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always. while my system is automated so watching it doesn't affect my trading, it certainly has the ability to reduce my productivity. i still catch myself taking a peek more often than i should

I, like Don, park on ARCA (sometimes INET & BATS as well). If necessary I will take on NYSE also if I find that I'm doing too much chasing on a name. I don't look at rebates as my edge, but as a ROI enhancer. I do enough volume daily that my rebates are significant & easily cover my...

Thanks I'll take a look. I'm already talking FIX to the broker and they seem to support the basics that are common to all the destinations. As of today I started using the IOC orders when the bid/ask starts running away from me. Surprisingly a few of the fills were at a price better than the...

Thanks!

Anyone have a link to this data? Right now I route all my NASDAQ names to INET but would like to route to ARCA to take advantage of the better pricing. Just curious about how much tape C volume goes off at ARCA. TIA mr19

Thanks for the reply. I'm not using IB and my broker doesn't support these order types. As of now I do my own pegged ECN orders staying on the NBBO at one of the ECNs (ARCA, INET or BATS).

That is where I'm at. I sit on the bid on one of the ECNs looking to provide, occasionally a name will run a bit on me and I'll constantly be replacing my limit order on the new bid (eventually I get a little more aggressive and will step into the spread or across). Just looking for a way...

If buying a listed name w/ a spread wider than a few pennies, what are the chances you get filled inside the offer if you walk the spread with IOC orders directed to NYSE? TIA mr19

I agree that the way you use the data will dictate whether a flat file is even an option. Oracle is an excellent db, not really bashing as much as looking at it as too big of a hammer for this task (from my experience).

That is one of the paths I went down with MySQL. While it IS better than stuffing everything in one table it will still be much slower than working with compressed flat files and require a lot more maintenance. While I'm sure I'm not the Oracle expert your friend is, I have worked quite...

if your order is posted and someone takes it yes you would be providing liquidity. if you hit someone else's offer, perhaps because the market moved before you submitted the bid or there is a hidden offer parked there, you would be taking liquidity. I almost always try & provide liquidity...

What about storing in flat files? I have used the zlib library to store compressed tick data on the fly and it works well without consuming much space. Just thinking about the costs of indexing all that data sounds like a pita to me. If you used fixed column sizes you can parse the data...

Sure. I believe there are several threads discussing this. Depending on costs I would think it's tough to use that as your primary profit generator. I use it as primarily a yield enhancer for the existing strategies I have, usually providing liquidity on approximately 85-90% of my volume.

Anybody out there trying to capture ECN rebates as part of their trading strategy? What is your give/take ratio? Just trying to get an understanding for what is realistic. I know there are several other factors, for instance a high give/take ratio with high slippage is obviously not a...