Any of you guys make market by hand on the larger spread equities? It seems like it could be profitable but I haven't really heard anyone talk about it.
Not to derail your thread but I'm guessing 10.95 11.58 12.20 is the bid/mid/offer for all three components of the fly. How do you post an offer of 12.00 when you are trading different contracts? Or does it just cross the market on all three when you can get 12.00?
Take the size of your order. Small orders will be simpler. Look at the depth of book and compare to what kind of order you are sending. If you are buying 1000 at market of ARCA with a proactive order, first you will buy the displayed size at the nbbo, then your order will go through the arca...
That data is free, you can do anything with that. In terms of distributing or selling historical data, I believe there are a couple hoops to jump through. A lot of people do it though; it is not impossible.