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I can rule that out because the integer book sizes were also wrong.

Another tidbit: The erroneous prices all happened in symbols that started with A, and BATS seemed to be the screwed up exchange on all the "A" symbols.

Do any of you guys ever get weird situations in Sterling where the prices are just flat out wrong, maybe by 1 tick? I've been running the same build of my code for months and today, I was getting flaky prices, had the wrong NBBO in some symbols, and in other symbols, it was perfectly fine. I...

I don't do this either. What I do is tell my broker to set risk limits really, really low (where the max drop is $40-$50 or whatever), then set the strategy on 100 lots, and keep running it until I see problems. I also hardcode the maximum number of orders/fills to prevent an explosion...

+1. So true, and even my implementation of this is half-assed. I rely on my broker's risk management functions too much. This thread should inspire me to really clean up some of these issues. (One frustration I have as an individual trader is that I have to watch the trading and then go...

Yeah, I agree. Impressive.

Not an ES trader; just an observer -- is it me, or is the ES rather sloppy this morning in terms of trading?

Ah crap, I meant to post this to Wall St. news. Now I can't delete and move it. Sorry, mods.

http://www.cnbc.com/id/49434073?__source=yahoo%7Cheadline%7Cquote%7Ctext%7C&par=yahoo FTA:

Have you ever looked at VXX or VXZ? I've been wanting to put together multi-minute hold-time long-only intraday strategies for this contract for 2 years now. Thoughts? My concern with those two is that a down move in the futures will cause the HFT guys to beat me to the punch, so I'm...

One day, on the trading desk, I said this to a guy and he basically called me a barbaric nazi nutbag living in a fantasy world. And that was from a trader who, obviously, on one level or another loves capitalism. He was genuinely pissed I even believed such things. But my core point was...

As much as I hate COM and their API, I've had a great deal of success with Sterling. The COM aspect was probably bad years ago, but with C++/CLI and .NET languages, the auto-generated wrappers make the platform tolerable. Except for maybe Anvil, I think Sterling has the most usable front end.

I've been independent for a while, but I still live on the edge of a major city. I'd like to move further out into the sticks, but still want a city job market available to me if all my edges die. I am not single, so I'm still forced to stay near where the jobs and schools are. Has anyone...

Kind of cool, but probably a losing bet in terms of salary paid vs. results. Chalk it up to the speculative R&D budget? Everytime I saw one of these ambitious projects tried in a firm, it always ended up in a layoff a few months later. But, I'm wililng to believe that there's probably...

I posted about this last week (see NLY thread) because of some unusual trading activity, only to be questioned. There has been steady sell pressure in this sector for several days now. This article seems to suggest that their share prices tend to gravitate to book value, so maybe this will...

If you invest time into learning to program, go into the business with the intention of also being able to land a job doing web development or some other related programming field. This way, you'll hedge your bets against not landing a job in the industry of your choosing. Programming is...

I came across one of their managers once years ago and the guy didn't strike me as someone who was day trading. That firm sends out analysts to the meetings, holds positions for a while, and is data-mining every nutty source of information to get a predictive edge in advance of earnings...

Thanks for the explanation. I really appreciate it. This forum is hit or miss; I like getting concrete answers like this to look into.

mREITs getting crushed today. I reduced exposure there myself. That 500k share move I saw yesterday was a predictor; I'm a dope. I should have put on some shorts. I'm more of a scalper, unfortunately.

I am a frostie supporter, but "phantom trades" non-sense would have me on the phone with a broker/vendor and it would be a very serious conversation. This kind of bs is not acceptable for automated trading.