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Nasdaq n nyse each have an imbalance feed for the auction. Not sure if Ib uses it

It depends on the symbol's total interest and imbalance. If you have a 2 mm share imbalance & 10mm total interest then you can buy 100k shares with no problem. On the other hand if you have a 10k imbalance and 200k total interest. Then buying 100k shares would have significant impact in price.

The cross pairs in the FX are full of HFT's that do 3 way arbs on any price discrepancies from the general pairs... so... it's not like there's no HFT"s in FX...

They look to me like trades settled at vwap or something like that since they all seem to come around similar prices…

they get the same prices but because of their captive pfof volume they get a lot more shares (easiers to buy bid sell ask n repeat)

While we're at it, we could ban all jackets in color different than black... make it mandatory for traders to wear (black) hats, and voila! we have an Amish Exchange :)

SPY IVV and VOO could make a good starting point... since the 3 etf's are based on the same index and have very different liquidity and spread...

The open/closing auction are specially useful if you are an institution and you need to execute very large blocks of stock.

Market makers are forced to sit on the bid and the ask at all time. So they're always averaging up/down to get in/out of positions. They can't sit on the top layer of the bid all the time instead they sit a few cents away sometimes Depending on their view of the market and current needs...

If the paper (or whatever asset) has infinite value and will continue to go up forever garranteed why exchange it for another piece of paper that has risk (eg cash)? At best one could use it as collateral in a manner similar to subprime lenders using the house as an ATM… Unfortunately such...

If its just a sequence then the numbers are always going to get bigger through the day. If it has a structure then you'll see that orders for a particular gw show a particular code always (so the # is not strictly increasing through the day) However if you're trying to find if they...

If you have a one way direction market that is headed straight to infinity, that means that everyone wants to buy and no one wants to sell... So if the market goes infinite up who would you buy from, if you every manage to buy, why would you ever sell back? In any market you need...

Hey Ronin. The FIX which is common protocol to almost everyone - except nasdaq; uses client order id, but this field only relays the sequence of messages through the day for a given session... Doesn't sound like this is what you're looking for... Your broker seems to use some...

oops... :confused: lol

What I'm saying is, back in the day banks didn't package their debt into collateralized derivatives... they held it to expiration and collected cash flows... the money they lended out came from savings... pretty simple and pretty boring business... that forced them to be careful when lending...

Such shifts in the balance of power seldom come without rivers of blood.

From my experience I can tell you that there's not a lot of money in operations, but it is a good place to learn how everything works under the hood... (the whole, what happens after I press the key to send an order to the market...) It's a fun fast paced job (can't recall a single boring day...

So the banks got so used to the idea of not holding debts till expiration and collect small cashflows for teh next 30 years while the morgage matures... (old school, boring, traditional banking)... that now they're so hooked with the quick fix of just wrapping the debt into a derivative and...

Guess he's not special either :D