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But if the little guys are just "noise" and worse, clog up the pipes for the actual traders, then they should pay for the portion of computing resources that they used, right? For instance, let's say Globex can handle 300 msg / sec, and of those, 30 msg /sec are the little "place and cancel"...

Even though my systems (ATSs) are the target of these rules, I generally like this type of rules. This means that "real" client orders will get to the exchange faster, too many auto-spreaders would just stack the order book with small orders (1-2-3 lots) that clogs up the system, and on top of...

Interesting, this is news to me, but the bulletin is quite clear as to this covering 5 and 10 year, and the YM. I guess I belong to tier II, but well within bounds of the messaging policy (a 0.5% fill rate is just very low, that means 50 fills on 1000 messages, which includes market orders)...

That would be correct, as based on my understanding of the policy.

Mike, good info, it has been a while since I talked to fred schuster and those guys (over a year). Their operation is well run. In a way, I won't be surprised if DRW started trading the basis, they have the capital, after all. Actually, one second ... I could look it up! I believe DRW is...

I think you are right on the treasuries, it is just very liquid of a market to need a change to a pro-rata based algorithm. I have seen the Merc's Globex vs Pit breakouts, since I am not a Board member, I haven't researched into the eCBOT vs pit percentage break downs. As usual, the...

If you trade multiple months of ED, for instance, it would be considered as one product. But futures and options (ED and ED options) are considered two different products.

It is correct that during non-RTH (other than 7-4), the policy won't apply. It is not just the 3000 active message rule, it is the per product volume ratio rule. Let's take ES for instance, the ratio is 5 :1, so you need a fill of 1 contract for every 5 messages (note new, cancel and...

Usually, both CBOT and CME would "socialize" the messaging policies a long time before they are actually implemented. CME was socializing the messaging policies with members throughout 2004, and then finally implemented this year. I have heard rumblings from the eCBOT, but nothing definite as...

Interesting, the only two products that are currently on the FIFO (time-based matching, or first-in-first-out) are the treasury futures and indices. I can't see indices going to pro-rata, since CME's ES / NQ / ER2 are all FIFO matching algorithm based. However, the CME EuroDollar futures is...

I will PM you a list of clearers that I believe are pretty good. Usually, once you hit 10k, the commission drops to 10-15 cents a side, one you hit 40k, it does to 7-10, I have seen commissions in the 3-4 cents range for sufficiently large firms.

2000 contracts is not a lot, even 4000 or 5000 contracts, you won't get the low commissions. You are looking at $.20 to $.35 a side just for the commissions, and add the exchange fees (and NFA fees) on top of that, once you have gone beyond 8-10k contracts, then the commissions come down...

Actually, for me, I still don't consider retail "prop" to be "prop" at all, proprietary traders at investment banks are the traders who doesn't deal with client business, but trade instead with the firm's capital. For most investment banks, the amount of total profit made by prop desks usually...

I am not sure I would want automated system to trade for the long term (and I run a couple of ATS), the number of possible variations is just too large, over short time frames ATS would work well, since at least the algorithms are computationally tractable. However, edging strategies are all...

More of the same type of articles ... http://www.globalcustody.net/us/wall_street_letter_latest/ "It is time to hit those books ..." heh.

More of the same type of articles ... http://www.globalcustody.net/us/wall_street_letter_latest/ Standard algorithms will have their lunch eaten.

From what the article is saying, and what I have seen, for treasuries the program are mostly doing basis trading (cash vs futures). Of course dealers would have more considerations, such as existing swaps rates, repo rates, so it is "mispricing" in a general sense. Morgan in equities (mostly...

Heh, the new article quoted some interesting people (Donnie Wilson, John Liew, etc), curiously no one from Clinton. Whomever wrote the article knows who the players in the cash bonds program trading players are ... interesting.

Here you go: http://quote.bloomberg.com/apps/news?pid=nifea&&sid=aB5xlrH4MJEI

Heh, I know this guy, pretty sharp fellow. He was previously with Goldman, did cash bonds for a while. If my guess is correct about which system he is referring to, this is a new system that just went into production I believe 4-5 months ago.