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IMHO, many MMs (those of the HFT variety certainly) are systematic traders (or perhaps "systematic scalpers"!); they follow automated mechanical strategies that tell when to place limit orders, and where to place them relative to NBBO. Their PnL derives from trade profits + rebates being greater...

As the order originates from a local machine, it's irrelevant that your server is "colocated at the exchange" IMHO .... Compare your set-up with that of a trader whose algo running machine is also situated at the exchange; market data needs to travel all the way from market to your machine...

If you haven't already, I would suggest reading "Trading & Exchanges - Market Microstructure for Practitioners" (Larry Harris), or at least chapter 14 ("Bid/Ask Spreads"); explains (theoretical) basis of relationship between need to manage market maker inventory and size of bid/ask spread ...

Queue position? Your limit order is arriving later than those filling more quickly, and you only fill when the whole level is taken out? If the above is the cause, investigate ways to have your order arrive more quickly/be placed earlier?

Tick data cleaning also available here tickmaster.webs.com

From the Journal of High Energy Physics Discovery of the Farton Based on intensive scientific investigation, I would like to report that flatulence is not caused by hydrogen sulfide and other molecular entities as previously believed. In the course of my physics research, I have...

A bar walks into a man. Opps. wrong frame of reference

A student recognizes Einstein in a train and asks: Excuse me, professor, but does New York stop by this train?

The instructor was demonstrating the wonders of static electricity to his class. While holding a plastic rod in one hand and a wool cloth in the other, he told the class, "You can see that I get a large charge from rubbing my rod..."

What's a light-year? One-third less calories than a regular year.

Definition: Light-Dog-Year : 1/7 light-years.

http://www.nytimes.com/2011/10/16/nyregion/once-wall-streeters-and-now-cabbies.html?_r=1&pagewanted=all

ET#1 Same for me. I have no quotes at all. Never seen it this quiet. Or there is some massive data feed problem … ====== ET#2 What? It's a market holiday in US. Most major markets are closed.. No quotes. ====== ET#3 Oh man. Hook, line and sinker. ====== ET#4 Oh. Well, I'm glad...

Us Europeans, we're a fishy bunch... Young kids in Spain don't go to bed until 10 - 11pm ... so why are you so surprised if the Greek PM is making newsworthy press releases at 11 pm... "I've a feeling we're not in Kansas anymore..."

This is what foreign-policy success looks like http://www.economist.com/blogs/democracyinamerica/2012/02/america-syria-and-un

So, if you threw a coin three times getting 2 Heads and 1 Tail, would you conclude that the probability was 2/3 for the next throw being a Head?

How do you deal with "whipsaw" around the equity curve (i.e. getting in just after winners but before losers, or out after losers but before winners)?

Thoughts … A. I believe there are many arguments for and against your approach... however, if you're going to rely just on the latest period, make sure it contains a statistically meaningful number of trades. How many are you talking about? (Again, there are different views about what...

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