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A really good programmer is not going to have a hard time cracking your DLL to disable the lockout mechanism.

limebrokerage.com, nice API, very very fast too. Need to do some nice volume though.

Haha. I'm not sure if you were being serious or facetious, but funny none-the-less. And that is exactly what I'm doing. :p

I'm not getting bogged down. I thought about this for about 5 minutes when I was analyzing relative spreads of high priced stocks vs low priced stocks. My commission structure makes it much cheaper to trade high priced rather than low.

Well don't I look silly. :P I might check it out one day.. but right now I have too much time invested in learning eclipse that i dont have the time to spend learning something else.

Nope.. I try to stick with open/free stuff whenever I can. A lot of people at work use and rave about IntelliJ though. Also, the only profiler I could find for eclipse sucls. JProfiler is nice but non-free. --Stephen

I've written some custom stuff to hook up with my broker.. it archives every message in realtime with a timestamp accurate to the milisecond and is capable of replaying it just as if it was live. Wrote some more stuff to do realtime orderbook reconstruction and functions to calculate marginal...

I'm going to do another analysis sometime and shown all the margnial prices from 0.1% to 2.5% in 0.1% increments, so it'll show a full range of slopes throught the whole day. Working on someother stuff right now thuogh...

The list I posted is from my broker which is pure passthru.. so that should be accurate. I don't think ARCA rebates only go to MMs because I am certainly not a MM. Also, it doesn't appear the 0.03 fee for odd-lot listed has changed.

Well I screwed up and it's actually 2.5%. Same results still apply though. You might be right though.. it appears the orders were static around 71.22..unfortunately I can't see the numbe rof seperate orders.. it would be nice to see if its 1 large order or several small ones.. I guess maybe...

Yeah sorry, I meant a large offer to sell. The thing is the large offers were moving around in relation to the best.. I don't think they were static. I'd have to do some more analysis. The study was done with my own custom developed software.. the data was exported and plotted in matlab, I'm...

Right.. I understand exactly what you are saying about lifted orders. That is why I only pay attention within 1/4th of a percent away from the best.. the theory beign that anyway spoofing there runs a big risk of there order getting filled before it can be lifted. I don't have my amex data...

Well, perhaps I spoke to soon.. you don't need this much horsepower in real time. But, I have a method of automatic basket search which could easily use up this much power every day :) Estimation of models can take a lot of crunch time, but once that is done, model evaluation is usually a piece...

Impressive, but you don't need this much horsepower to make money :)

Goldman Sachs Algorithmic Trading

Thanks for the insight.. of course I can trade after hours but as you said liquidty dries up and spreads widen.. it's not that I can't figure out how to close out the position, but it's not really what I'd like to spend my time on doing. I can always enter the trade at any point between...

ARCA Fee: $0.003 Rebate: $0.0020 ACT per trade: $0.0314 on OTC-BB only Listed (non-ETFs): remove liquidity = $0.0010 per share fee, adding liquidity = $0.0000 Odd lots: OTC (excluding OTC-BB) = $0.004, listed securities = $0.0300 A market order, if routed will result in $0.0040 per...

Yes, I do route myself.. each exchange has different rules and fee structures so I optimize using that information as well.

I guess I'm just tough to please :p.. I'l definately keep an eye out in the future. Good luck

I don't know about FIX.. the only reason I can think of for using it are if you are getting a raw quote feed via a socket. If you are already using the API for quotes, why not use it for orders? Re: java. What do you suggest as a replacement? Java is absolutely beautiful compared to most of...