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I use IB FIX, but for only for order execution. Market data over FIX (not FastFIX) is an overkill, unless you trade illiquid issues. BTW, where did you get 300-500ms delay? From a modem connection?

It depends on your system's requirements. For some high-frequency trading systems real-time tick data is a must, since the system can see and catch quotes not visible otherwise. Not mentioning algo/SR/arb strategies... But get ready to pay in 1-2k range for a good RT feed.

Real tick data providers sends you every update received from the exchange feed handler (usually only fields that have changed), whereas snapshot based providers send you all relevant fields with the predetermined period (every 100ms or so) with the latest bid/ask and accumulated trade size.

http://www.indexarb.com/

Code your OMS to use FIX, and you'll avoid a lot of headaches when time comes to switch brokers. It's not that hard, just take a look at quickfix. Abstract your strategy from market data feed, so you don't have to change your code every time you switch between data vendors.

Check this out... http://www.proggyfonts.com/index.php?menu=download

It was 133.00 15:59:58 129.70 x 130.00 2 x 252 15:59:59 129.70 x 130.00 2 x 222 15:59:59 3000s130.00 @ 15:59:59 129.77 x 130.00 5 x 222 15:59:59 100s129.77 @ 15:59:59 129.77 x 130.00 4 x 222 16:03:02 129.77 x 130.00 4 x 222 CC 16:04:21 129.77 x 133.02 4 x...

One can sweep the book at any depth after taking out NBBO.

I'm 99.999% sure no one can see ISLAND hidden orders. But a broker can replicate the customer's flow on an internal book, and I bet any brokers with an internal crosser (a.k.a SmartRouter) does that at some extent.

ES on 2008-09-09 ... 15:58:25 1227.00 x 1227.25 3067 x 2454 15:58:25 1227.00 x 1227.25 3057 x 2454 15:58:25 1227.00 x 1227.25 3057 x 2453 15:58:25 1s1227.25 B 15:58:25 1227.00 x 1227.25 3057 x 2452 15:58:25 1227.00 x 1227.25 3057 x 2451 15:58:25...

RegNMS protects top-of-book quotes during RTH only. You can easily take the best bids on all 11 market centers and send the rest down to NYSE sweeping the book down $1 if you want to.

The specialist closes a stock when it prints imbalance/close trades. It can be any time after 4:00pm. I saw some close prints well after 4:15pm NYSE will reject any FIX messages that comes after 4:00pm with 58=REJ - MARKET CLOSED

If your limit order becomes marketable and gets routed out, you pay routing fees.

Do you know the difference between "market open" and "stock open"?

Jesus guys, get a life, learn how algo's work. That would answer your question. And just ignore late prints - they are completely useless.

Why do you think NYSE fill is bad? The specialist has nothing to do with this. Check what NYSE quoted at that time, and I bet it was 50.44 NYSE is not always and doesn't have to be at NBBO.

Very few use market data over FIX due to text conversion overhead. The industry is going towards FastFIX. CME and few ECNs already use it to distribute MD. But FastFIX is far more complex. http://fixprotocol.org http://quickfixengine.org

Usually it's configured on the ECN/exchange side on FIX level per client. Check order limits with your broker.

When there is an aggressive buyer/seller in a stock, it doesn't matter what INDU or spooz are doing - the algo is kicked in and it keeps working the order until it's done or get canceled. Look at CF yesterday - it went up 11pts on a smooth line regardless what the market was doing.

Can you back up you claim?