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I understand how bid/ask spreads work, in both an order-driver and quote-driven market. To validate your point: I understand that in the absence of a price change, IB will stream nothing, because the price has not moved. My counter-point is that, with any high-volume stock (MU, INTC, CSCO...

Would you be willing to run a timing algorithm on your box? I have written a C++ algo that timestamps snapshots as they arrive, and prints this timestamp to the screen, along with delay since the last timestamp. Are you on Windows, linux, or Mac? I can compile it for any of the above and send...

Reference: https://interactivebrokers.github.io/tws-api/top_data.html#gsc.tab=0 To address your counters: By "tick data," I mean price quotes provided at the time that they occur, with latency and delay only due to system/network limitations. IB does not provide this: they provide a...

I can answer part of this question: the "real-time" part--perhaps the most important part of the question. IB is not a tick data provider. Their data are: Delayed. Four quotes per second. A volume-weighted average... of the trades in the last 250ms or so. Bursty. At times you may wait several...

Thanks! I just did that with two friends... and it was a train wreck. My lighting was bad, camera position off, audio giving feedback, headset broken, and I forgot to shave this morning.

Heya Peeps, (Putting this in "Programming" because its the closest thing to a tech forum on ET) - I have a Skype interview coming up, and I need a new Webcam. - I'm on a Mac/OSX. - I'm not so concerned about price, because webcams top out at about $100, and it is for an interview... I'm more...

We'll have to cut them in.

ROFL Vanzy you kill me. You got it buddy. I'm working on a matching engine anyway, it shouldn't be too hard to match these bets and create a basic UI.

Let's say Tiger has left himself with a 9-footer for par on the 14th at Pebble. I'll give you 2:1 that he misses. How about a site that lets you bet against putts on live golf coverage? What could be better than lounging in the comfy chair on a Saturday afternoon, drink in hand, and betting...

Ummm.... Bloomberg Terminal, with a colocated exchange link, real-time tick data, and API access to the order book and queue. Be ready to shell out 100M+ per year. (Hey, he said best)

tickdata.com offers historical data down to the millisecond. I wonder what it costs, and if they are a value-added re-seller for the exhanges?

Can you recommend a good article source on matching methods?

*Hunsader http://www.zerohedge.com/news/2016-04-19/eric-hunsader-financial-system-absolutely-positively-rigged Thx! :^D

Anyone know the fastest available tick time for historical data?

rofl! :D:D:D Jeez... the future looks bright for Western Digital!

Whoa... one nanosecond timestamps?? :wtf: So for every equity on the exchange, 1,000,000,000 price quotes per second are generated and logged!? Zomg the data storage cost is mind-boggling. Assuming that each price quote requires 2 bytes of storage, that's 2GB of data generated per second, per...

How is it decided which orders get matched first? In the following example, which limit sell gets matched with m1 and filled at 42.15? a1, a2, a3, or a4? Thx, Keith :^) Example: the order book for XYZ stands as follows, where bn stands for an active limit buy order (bid), and an (ask) is a...

I Googled all over the place, but can't find this bit of information. What is the smallest time increment on the NYSE and Nasdaq? In other words, what is the absolute minimum time between two price ticks, generated and stored at/by the exchange. The minimum tick is $0.01, at least for U.S...

Since IB charges by the share, maybe look for the same market condition with a higher-priced equity? For example, if you've got about $50,000 to invest, instead of buying 5000 shares priced at $10, look for the same market condition on an equity that costs around $100/share, and buy 500. Same...

@JackRab Thanks for your insights into ACN. I'm learning a ton about options; taking apart, piece-by-piece, everything that you wrote. It's taking me a little longer than usual because of the holidays, but I will get through it! Most concerning is how I mixed up the orders on the strangle. You...