asked here ("how do I get to be the buy side of this?") --- I would be really interested in their answer.

I think this is a phony email. The actual bill is even more bizarre (it's for a 1% tax on all transactions, including stock -- plus the elimination of the income tax): http://www.govtrack.us/congress/billtext.xpd?bill=h111-4646 I strongly doubt it would work -- it would just cause...

Only DirectEdge has flash, right? NSDQ and BATS got rid of them as of Sept 2009 -- at least that was the latest news I saw. So if that's still true, then why are you sending flashable orders (generally only available with very specific routing anyway) via DirectEdge when you don't want them...

NSDQ starts quoting/matching as early as 7am. ARCA starts quoting as early as 4am, but what constitutes "open" for you, you'll have to decide for yourself: http://www.nyse.com/equities/nysearcaequities/1157018931781.html http://www.nyse.com/equities/arcaedge/1157538334897.html

Here is a recent post from another thread that I think is very well-written and largely (although not verbatim) agree with:

Good point, nitro, Using stop loss orders without a limit is massively risky -- a "safety" measure that, paradoxically, can actually blow up one's account in seconds. On a slightly different note, why is everyone taking a Themis trading "whitepaper" so seriously? I wouldn't give their...

Don't know if this is really helpful, but there are several that may not be "retail brokers" per se but do take retail accounts under PM if they're high volume and have enough equity (typically in the realm of $1 million minimum).

I wonder, is there something like this that is built off of QuickFix? People have built various open-source apps on top of QuickFix; I doubt it would be as comprehensive (or supported) as a commercial app, but there may be something out there that suits your particular situation.

Not sure -- you can try emailing their sales dept.; contact info can be found at: http://www.nanex.net/

I've seen your posts in other threads, saying similar things about other types of traders. So in your book, everyone who trades is "scum"? Or just those who are more successful than you? I don't understand what your point is in this type of post. :confused:

I think NxCore has very good data, if you are willing to use their API, which is the same used by their live service. It may be cheaper and more comprehensive, if you're interested in entire markets rather than individual securities. Also, the individual exchanges have good historical data...

So James Simmonds and D.E. Shaw are going to end up working with you for $10/hour (if you can even afford to pay that much)? :D

That's a pretty long list -- what, may I ask, is the broker you're using? And are all those available to you now, or upon request? I think that those are broker- or platform-specific routes that specify particular order types; this is done using FIX flags behind the scenes, but some...

In addition to significant profit drops in Goldman's equity unit and Timber Hill (IB's market making division, which used to make most of IB's profit), it seems that the HFT space has become much more competitive and less profitable. Compounding the issue, volume is down; and since by far most...

The Automated Trading section has quite a bit on this. Also, there are "quant" sites such as nuclearphynance.com and wilmott.com that have a lot more technical discussions (more on the math side rather than the code side).

Interesting post; thanks, Paul -- makes me appreciate the difficulty of this problem.

NxCore does this with full feeds and very cleanly, but that's API-only and quite a bit more expensive. Very nice system, though, if you need full feed(s).

Internalization refers to broker-dealers trading against their own clients. This isn't the same as an institution (such as a hedge fund) using a dark pool to post liquidity sotto voce. Enforcing a ban on it would be straightforward -- a B/D does it, it's no longer a B/D, clients close...

There are many ways to do this. Here is just one: http://www.elitetrader.com/vb/showthread.php?threadid=191918