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Not really a big deal, just that usually it's news that pushes this thing around if the volume is >50k shares over a few seconds. But, today, there were moves in excess of a few cents in both directions, with moves involving over 500k shares over a few seconds. I assumed it was news driven...

Can't seem to find news on this guy. What happened? Rather large seller appeared out of the blue intraday, and I don't have a decent news feed. I'm assuming some knowledge bout the dividend or some business practice got released.

FTA: "Under the exchange’s programs, market makers will be allowed to post hidden quotes in sub-penny increments that may only be traded against by qualified retail brokers. The plans’ detractors noted this was a violation of the SEC’s ban on sub-penny quotes, which the regulator has...

I thought the same thing. Nanex advertises to the public that they can send everything over the internet, so when some guy starts blasting data, maybe he notices the effect more seriously. No one ever asks this guy why he cares so much if his business is just pushing quotes out.

I could populate the Journal of Negative Results with a slew of broken trading strategies alone. :-) Heck, you could rename it Journal of Clearinghouse's Broken Stuff.

http://traderupdates.nyse.com/2012/07/nyse_and_nyse_mkt_retail_liqui_1.html Do you have to basically be a GETCO or a Knight to be putting in price improved orders for retail liquidity? I currently send 0 orders to the NYSE and don't even have a port there, either through a broker or...

I'm looking to move some algorithms into the futures space. Just curious if any of you have any "tips" or "gotchas" that I should be aware of when moving from equities to futures. (Or rather, adding futures to my set of existing equities strategies.) With stocks, I generally feel like, even...

They make it secret so they don't have to divulge their private relationships with dark pools and order aggregators. They are selling your flow for money or trying to use your orders to work their way up tiers. Wedbush is the clearing firm. The "broker" is the one who actually manages your...

The names vary from broker to broker, but I can tell you that ARMPT is an EDGA Midpoint Remove strategy. Tell me your broker, private message is fine. I might be able to help more.

You're not wrong, and that's what's annoying. :-) I've been tightening the screws to make a buck, but most of what I squeeze out of the market has been going to the broker and my margins have been cut in half. It's very frustrating.

It's not that difficult to have strategies that don't have losing days with a few core, key trades and decent infrastructure. That still doesn't mean there's enough money in the winning days to make it worth it.

Equity HFT powerhouses are mostly hurting too. I'd have bought your argument in 2008, maybe, although the anti-HFT propaganda campaign seemingly started after 2008. Also, while I do think the fastest firms are still making money, I don't think the margins are there. They're going to have...

I'm not complaining about HFT, and in fact, I don't mind its presence. But saying the technology can be acquired by anyone is not quite true -- and I'm not talking about bullshit technology. I'm talking microsecond latency and top of the line networks. The technology cannot be acquired by...

Ok, but the guy who has to trade the small snapbacks here and there are bound to be wrong. Today and yesterday was not just whippy in a chop sense, there were actual guys flinging serious numbers of contracts back and forth. Some of the people who post in this journal are really impressive...

Why is the ES so whippy today and yesterday?

Liquidity providers will just widen the spread to compensate for being picked off. Time restrictions don't kill the business. They kill retail and investors.

I have used IQFeed from both Linux and Windows. I used to trade with IQFeed+Linux, but now I just use IQFeed+Linux to record data during the day. For actual trading, I have been using Sterling Pro. I have around 1-ms ping to their data, so I made changes and fed their feed inputs into my...

I recently switched off of IQFeed, but I want to say a few words in defense of IQFeed. IQFeed has latency, but I made thousands of dollars against the market using IQFeed trying to trade off of market microstructure events. It is not going to put you in the same league as the big boys, but...

I just can't seem to find vendors who will sell small enough slices of data with the right time stamps. The CME apparently won't sell just one day of data, but I really just need a slice for the December '12 ES contract from 11:30-1:30 central for today. I need the top of the book and...

It's not really queue jumping in the sense they cut in line. The markets just force you to use a certain order type flag to reserve queue position that most investors just don't generally need nor have the technology for. What retail investor is in the market for for a rebate? Their Scott...