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You guys are completely talking past eachother. Futures and equities are mechanically different. Leverage in futures does not involve loans, it is set by the clearing house margin requirement. Long-stock is not a leveraged transaction. When you buy a stock, 100% of the money is transferred to...

Proceeds from short sales or options writing could be used to provide leverage, at least mechanically. I'm not sure what is allowed by the regulations for very large firms.

Update on imbalance data for anyone who is interested: After speaking with sales, they clarified it's just the regulatory imbalance indications that come through the CTA feed. In other words, not real imbalance data. Same thing as when I asked back in 2014.

Does NxCore have imbalance data yet?

Ah. Per month, but I was referring to equities which is what I'm familiar with. direct exchange feeds: https://iextrading.com/docs/The Cost of Exchange Services.pdf consolidated tape: https://datashop.cboe.com/sip-fees

ha ha ha that is nothing. Prop autotraders have to pay nondisplay fees which are thousands per exchange.

description of the strategy: https://www.elitetrader.com/et/goto/post?id=4860252#post-4860252

LOCs can add to the imbalance. Just like regular limit orders can take liquidity if they are marketable when received. "Imbalance Only" (IO) orders will only trade in the opposite direction to an existing imbalance. Note that most of the time there is very little imbalance at the auction, so you...

Take this with a grain of salt because I have never worked inside an HFT. I've read a fair bit about them though and spent quite a bit of time researching market structure. It really depends what we are talking about when we say HFT since the term means a lot of different things to different...

Yep, and/or they sell flow to HFT internalizers. Doesn't mean you can't still make good money providing liquidity on the exchanges. But the days where you could print money simply buying the bid/selling the ask are long gone.

So let me get this straight, you simulated a fake market where all other agents trade with "zero intelligence" and this is your basis for thinking you can make money in the real market? Hate to break it to you but the real market is extremely competitive. You need to have an edge when you trade...

You need to have a way of measuring the performance of your systems that can objectively tell you if things are working as expected or not. The fact that you are looking at one day of pnl being negative and thinking this could mean anything whatsoever is concerning as it sounds like you may not...

What's the definition of a good fill and how do you know you aren't getting good fills on shorts? Negative PnL proves nothing unless you have a massive sample size. If you suspect there is an issue where sshort orders have more latency than you expect, you should be able to prove this by cross...

You can't see the action just one minute before when you submit a LOC. You have to submit LOCs 10 minutes in advance. By saying that LOC is preferable to MOC, you are saying the auction market is so inefficient that you can tell 10 minutes in advance what price levels will imply a mean...

good setup for overnight hold

With LOC orders you are also rolling the dice. How do you know what a good limit price is 10 minutes before the close?

MOC fill is not guaranteed in theory, but in practice it is incredibly reliable. I've traded several hundred MOCs per day for years and never had a single order that didn't fully fill! The only exception is you can't short on a downtick auction when SSR (shortsale restriction) is in effect. On...

From your link: In other words, if your post-only order is marketable when it arrives at the exchange then it becomes an IOC order which is liquidity removing. Did you check the tape to see where the market was when you received these fills?

There are a bunch of ways to interpret the question. *What percentage of your networth do you keep in brokerage accounts *What percentage of your networth do you invest (maximum notional exposure) *What percentage of your networth do you trade (turnover) in a given time period *What percentage...

Agreed. If this is happening it would be a clear conflict of interest. Another issue with PFOF is whether the trades are anonymized or if each trade has a user ID associated with it. Imagine the potential for abuse if all trades are labeled that way.