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Funny, the guy who is able to push around the market with his size is complaining about HFTs. Not a Farmer/Hedger/Investor. A scalper profiting by small moves he himself creates at will.

I don't have much experience with Futures, but CME's mkt order is really a marketable limit order (mkt with protection). The order doesn't get cancelled back to you, but goes on the book instead. So you send mkt buy order and two things may happen ... 1) the market runs away from you and leaves...

Are you here to play games? Why would I move my limit order if the reason I sent out the limit order is to be filled at that price? I don't know why you are spreading this "they are out to get you" nonsense. It's like saying, don't go fishing 'cause they'll get all your worms! Hm, that...

I don't disagree, I just don't have the means to monetize it. So I think we're in the same boat :)

Perfect, just need Microsoft Paint :)

I don't want to hijack this thread, so no comment :)

My "Holy Grail" comment was in response to the above. You can find and edge in anything, but you can't say one has better edge than the other, imho. When I say "Holy Grail" I mean something that is printing money and as far as I know, it's either inside info or some of the HFT strategies...

Lol. That's exactly the problem ... Men think with their you know what. The first criteria - is she f***ble? No? Find a more "suitable" candidate :)

I an assuming that OP is seeing it on Time and Sales. I further assume that TnS is a "special" feed that goes from IB server to TWS. It would be crazy for them show made up trades on TnS, but it's IB afterall, so please correct me if you don't agree. Which exchange reports it and with what sale...

Very good point. I assume they conflate the data, but can you (or anyone) confirm that all trade(last sale) messages are sent?

This is just for my own curiosity. Does anyone think that creating trenches is a good idea? In other words, the more money is invested, the less percentage the creator gets. So the more backers invest, the more they keep, but at the same time the creator gets more money even though the...

Oh, I think you are mixing lots of things here. I don't use historical data so can't help you there. I think you are confusing listing exchange with where the trade occurred. For example, AAPL is listed on NASDAQ. When you send your order, you can specify SMART, which means you want IB to...

You are getting ALL. All National exchanges, all internalized trades, all dark trades where volume exceeds certain threshold. Search Securities Informaton Processors. This is all regulated. Whatever you do don't get, as retail, you don't need :) Think of it as "alternative" data...

No, market data from (most) exchanges come via multicast so you either get it in time or don't get it at all.

Maybe, but I would like my kids to read Rich Dad, Poor Dad.

I agree. So you want me to nicely wrap my strategy in your API/SDK and place it on your servers? Also I want full(as much as possible) comtrol of data and executions so I don't have to believe what support people tell me.

What intervals would you like for auctions? I think they would leak information. Are these available outside of US? Below is from Tabb Forum. Synchronized Frequent Batch Auctions: A Rebuttal D. Keith Ross, PDQ Enterprises, LLC 18 November 2014 Auctions as a function of equities markets can...

Hey, don't know if this relevant to your trading, but if it is ... What did you think about the tick pilot which had selected stocks trading at five cents increments?

Lol ... Plenty complicated for simple me :)