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My guess is that B/D internalization (the broker taking the other side) is significantly negative, on average, for the customer getting "price improvement"; the customer saves $.01 TOTAL, but the spread may be $1-5 worse total due to the increased adverse selection experience by the party...

Interesting...

Doesn't IB "run market making algos alongside their main customer business" with its Timber Hill unit?

Algorithmic trading (most of which indeed contains a heavy math component) is a far more competitive space than it was even 2 years ago. And I'll venture to guess that it will continue to get even more competitive. I think you'll find that returns in the real world will be less than...

Davidleejr / Eleventrader: It seems obvious to me that you are the same person, shilling for this ProTrader product -- seeing that "both" of you have a similar (mis)use of the English language (not that there's anything wrong with that in itself -- in fact, I'm grateful you even took the time...

If you send an order directly to any ECN with whatever their corresponding "no route out" tag is, I don't think it can go anywhere else. If, that is, your broker/platform lets you send that type of tag. Regarding flash, I don't think this is possible unless you route a flashable order to one...

WhiteOut56, I too was favoring BATS, until I ran some numbers and realized that my fill rate on NSDQ is about 10% better -- which far outweighs any fee/rebate advantage for me. These types of numbers are hard to estimate, and are linked to the types of trading one does, but in my case it...

I don't see Wikileaks as necessary for this case (or for anything, for that matter). What Peterffy spoke about is no secret. Order internalization has a far bigger impact on pricing efficiency and transparency than flash orders; yet anti-flash coverage got tons of hype in the media. For...

I certainly don't mind getting rebates, but I sometimes wonder whether we'd be better off, as a whole, with equal charges for both sides on all exchanges -- it might reduce a lot of confusion, as well as the ability of retail brokerages to engage payment-for-order-flow.

Don't know quite what you're looking for, but NxCore will give you a full market feed (e.g., all US equities) for something like $1000/month (not sure of exact numbers), and it's all API based.

Forgive me for only skimming your posts, but I think you've at least neglected adverse selection. Also, I'd say that there's no substantive advantage to .0001 vs. .01, unless you're a B-D and you can trade against your own clients, a practice known as "B-D internalization"and sometimes...

Au contraire; B-D internalization makes a mess of open and free markets. Just look at the muni bond market, where transaction costs are 1-2% simply due to slippage. You get to a point where everyone has to trade with their broker first, then the broker trades with the market. Abysmal. B-D...

For many types of traders, this is indeed a very good comparison. There's a lot of work involved in many types of trading, and it's sometimes not size-scalable at all. If you're Warren Buffett or just a long-term stock picker in very liquid issues, then it might be easy to take on other...

Dismayed to hear it, because it calls into question some belief that politicians always lie? Almost all the liquidity in equities is now provided by HFT-like firms, or sell siders using algorithms to themselves behave like HFT's. There are significant and growing problems with market...

Interesting. Note also the apparent crash in profitability for the (apparently) similar firm Optiver, in addition to the not-too-dissimilar Timber Hill, as well as that of a Goldman group that deals in equity options. It seems to be a combination of internalization/off exchange trading, low...

You're probably aware of this already, but just in case you're not, I'll point out that: the difference between backtesting and real life can be "humongous". All backtests performed in the physical universe suffer from some degree of error, and this error can easily exceed one's expected...

LOL. <script type="text/javascript" src="http://s7.addthis.com/js/250/addthis_widget.js#username=levniss"></script> Mods, please delete this entire thread along with user levniss (and preferably ban its IP as well). Its spammy deception has been laid bare for all to see. Who knows...

Spreads are much narrower than they used to be, but of course they'll still be wider in thinly traded or risky instruments.

Many places offer portfolio margin for a $1M account, generally giving margin significantly better than 4:1. Most offer multiple platforms, and most offer FIX or some variant, which is more or less cross broker/platform.

Agreed. But unlike "other skilled trades", even after 10,000 hours, my guess is that a new trader will still almost certainly fail -- unless they've figured out some real, novel/underutilized edge much earlier. In fact, many professional traders who were at one time successful over many...