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Yeah. At least on NYSE/NYSE ARCA it's called "Early Open Auction" and it happens at 4:00 am. I thought it was on NASDAQ too but I'm having trouble finding documentation on that. Also, apparently most exchanges stopped accepting native GTC orders in 2016, so the behavior will likely depend on...

On a single exchange the price cannot cross during continuous trading. Orders submitted while the exchange is closed or halted can cross, so they are cleared using an auction before continuous trading begins again. Read up on auctions to understand how the price gets chosen. It tends to be very...

Tracking your trades is the broker's job. If they cannot provide you with all the documents you need for tax purposes, time to find a new broker. I would probably kill myself if I had to enter every trade into excel. Be careful that your deductions are fully legitimate. I don't expect you will...

After 20 years with C++ I am migrating to rust. It's a breath of fresh air. Pretty much all the build system / dependency hell just goes away.

Ok I found it. Check this out, it's hilarious. https://web.archive.org/web/20140731202654/http://www.stocktrading.com/index.php/fees-2014 Also, it's not listed on that page, but when I phoned in to ask them, the margin interest rate I was quoted was absolutely nuts. Like Schwab tier 8% or...

Ah. You meant Bright's structure makes no sense. I agree, that was really my whole point. SunTrader, the thread you linked a few posts back has the following post in it from 2008: They weren't beating IB's rates back then, and they still weren't in 2014. Unfortunately I can't find the fees...

Correct. What makes no sense?

"momentum trading" - have you backtested this strategy? I think stocks that pop up a lot in the first 15 minutes are more likely to go down than keep going up. Don't trade without an edge.

I'm not sure if you read my post fully. Yes, what Bright offers is massive leverage. But think about what characteristics a strategy needs to have to benefit from massive leverage. It needs to have incredibly low variance. Yet they also have high fees. High fees implies low frequency. Low...

Last time I looked into bright was about 6 years ago. They charge very high fees, higher than regular brokers (IB/lightspeed). The payout is 99%. The only other difference vs a regular broker (besides higher fees) is you can access massive leverage, upto 30:1 overnight. How useful is it to have...

you say "us", are you a brokerage employee? not being interested in strategies does not follow at all from most traders not earning money. the top 1% or top 0.1% of accounts would be super interesting to look at

solution for long/short equity: Do all your long trades at one broker, all your shorts at another. Both your accounts PnL curves will look shitty so they will never identify you as a skilled trader :D

There's a lot more, such as..? I am running a small trading firm, please enlighten me what am I missing out on with my cheap data ;)

$20k/year for EOD stock prices??? $50k/year for a friggin 15 minute delayed feed???!!! Guys, if you have too much money you don't know what to do with, I can provide you with an account number where you can send it. Seriously, these prices are almost 50x too high. Quandl EOD is 50 bucks a...

It's like when you are dominating in a video game and get accused of cheating because they can't believe someone could ever be that good. It's the highest form of compliment :D

What arb are you referring to? Is this the repo market thing that's been in the news lately? Been exceeding that objective every year since I started in 2014, except 2019 which sucked. Already exceeded it in 2020 thanks to the market becoming insanely inefficient in march. 8 to 10 percent will...

I don't know what information I can get from that anecdote. I am a trader not a retail investor that holds 9 months. I want to be green at the end of the month, every month. I want to make 30+% per year every year regardless of market up or down. Only way I know to do this is high frequency, and...

What is the alternative? Are you saying that there are attractive trading strategies out there that will produce consistent income while paying only 3% commissions?

Well, the tbills were only ever a small part of it, the returns were mostly alpha. Hedging is definitely super important though. The framework for trading and risk control that he describes is very similar to what I'm using today, what is changed is the prediction models / edges. Liquidity...

Because he is doing high turnover market making kind of stuff. I am in the same boat. 2019 was painful with comms eating up a lot of profit.