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I guess ya need to read a little closer. Pg.12 of "The Flash Crash: The Impact of High Frequency Trading on an Electronic Market" says "HFTs reduce half of their net holdings in 115 seconds". Page 11 of the same paper says "High Frequency Traders are consistently profitable although...

Pretty sure you dont know what I'm talking about. Read those papers in my first post in this thread. HFT does not hold positions long enough or in sufficiently large size to get killed in a trending market. What your saying is anectdotal at best whereas those papers are using data provided by...

I don't think you understand the microstructure of the market. If the market is trading at 10.01 x 10.02 and the market moves to 10.02 x 10.03 then the new queue at 10.02 will not have any GTC orders and has a completely new queue. The strategy with the lowest latency will potentially be...

I think you are forgetting that as the price moves new queues are being created so it is not necessary nor feasible to send a limit order at every price in the order book to get priority. Low latency strategies are able to process changes in price levels faster than others and so are able to...

You can actually decrease the quantity and not get re-queued. And your assertion regarding ATS being tagged with the lowest priority is simply not true. http://www.cftc.gov/files/submissions/rules/selfcertifications/2005/rul061305cme001.pdf In the initial regulatory advisory for...

Actually the BATS Europe dark pool charges .15 bps to either take or add liquidity. http://www.batstrading.co.uk/market_data/dark_pool/

Which dark pool offers rebates for adding liquidity? Every one I know of charges a fee for adding liquidity.

Don't know what it's like for retail but for institutional traders most dark pools don't charge anywhere near 25 mills. There are a few that do and charge more but they tend to be for exclusively trading large size Knight and Getco are known for not charging anything for crossing the spread...

If you're doing true HFT then you won't be using a retail solution which might have the problem of not running on linux. Personally have never run across someone doing latency sensitive trading on windows. So sources that work on linux are Reuters RMDS direct feeds on the slower side. NYSE...

I guess thanks for pointing it out. I hadn't noticed there was a civil war.

That is not Obama. Why do you think the left keeps on complaining about him. Specifically look at healthcare. It never appeared that single payer was on the table and he very quickly gave up the public option without putting up much if any fight. So definitely not all else be damned. And I...

I'm not a fan of Palin and I can't imagine voting for her but at the same time I don't really fear her getting elected. But I think she would be less than ideal relative to other candidates on either side of the aisle. I think the impact would be her making decisions and driving policy based...

Well at the moment it's trading at 19 for her to win the nomination and you're looking at a potential long holding period with decent volatility until you can realize the gains. So if there's a big pop in that contract to like the 40's i'd probably bet against it. But the real trade I want...

I really hope she gets the nomination cause then I'd bet the farm (or as much as that small market can take) against her winning the election on intrade and make some $$$

Pretty sure it's not an SEC rule cause I know of a few large hedge funds with very strict compliance departments that definitely do not have those requirements. At those places the compliance department does have a general idea of what the strategies do and then will have checks on the back end...

I think Wilmott and nuclearphynance.com are probably as close as they come. Wilmott does appear to mostly be students trying to get into finance with some market professionals and total noobs thrown in. Most currently employed quants are not going to take the time to go posting on message...

They are not fungible so the trade does need to be closed either by trading out of it or letting it expire. There is also a nikkei 225 contract on the CME which can be arbed in a similar fashion but as waterman33 said this is purely the domain of high frequency players not only due to speed but...

If milliseconds is ok then you can go with taq data http://www.nyxdata.com/Data-Products/Daily-TAQ But for microseconds the only option is the historical itch data from nasdaq which you can get data for nasdaq/bx/psx granted i assume you'd only want nasdaq (...

I call bullshit. This is so a scam. And I bet that ddav is the 'developer'. Anyone who contacts him be prepared to be ripped off. If this system were real it would be easy to pitch it to any number of hedge funds or prop shops which would happily throw as much money at it as the strat could...

And one more thing I just thought of. Make sure you're using the correct open prices. You could be using the consolidated open price which and not the exchange open price at which you have your limit orders. So if you're sending orders to NYSE make sure you're using the NYSE open print and...