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I think that most of these issues could be eliminated just by having a minimum lifespan of say 1 second for resting orders (i.e. ones that publish a best bid/offer). Then spoofers would really be at risk, and a lot of other types of manipulation dependent on rapid placement/cancels of orders...

Broker/dealer internalization and sale of order flow to wholesalers allow a small group of "big players" to jump in front of everyone else. This has been going on long before the term HFT was even invented (although this was always a sort of HFT). Do a Web search on the terms "wholesalers" and...

For historical TotalView ITCH data, I think that getting it via FTP straight from Nasdaq is about $1200 per month, with a minimum commitment of one year. I don't think they will deal with you as an individual -- I think you'll need to use an entity (corporation, LLC, etc., which is actually...

Maybe rmorse can chime in and offer more perspective, but to me this looks like something specific to your broker and/or account. I don't trade options heavily now, but I have in the past, and I've never encountered such parsimonious PM calculations; I think that the trades you described --...

Yes, of course. For a price. In terms of full-feed data, I've used the NxCore data and think it's a great system, not the least because their historical data are in the same format as what they can feed you in real-time. I'm sure you can get the historical full book from each exchange as...

That is interesting and something I've never really thought about. Can you give an example of a position for which Reg T is better than PM?

RMorse is completely correct; but I'd also add one other aspect to this -- it's called "clearing". Clearing is even beyond the domain of the exchanges (at this time, at least). At the top of the "clearing food chain", you have to use DTCC for stocks, or OCC for options. You're going to be on...

This is not necessarily true -- it depends on the application, and where your bottlenecks (if any) lie. In some respects, technology is now improving very slowly -- much more slowly than the 1990's or early 2000's -- simply due to the physics of shrinking chip features when they're already so...

Not sure if this would help in your case, but I think that you can get the NBBO from NxCore for the low-thousands per month, for all options contracts and all stocks, the data feed continually streaming to your computer and recorded to disk for either realtime or delayed processing. Then...

The answer to your question depends on the instrument you're trading. For most future in the US, this is easy to answer -- the contracts only trade on a single exchange and you can tell your place in line by the book (I think -- correct me if I'm wrong). For US stocks, the picture is very...

It does not "work just fine" in the UK. Due to the stamp duty, UK short-term trading has shifted to CFD's, which are not subject to the stamp duty. It really distorts things and adds an extra layer of complexity that would otherwise be unnecessary. Ironically, the indirect holding of shares...

This is one area where trying to guess is difficult, unless you have someone who's tried the specific computer (and graphics card), and the specific monitor/connection type/etc. Try Google and see what other people have done. Alternatively, I'd suggest asking at the Apple store.

You could also consider using Wine or a VM to run a Windows-based quote system (although not without some serious testing). For example, I've used NxCore under Wine in production for several years, and most (if not all) of the incompatibilities I've seen have been cosmetic (esp. with the GUI...

I have yet to find a completely reliable source for splits as well. NxCore did get this one right, but sometimes their splits are wrong as well, as they just echo back the data they receive from the exchanges. Yahoo Finance has it correctly as well, at least in their "Historical Prices"...

One thing to watch out for with an MTM LLC is that your gains become "ordinary gains" which don't necessarily offset any negative "capital gains" outside of the LLC -- for example, if you traded futures outside of your MTM LLC, which I think could make sense, at least in some cases. Of course...

Good job, SEC! (provided the allegations are correct, of course)

If you're talking about US equities, then I'd say that you should always put a limit in, even if it's a "marketable limit" order. E.g., if you want to buy a stock that's currently trading at $10, put in a limit at slightly above that price, say $10.20; it's much better than possibly having...

So....how does one distinguish between an "institutional investor" and a "professional trader"? Every large HFT is also an "institution", and most major HFTs are also "market makers" at several exchanges. I suppose then that Citadel will get to choose to wear the "institutional trader" hat...

Many of those who hold market maker rights do have much bigger advantages than that, but it's not the market maker rights themselves that help them so much. Here are three roles that big trading firms may take on in the US equities markets: 1. market makers (as defined by each exchange) 2...

If you have TotalView, you have the best feed Nasdaq offers -- there is no better feed available to market makers. At least that's what I'm told by people inside Nasdaq itself. TotalView is not technically the same as Level 2 -- TotalView is full depth (i.e. the best), and Level 2 is something...