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So what's the rumor on what the bad trade was? I love hearing these kinds of stories. They are like those scary stories people tell around the campfire, like: "... and THEN, the liquidity disappeared and the only bid was a scared, ashamed, lonely and hungry 100 shares. All the memories...

Do you have today's trades archived on your blog? I'd be curious to see the recovery from the abuse, as well as the initial beating you took.

I'd give a trader even more credit if he can make $$ with a Commodore 64 and a carrier pigeon. Keep the IT infrastructure cheap and keep the profits large, I say.

I don' t trade through TWS for anything that needs precision. IB will give you bad execution latency, but I'd argue you still need to do your best because their commission structure is so extreme (relative to prop) that you're opening a position somewhere around a full tick to a half tick...

"Writing the outline for a book is easier than writing the actual book" is the idea that is similar to what I was trying to get across.

My opinion on this is really simple: regardless of time frame, you can't ignore market microstructure. The more you ignore it, the more it costs you. It does not matter if your time frame is 5min or 2 hours; microstructure helps you get the entry right. Every tick or quote of the day is...

I don't think there's some document you can read to just do this. I think the best way to do this is to actually experiment and build a few systems and keep doing it until the kinks are worked out. If you're doing stocks, I advise using 200 shares for testing purposes so you can deal with odd...

The 7 was so boring and awful. It sucked up a month of my life and I've now since forgotten most of it. :-( I know nothing about muni bonds and syndicates anymore.

I've measured it; my order acks come back to me in 2-3ms and IQFeed, from what I can tell with downloaded exchange data, sometimes varies between 100-250ms to my location. If you're wondering why I don't use the broker market data, it's because my broker does unholy things to the data -- on the...

IQFeed does a really good job of staying true to market price, change to change on the inside. It's the most accurate that I've seen among the retail-grade feeds. The problem is when the market spikes hard one way or the other in a matter of milliseconds. You can have a hard, fast move in...

Does this mean I can post an order to my floor broker and post a passive buy order at 8.0111 or 8.0112 when the NBBO is 8.01 x 8.02? Or does this mean that when I'm on the wrong side of the market, they'll give me a consolation price of .0001 price improvement? Market fragmentation in US...

US Stocks. Increasingly, it seems like I do have to buy the exchange data directly and pay for the exchange feeds. I guess what I can do is blend my slow feeds (retail stuff, just to have a complete view) and my fast feeds together, but prioritize signals coming in off of the fast feeds for...

I did a lot of research on this topic, and tried a lot of different approaches, but I haven't found a satisfactory solution. I looked at NxCore. It is a fantastic product, but its fatal flaw is that NxCore does not distribute their data from the east coast, so there's a penalty involved of...

It's also a handy metric to chart edge decay. When the edge (after all fees) goes from .0020/share down to .0005/share or less, either someone is nibbling on your pie or the opportunities are starting to dwindle. Over the long run, it's kind of a handy metric to figure out which trades you...

Yeah, his results are nothing to sneeze at. I wouldn't feel bad with those results. :D A read a lot of trader journals on this site, and while some guys really have some interesting/decent edges, the part that I dislike about most retail traders and the trading blogs is how these guys are...

You seem legit. :-) I'm rebate trading trash, personally; in my world, a 9% drawdown would cause a lot of stress and cause me to lose sleep. But in the big picture sense, that's actually not too bad. I took a 10% drawdown when my strategies first started because of just outright broker...

Because when the 20-MA crossed the MACD under an ass-face pattern in a market crash, I went long. I just don't understand why the 20-MA crossing the MACD under ass-face failed, it worked every time in those books. The market is rigged by the illuminati and Oprah, man. :p

... The issue is more that those expensive network connections with the lowest latency between Chicago and New Jersey are really gd expensive. The "game" has been locked up by a small subset of players in this regard for some time.

Well, if you benefit from the actions of the overlords that manipulate the dollar vs other potential overlords, I can see what you mean. But in the global, optimal-for-everyone sense, wouldn't it be better if we had more competing currencies? (I do get your point, ... I'm just sayin' is all.)

Evan, How many customers do you have currently? A ballpark answer is fine. Are there enough customers that someone could switch to your product and not be concerned that it hasn't gone through the abuse of hundreds or even thousands of other customers to arrive at some stable state...