Search results

The answers to this question depend on the security type and country. For US equities, market microstructure is extremely complex; hence, so is the decision of routing. Throw into the mix the issue of broker/dealer internalization, dark pools, and order types (which supposedly number in the...

I disagree -- YouTube is part of Google, and why give Google ever more money and power? Even if Google were perfectly beneficent (which IMO it is NOT), it would still be unwise to concentrate so much power within one entity. Google is also amassing spectacular amounts of information on...

Yes, it started on Monday with only 10 stocks and will increase throughout the month; the FINRA lists are linked off of this page: http://www.finra.org/industry/oats/tick-size-pilot-data-collection-securities-files

Island and Nasdaq are the same thing, at least in the context of US equities exchanges. In 2005, Nasdaq bought Instinet (which itself had bought Island in 2002) and moved all the trading that took place on Nasdaq's former systems (SuperSOES or whatever) to Island's platform, but a lot of broker...

The 5c tick pilot is not for penny stocks -- it's for smaller-cap stocks that are above $2.00 initially (although they'll remain on the list unless they close below $1.00 for one day). Here is a URL that contains lists of penny pilot stocks, to be updated once the pilot goes live on Oct 3...

You seem to have this reversed -- distributed systems can be made resistant to disruption of any one node (in fact, that was the whole motivation for DARPA's development of the Internet), while a completely centralized system is subject to a single point of failure (forgive me for pointing out...

Yes it is. Post the full options symbol, the exact times (to the second), and your order details (price and size); and then it will be possible (for one of us who records the OPRA feed) to track down the point at which this occurred. FYI, you can get this information from Ameritrade going back...

You could route your liquidity-adding orders to IEX or CHX, both which charge nothing for data. If enough liquidity-adding order flow were to shun exchanges that charge big money for data, then it would limit the ability of any one exchange to charge much for this service.

FYI, the complete list of all securities for all exchanges can be found here: http://www.finra.org/industry/oats/tick-size-pilot-data-collection-securities-files In my opinion, the 5c ticks will be helpful for increasing quote size at the NBBO and reducing quote flicker. However...

Good posts, thanks. Another contributing factor is the ultra-low interest rates, which make it very easy for a big company to snap up quality mid-cap companies, or even bigger companies (e.g., WDC buying SanDisk), from the public equity markets, by issuing low-yield, yet potentially high-risk...

You can also end up paying $199,999.00 for a $2.00 stock with a market order. All it takes is one "flash crash" or "flash dash", and your entire net worth can be vaporized. You can probably get such a trade busted, but why take the chance? Bust rules can be arbitrarily applied, potentially to...

I'm sure you're right -- I'm told by a reliable source that most HFT's don't really like it when some new tech like that comes along, because it means they have to invest in it just to compete with the other HFT's. So projects such as that giant microwave tower they're trying to build in...

I got my numbers from the sales teams of the respective providers. The price you're quoted usually depends on your AUM (amongst other factors), but I strongly doubt you'll ever be quoted less than ~$10,000/month for one of the major stock news full feeds (I am talking about the...

There are several major news services (Bloomberg, Thomson Reuters, Dow Jones) that provide low-latency feeds of their own news with prices in the realm of $10,000 - $30,000 per month (or potentially more if they think you can pay more). There are also services that forward news feeds in a...

The hunredth-of a-cent "price improvement" is part of the retail broker/wholesaler "payment-for-order-flow" system, a bizarre arrangement pioneered largely by Bernie Madoff to take trading off of the public exchanges so that retail brokers can get a kickback on every trade in exchange for giving...

I think he's just urging caution, at least until you can make a very informed decision. In day trading, the transaction costs really add up, and it's only gotten harder as computerized trading has moved markets to greater efficiency, at least in the short-term. (Note the demise of the vast...

IMO a big source of the debate surrounding trader "failure rate" stats is that they depend on the pool you're drawing from. "Bucket shop/retail forex" or "binary options" firms are among the worst, with failure rates in at least some firms getting close to 100% -- the firm may even have an...

How do you arrive at this conclusion? Virtu are heavy users and vocal supporters of IEX. https://www.sec.gov/comments/10-222/10222-12.pdf I don't think it would be accurate to lump Virtu and all the other HFT's together. FWIW I have read that Virtu is not among the quickest firms in the...

The high-returning Renaissance fund, Medallion, is not on your list -- probably because you can't invest in it. But just because you can't invest in it doesn't mean it doesn't exist. The fact remains that Renaissance has fulfilled your criteria in the post to which I responded (in fact it blew...

Renaissance Technologies has done this consistently for two decades. HFT firms also do so, although they generally aren't all that scalable and need to earn pretty high returns just to keep the lights on (examples include Virtu, GETCO (before about 2012), etc.).