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I agree 100% (although my impression is that there's also dramatically increased competition even in the smaller-volume stocks in recent months). Regarding zerohedge "HFT bugbear" Goldman, I've read in several analyses that most of Goldman's trading profits come from OTC/illiquid/derivative...

I would take whatever you find on zerohedge with a grain of salt. It seems the author has an ax to grind and merely cherry-picks studies/articles/quotes that support opinions he already has.

TokyoGhetto, Not sure what those results are -- is that some sort of backtesting system? If so, you might find that reality yields profoundly different results. A lot of order flow is internalized these days, and unless your backtester is taking this into account, you'll find that much of...

A 5-day track record and 10 trades? Wow...what an amazingly long track record. Give it another 5 days and I'm sure it'll give back everything you've made, adding to the thousands you claim to have lost on scam robots already. (If, that is, you're an unbiased customer and actual user of...

Yet it seems that you yourself are basing your conclusions on your observations of your own friends from Ivy's who succeeded: [B] I think that the evidence, when properly analyzed, strongly refutes your conclusion. http://www.newsweek.com/id/90037

Thanks for posting, Chelsea FC. Interesting and insightful. That would seem to explain a lot of what's gone on in the "ex-bulge-bracket" over the past year or two.

I see this as your wanting to wait for something that's already there, which doesn't make sense to me (and similarly for "shorting the bid" without taking liquidity). I think your options are to try to add liquidity at 45.12, or to take liquidity at 45.11. If you've got a burning desire to...

What (if any) is the rule that prevents "blackbox op" in a mutual fund? Isn't an index mutual fund a "black box"? Or do they adjust all their positions by hand? Also, don't mutual funds use those VWAP buyside algos sold by the various institutional brokers?

Any firm offering portfolio margin (PM) can give you much more leverage, if you meet their requirements and are trading a "statistically diversified" portfolio. Penson-cleared accounts, as well as Interactive Brokers, may be willing to give you a PM account with that level of equity.

I'm pretty sure you guys are dealing with a troll (traderum) here, maybe Jasonn...check out this thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=183818 :D :D :D

Both DTN IQFeed and Townsend Analytics (RealTick) once allowed you to "upgrade" their services to go something over 1000 symbols; not sure if this is the case anymore.

Mutual fund returns will also be hit as liquidity providers will be hit wit the tax and will price it into the spreads. Of course, many have postulated that an exemption for large B/Ds would be slipped into any "final version" of the bill, under which (likely) scenario everyone gets exemptions...

It shouldn't be any slower for high-end systems, if their providers use surrogate keys for symbols (as they should). The number of mistakes disseminated under the old symbology is unacceptable. Strikes are not uniquely identified under the old system, and this turned out to be a major...

True. I think sponsors should be able to "announce themselves", and three posts for (only one) day is fine by me. But you're right in that sponsors shouldn't be able to "take over" all of ET. Maybe the site's owner (Baron) should explicitly define how many promotional threads sponsors can...

I don't think there's any issues with this as you are a sponsor, livevol_jason. It seems to me that ET sponsors are explicitly excluded from the "no advertising" code of conduct policy (no. 6). Email the mods if in doubt, but contrary to dagnyt's post, I don't think you did anything wrong...

What do you mean by "complete Level 2"? Level 2 refers specifically to Nasdaq top-of-book, per-MM quotes. Maybe what you really want is a full book feed such as TotalView: http://www.nasdaqomxtrader.com/Trader.aspx?id=TotalView I think that quite a few brokers/platforms do serve...

I got an annualized vola of .607 for the first and .597 for the second.

I think that NxCore sells whole-market L1 (NBBO and execution) feeds for most Canadian exchanges. Not sure how much it would cost through them, maybe somewhere between $500 and $1000 per month, depending on what you wanted (see http://www.nxcoreapi.com/Symbols/). The API is quite nice for...

I'd phone them, and do so next week (lots of people gone or not really paying attention this week).

Instinet bought Island in 2002 to form INET, and then in 2005 Nasdaq bought INET. After Nasdaq's aquisition, it's my understanding that Nasdaq converted its matching engines to the INET/Island code base, and the same engine is used for their new options exchange. Don't quote me on this...