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My point in part is that there is no "objective evaluation" of an ATS (see my earlier posts). Its value, if any, depends highly on who developed it and how, and that ties into the issue of overfitting. And as you point out I'm not interested in buying an ATS, and I'm unlikely ever to sell...

If you're "strategy rich", there's no need to stay "cash poor" for long. There's gobs of money available for trading a highly profitable automated system. "Downsides" such as "drawdowns are too large" or the "winrate unacceptably low" are only applicable if the expected return of the ATS is...

Interesting idea, but the answer for me depends heavily on whether you're asking what an ATS is worth sold as a stand-along product, or how much it's worth to a person using it themselves. If the latter, then I'd say it's worth exactly what the person can make from it, until it stops working...

Not necessarily -- I observed a very similar thing using another major discount broker through which I have full permissions to trade extended hours -- extended hours trading went right through my live extended-hours order. I've noticed in the past that my broker doesn't send its orders to...

Only very rarely has anyone "pulled" the bid or ask on a lit exchange before I have been able to get a directed order to trade against it. I've had internalizing (retail) brokerages cause me to miss trades, but rarely (if ever) through a DMA account. Although I agree that IOC can be useful, if...

Are you directing your orders to the exchange with the best bid? IMO, if you're a short-term trader, you're costing yourself a lot of money, on average, by not directing your orders yourself (e.g., to the exchange with the NBBO). In the current regulatory environment, the incentive for...

I think (2) is by far the biggest practical problem now, although fragmentation itself and the multiplicity/confusing nature/buggyness of order types on the exchanges is also causing problems. But internalization/PFOF is the worst -- there's just too much money in it for retail brokers...

For market data or for sending orders? For sending orders, I think FIX is a pretty good choice, as it's got far more robustness than any API I've worked with (e.g. automated resending of lost messages), and it's more or less broker-neutral. However, FIX doesn't give you quotes.

NxCore sells a full feed for the top of book for all exchanges plus level 2 for Nasdaq. (FYI, "Level 2" is a Nasdaq product, and is not the same as "full book", which is available from Nasdaq as "TotalView". Level 2 is not a full-book product.) NxCore is certainly available via the Internet...

I think you may be being a bit harsh on the SEC. I think many people there would like to see internalization/payment-for-order-flow deals -- the major sources of the most poisonous subpennying -- banned as well: (from http://www.sec.gov/news/studies/ordpay.htm) ...but keep in mind they...

Is that what your rambling, occasionally incoherent posts are supposed to be -- "funny"? That would explain a lot. :D

You can use your firm's data and "analytic libraries" for your personal trading? It's worth being sure, as you don't get yourself fired in this sort of environment -- it's just not worth it. The shorter-term trading markets have gotten much more competitive over the past few years, anyway...

Stop limit? Stop orders are dangerous in themselves anyway. Stops end up being a setup for you to exit at the worst possible time -- combine them with a non-limit order, and you're in the realm of probabilistic suicide, at least with US equities. And why would you even consider them unless...

If you're 100% confident you can earn 30-40%/year with this, why not trade it yourself? You could scrape together 100k, open a customer portfolio margin account, and given those returns, then you've got 150K-250K/year after the first year, 450K-625K after the second, etc. I'll warn you...

Most brokers will give you a FIX connection if your account is large enough ("large enough" varies by broker, so be sure to ask -- it may also depend on your anticipated volume). FIX is the standard for sending orders, so most (if not all) brokers are using it themselves anyway; it's just a...

It's also bad because virtually every retail order through the big online brokers such as Ameritrade and E-Trade goes directly to a market maker, paying a small fee to the broker for the privilege, rather than to a competitive exchange. GETCO and Knight are two of the big market makers in that...

Interesting -- I didn't know about Citadel's earlier attempt to get all of E-Trade's order flow. Of course, none of this would be an issue if the SEC simply enforced that all retail orders be routed to a real exchange. Meanwhile, the end users of the markets (investors, investees) will...

Can anyone else speak to the accuracy of CME's claim that FIX/FAST "is rapidly approaching its end as an industry standard"? I for one certainly hope it's not the case. Standardization and efficiently compressed feeds are liberating and yield cost savings to virtually everyone but the trading...

Market orders have no place in today's equity market structure. Trade market orders enough, and you'll eventually get filled at .0001 or 199,999.99 (on the wrong side), and you'll be looking at catastrophic losses unless you can get the trade busted. IMO, you should always put in a limit, even...

Bandwidth and latency are largely separate issues. Which of these you need to improve, if any, really depends on what you're doing. If your bandwidth is maxing out, you may need more bandwidth, in which case it's easy to upgrade if your provider has it on offer, which it sounds like they...