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What do you mean? Don't they post liquidity backed by their own accounts?

:confused: Why? My understanding is that Getco has in fact become one of the largest liquidity providers.

I think NxCore reports (separately) every trade reported through the national system (whatever its name is, I don't remember). I'm pretty sure it gets them all, as well, as I've compared the volume of these individually reported trades to the total volume from other sources and I think it was...

Sorry if I'm being dense, but would you mind elaborating on this? (0.0005 for what?)

Looks like you are spamming and violating the terms of service of this site. Speaks volumes for your "product"...

All things being equal, I'd say FIX is better since it's portable. But this is very dependent on what features of FIX are offered; some broker FIX'es don't have as many features implemented as do their proprietary API's, even if said features are in the full FIX specification itself. See the...

I think that R has a lot of packages that address these problems, at least from a theoretical point of view; search on Markowitz portfolio and you'll find a lot of links.

How is what Fidelity's alleged action any worse than IB kicking its orders to its Timber Hill unit through its "smart" routing and calling it "price improvement"? (For the record, I don't hate either of these firms, but to me it looks like they're doing approximately the same thing here --...

I'd say the way best is to only use brokers that don't make a habit of trading against their own clients, a practice usually termed "internalization" in the listed equities world. (Just a word of warning, the practice of trading against one's own clients is often euphemized with the term "price...

I too have experience with NxCore and I think it's an excellent offering, on many levels. It runs well on Linux under wine, in my experience.

I think a lot of the problem comes from these markets being relatively closed. This not only makes risks very opaque at large, complex institutions; but it also raises transaction costs dramatically. For example, the following paper describes how (at least of its writing a few years ago) the...

To do this in Excel, you would probably need to learn something called Visual Basic. I wouldn't bother paying someone else to do something this simple, as you'll likely change your mind about what precisely it is you want to ask with respect to these data. Google "Visual Basic" to find...

True! I am not opposed to darkness, per se; in fact, I think it would be more fair if institution-exclusive dark pools were forced to be completely dark; e.g., no IOI's, which I see as something like quotes available only to an exclusive group. But I see internalization as a far worse type...

I hope those reading this understand that this "paper" is a marketing piece for ITG's own dark pools. Essentially, they are advocating "darker" dark pools that only the big buyside players can access. While there may or may not be some true merit to this for big buyside players, order flow...

Interesting. I wonder why BATS or some other equity ECN hasn't created an ECN for bonds -- I'd expect that it would dramatically improve pricing efficiency in the bond market. Is there some regulatory hurdle, or is it just inertia?

Give a real example, with as precise information as you can provide (specifying down to the second you placed the order, or even the microsecond, if available), and people here may be able to tell you what happened. Such cases could occur due to internalized trades (brokers trading against...

Thanks, Don, for bringing this up! These issues deserve a lot more light than they've gotten. As I said before, the impact of flash orders, while bad, pales in comparison to this. I think that the word that should be emphasized here is "internalization". That this practice threatens...

I think there are a couple of (related) issues playing into this, one being fragmentation, and the other internalization. The following was quoted by an FT blog from WallStreetAndTech: (Original article: http://www.wallstreetandtech.com/advancedtrading/showArticle.jhtml?articleID=60404324)...

Evidently, crgarcia's objective, through several thousand ET posts, is not to debate falsifiable facts; rather, it's to generate angry responses and raise your blood pressure. ET has an "ignore" feature. Click on "Your Account" in the upper-right corner of the screen, then "Edit Ignore...

I don't think market makers have much control over anything anymore, as liquidity addition is now distributed amongst many types of firms/individuals -- even the buyside, particularly in the dark pools. In fact, I doubt that market makers ever had nearly the control that your conspiracy...