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Where is the false information? The specialist still has ways to participate in the fast market (in a limited way though). Please explain where we are wrong here.

http://www.nyse.com/pdfs/2007pricelist.pdf

Theoretically, any broker can front-run your market orders since he sees all your flow. And I'm pretty sure every big house does that at some extent. That includes the specialists, but they do it very seldom since they got audited, and fines are pretty big. With HYBRID the specialist cannot...

1. NYSE HYBRID does match almost all orders these days (when market is fast). 2. During slow markets the specialist cannot go long on up-ticks and and sell on down-ticks. He can give you price improvement though, or give you single-price execution if your order size is greater than the quoted...

How liquid is your stock? It maybe an algo working a buy order and bidding up the price.

IB feed is snapshot based (sends every 100ms or so). AFAIR, IB API gives you an ability to request bar info (1 minute min). Go and shop for professional tick-by-tick feed if you need one.

If you care more about executions than the price, just shoot ISO and DNS orders to NYSE. You'll quickly kill yourself sweeping the book... Brokers are also under RegNMS, but in a different way. I agree there are legitimate ways for exchanges to fill you from their book thus "violate" RegNMS...

If a broker sends an order down to an exchange/ECN where the quote is away from NBBO, the order will be rejected (on NSX for example), or a the broker will be charged for a routing fee (there are few exceptions). So it is important for SmartRouter to send an order to the exchange that posted...

You may also look at NYSE Action Market/Limit orders. You can use FIX to send orders if your software doesn't support those order types.

I use my custom-built software to produce the tape. Here is an example (BZH.N today): 15:56:01 7.23 x 7.25 17 x 3 15:56:02 7.23 x 7.25 17 x 1 F/F 15:56:03 7.23 x 7.30 17 x 2 15:56:03 7.29 x 7.30 20 x 2 15:56:03 7.28 x 7.29 20 x 19 15:56:03 7.28 x 7.30 20 x 36...

Really depends on the stock. I believe it happens pretty much every time when you see the slow quote indication on NYSE feed. I often see 1 lot quote marked as slow right after a print (due to LRP or a gap quote), and the very next quote would gap several cents (for small and mid-cap stocks)...

The specialist or a floor broker may post "reserve liquidity" orders into NYSE Display Book. Take a look at: http://www.nyse.com/pdfs/hm_booklet.pdf

The chances to get the price improvement are very slim, the specialist participation rate is extremely low these days :(

http://quickfixengine.org has pretty much the same features, free, and easy to use. If you are looking at FIX connectivity, I believe you are already at the level when you can do the certification on your own with your broker, it's not that hard.

Many ECNs natively support reserve liquidity (on NYSE it's available for specialists and floor brokers). Usually SmartRouter will watch every tick on all ECNs/exchanges and shoot marketable limit IOC orders (to make sure the rest of the size won't be placed on the book).

Are you kidding me? 100ms is eternity in today's market. When you are sitting on Java & IB market data you are the last person on this planet that sees the quotes when market starts moving rapidly (Feds or big news in the stock). If you cannot benefit from it doesn't mean nobody can. Trading...

My statement about TWS API timing was based on the real order execution. My ATS does extensive logging, and I had observed all order ACKs and fills coming from TWS. BTW, don't forget that JVM can kick in garbage collector at the most inappropriate time. Believe me, when complexity of your...

Everything counts. You spend 1 ms submitting your order via TCP/IP, and Java based TWS can easily spend 50-100ms processing your order before submitting it into IB OMS. FIX is the best (and the most complex though) approach. It really depends on the strategy, but when it comes to the fastest...

I'm not sure you can quantify this. Market doesn't stand still while the broker works your order (especially with SR when it takes seconds to get a fill) - aggressive buyer may step in and hit the offer with on up tick, so you'll get fill @20.28 or even worse. I've seen NYSE sweeps as deep as 20...

I don't see any magic here. Algos can cancel/replace orders a couple dozen times per second, and prettry much every ECn has an option (called floor) to control how much of the size to show on the book.