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By definition, internalized orders are orders that are traded against by the customer's own broker. So unless you have your own customer order flow to pillage, you're out of luck. Dark pools, yes Lime has access to at least some of them, as does every other brokerage of that caliber. But I...

You seem very late to the party. While no one has complete stats on this, evidence strongly indicates that algorithmic trading, especially the very short-term variety, peaked in the 2008-9 period and has been shrinking, both in profitability and headcount, since. A steady flow of HFT shops are...

Simulation results are never 100% correct, and are frequently 100% wrong. No offense, but I would give better than even odds that your system is completely worthless, and that its "results" are due to one of the many potential backtest/simulation problems (overfitting, snooping, bid/ask...

Check out the exchange-specific details on this -- I think there are some subtle differences amongst them. And this is just unsolicited advice, but I would always use a limit (LOO) rather than market.

Got a couple of error messages, but then it loaded. Maybe due to increased traffic?

This seems extremely misguided to me as it will greatly increase the incentive for B/D's to internalize and/or sell order flow to wholesalers such as Knight. Net result: even less volume going through the visible markets, and even wider spreads, as those who have the guts to put their bids/asks...

It's largely internalization and/or payment-for-order-flow deals between retail brokers and wholesalers -- a hidden tax on everyone that isn't either a broker/dealer or one of a handful of large wholesaler firms (such as Knight Capital)...

This sounds wrong to me. Size is a challenge, not an advantage, especially today, as you can't "intimidate" an algorithm. If you try to use size to "intimidate" in today's market, a dispassionate algorithm will either ignore it or take it in a milisecond, in the latter case handing you a big...

I would tend to agree with this -- probably the only firms that can perform at this level of profit are ones that pay-for-order-flow to retail brokers and/or internalize against their own clients (e.g., sub-penny "price imrpovement", which in reality is anything but). Wholesaler PFOF deals...

vicirek, I think monstimal was being sarcastic and/or mocking the "ET Style".

I think most places that offer equities on a software platform also offer options. Get the API spec of your platform/broker of choice and check it out.

To need to spam the market for a whole week with worthless orders that constitute 4% of total market quote volume for "testing" purposes would be both reprehensible and technologically pathetic. Equally pathetic would be exchanges allowing this. If that's what's really happened, then the SEC...

Not a chance, if what Nanex said was correct. 4% of total quotes for the week with no trades? ADR's actually do trade from time to time.

A student where? In the US at least, my impression is that any major university has complete access to such journals within their libraries. Barring that, you can often find free versions of these articles on the authors' individual home pages. You can also do your own google searches...

If you're looking for strategies, there's a huge number of academic papers that both describe and evaluate "technical analysis" strategies; here's one of many: http://www.sciencedirect.com/science/article/pii/S0927539810000022 As far as work is concerned, you might be best served by...

If Hunsader is correct and this did constitute such a huge number of useless quotes, then how would "latency profiling" (or any other non-trading activity for that matter) justify spamming the entire market that badly? One firm's testing process shouldn't impact so many others; if they need...

Your post, while amusing and understandably playing up to the biases of the many failed/embittered traders who frequent ET, is completely false. Just ask Knight Capital (although they did try!). http://online.wsj.com/article/SB10000872396390444246904577571113923528168.html

The article looks somewhat speculative (how does he know why a given person/HFT is buying or selling?), and this sentence seems to indicate a lack of knowledge of the US equities markets (which is what he's writing about): <quote>citing the "clearly erroneous" trade rule introduced after the...

I would never use stops -- they are probabilistic suicide when it comes to trading, especially when it comes to market stops in the current equity markets, which mathematically guarantee bankruptcy over a long enough time frame. Eventually, you're certain to get filled at .01 (if long) or...

I'd say it's very possible to make such a transition, and your background in finance would probably be an advantage -- but you might ask a contact within your own firm's (or a former firm's) IT department about your plan rather than here, as most people on EliteTrader are either active or...