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Stop bitching at NYSE/specialist. If you cannot trade listed stocks, go and trade NASDAQ stuff. BTW, to my best knowledge, NYSE doesn't support stop orders, so they are emulated by your broker, and the quality of fills depends on many factors, starting from how liquid the stock is, and ending...

Yes, the market fragmentation is the biggest problem for a tape reader, but there are listed stocks that still traded on NYSE about 80% if its daily volume. So by watching just one tape you can get a pretty good idea if there any aggressive buyer/seller in the stock.

IMHO, the answer in the book is wrong. It depends on how a particular market center executes ISO orders. For example, if you route your ISO order down to NYSE you'll get the following: 200 shares from Market center B @ .50 100 shares from market center A @ .50 100 shares from market center...

All Wyckoff's (Rollo Tape) books are very good, Neill's book is good as well, but you have to adopt the technique to today's market place since the game is quote different. Other books on tape reading don't reflect the real technique IMHO.

T&S windows usually have pretty dumb logic - a print at the current bid is a sell (red), and a print at the current offer is a buy (green). This is way off the way how modern ECNs/exchanges report trades and quotes. For almost all of them, trades are delays, so you really need to figure out what...

If the specialist wants to go long and provide a price improvement, he has to bid the stock and be a part of top-of-book. Also, depending on the spread, he has to satisfy the minimum price improvement. This of course implies that NBBO (bid side) is on NYSE or the incoming orders is ISO/DNS...

Remember, the specialist's limit orders are at the end of the line (PPY), and they cannot take bid/hit offer, those orders are delayed. But I don't see any problems for the specialist to provide price improvements when he wants to.

The specialist has API that allows him to see the order flow, and he can provide a price improvement for an incoming order.

It really depends on the stocks you trade. For liquid stocks you probably be fine with market orders, but for stocks that trade say less that 5M shares per day, it's only the question of time when you replace market orders by marketable limit orders in your ATS.

Write your own algo to step in front of NBBO and provide liquidity vs. taking it.

Remember, that under RegNMS the only top of book is protected, so if you send an order down to NYSE and NBBO is somewhere else, you'll get partially filled from another venue (and paying routing fee unless it's ISO or DNS), and then sweep NYSE book for the full force. Also, NYSE...

Not enough info. What was TIF & where orders were routed to?

Never, and remember that IB is used by many pretty big houses via FIX lines, so it's better be robust.

You got executions from your broker, so you see the same filled price/size as broker gets them. Everything does match up well if you calculate commissions, rebates, and fees properly.

My position manager is the first source of information, it keeps track of all orders and positions, calculates balances, buying power, commissions and so forth, so ATS doesn't have to have it from an external source (or multiple sources).

I was trying to avoid broker APIs at any cost. In my ATS I have implemented the position manager, use third party market data provider (through an abstract interface), and FIX for order routing, so it's completely broker independent. This way the only thing you need is simple FIX...

The question is not quite correct. Quickfix is very flexible when it comes to composing messages, so it can be tailored to any broker. What you should be looking at is what FIX version your broker supports. Almost everybody on the street is still on FIX 4.2

Nothing is perfect, but at least you don't have to support a dozen different OMS APIs in your ATS. Not mentioning that some API's are simple FIX adapters (either on client or on the brokers side). So why should you go through an additional source of bugs? BTW, personally, I didn't find...

Does anyone have experience with Lime Brokerage? They also offer market data and OMS through API & FIX...

Could you please explain why do you care to see prints on the tape during NYSE crossing sessions?