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I'm not hating on IB here, I'm just saying that the API in its current sate is inadequate for my purposes. It is obviously a fine solution for many people. The problems you mention (drop outs, etc) are very important issues that should easy to handle from the API. As far as being the most...

It's pretty important for me that the message rate is not limited.. does this limit apply to colocated servers as well? FIX is fine but I've found it to be a real pain to deal with.. and also, FIX for quote dissemenation is not realistic due to the amount of bloat in the protocol. Also, having...

There is no GUI in my trading system.. it runs in a server room somewhere. I realize I can run a virtual display but that greatly increases resouce consumption and latency. Ideally, there is a minimumal amount of processing between the socket and when it gets to my application. I haven't seen...

IBsoft: I appreciate the effort but your java API is way too heavy for my purposes.. the dependency on TWS is a real killer.

Interesting, so I can't trade non-nyse stocks with Goldman's algos? TWAP seems interesting but I don't have access to that. I could implement something on the client side, but I'd rather have it available on the broker side so I could also use it in disaster-scenarios (box crashes, fiber cut...

So I have an automated strategy, and a defined half-life that tells me when I should stop entering new orders and begin winding down trades. I don't want to just send market orders, but I also never want to be left with open positions. Can VWAP or Piccolo guarantee that an order will be...

It could be "long as the trade is not billable by the specialist." That might be it.. not sure.

Here is the current pricing as of today from Lime brokerage.

I was just thinking about this, and thought I'd throw it out. Sub-penny pricing has been eliminated for all stocks >$1, but is still allowed for anything less. Why is $1 so magical? If a stock moves beyond the $1 range then the minimum tick size change introduces a structural break into...

Your answer lies somewhere between Positive and negative infinity. Seriously now. There is no "average" automated system. What you need to do is test your systems trades on out-of-sample data. For example. say you have 2 years of historical data. Train your system with only the 1st year of...

ascii is pretty inefficient. What is wrong with binary? You can get feeds directly from the exchange but they are fairly expensive. Any good direct access broker should provide raw data.

I'll make the general observation that making a robust quote filter is a pain in the ass. I've read all the Olsen paprs on filtering high frequency FX quotes, but that is a very different nature than equities and futures and also only assumes best quotes from particular dealers. When dealing...

I noticed an interesting thing when studying ARCA book depth for IWM offers. I plotted the best price vs. the marginal price paid by consuming all shares up to and including the price 0.25% away from the best price. Times are CST. At 10AM CST a large number of offers to buy showed...

Do these guys have any idea how much latency it is going add? What is the point of having seperate exchanges if this regulation makes it effectively into one large exchange with smaller systems inside it..

Right.. I was suggesting to monitor the last-update-time of each price level in the book. As you get further away from the best the update frequency should decrease unless some joker is toying around with quotes on completely unrealistic prices.. map this historically and then come up with some...

Replying to myself here.. but I just tested my latency and it looks like exchange -> my colo in austin is peaked at 45ms with an average of 60ms. The raw ping time is 40ms.. if i co-locate that should change to peak 5ms and average 15.. seems reasonable to sound alerts if quotes stop coming for...

I tend to agree.. there are a few different types of failures.. 2 major ones 1) me to broker 2) exchange to broker If the connection to broker is broken, then you wont find out until the socket times out.. which can is usually a very long time (minutes) on most systems. In this case...

Internal thing.. the broker can have several connections to brut open.

Just got this msg from my broker. Is this par for the course for BRUT? What if I had orders that were filled hours late, would it be bustable?

That's really interesting. What resolution were the timestamps from the exchange? And were clocks synchronized in any way? I receive millisecond timestamps for each quote and then I assign it my own timestamp when it reaches my system. I think i'll do some quick analysis and plot a histogram of...