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It really depends on your ATS requirements. If all it needs is minute OHLC, IB or IQFeed will do the job, if you need true tick-by-tick uncompressed feed, be ready to pay at least a couple hundred bucks per month. Check out http://activfinancial.com/

Non-ISO order may sweep the book, but it's getting little more complicated because of RegNMS - you may grab liquidity from other market centers (but pay routing fee & additional execution time). I really depends on the order size and total liquidity available in all 11 market centers if they are...

You keep bitching about not being able to read the NYSE tape because of RegNMS. It's not RegNMS, but market structure evolution killed the old good NYSE so it became electronic. I loved to be on the specialist side when was aggressive buyer/seller order and I saw the flow. But even with NYSE...

Depends on the broker. FIX is your friend.

On NYSE you'll get your .23

Where have you been in the last couple of years? RegNMS took NYSE edge? You are kidding me... Your dream is your problem, fragmented order flow is the reality, and without RegNMS the picture was way worse for poor investors. I'm sorry, but I still don't see any single point from your...

Market centers make money on market data and on order execution flow. With RegNMS, they have to compete with each other to publish better price in order to attract buyers/sellers and get the flow. BTW, who controls the order flow?

One possible scenario - SR probably already took all liquidity on all the top of books and decided to route out the rest to AMEX (say commissions/rebate fees were the best on AMEX in that particular case). If SR would really "smart", it should consider book depth on all exchanges and fill the...

I don't care who stood behind RegNMS or pushed it. What I do care is the benefit I can get from it - MD dissemination requirements and protected quotes an the top of book. Yes, in some cases I may pay routing fees, but it's petter than sweep the book several cents down, especially in small-cap...

That person used a legitimate technique - he intentionally swept the book on paying a lot for his buy order and disregarding better prices on other market centers. I bet that person was a SmartRouter for one of big houses. Those SR usually shoot IOK, ISO, and Do-Not-Ship orders because they see...

Just wondering where is the scam? RegNMS is for your own benefit to get the best price available. Nobody in right mind will shoot market order 5000 size with only one lot available on the top of book. Every serious desk has algos that would work a size order.

OK, You feel the reversal (or get a signal), and you shoot a limit order on the offer. Lets see what odds are: 1. Price goes up (in your favor): a) you cannot quickly cancel your order and get a fill (and still pocket the spread) b) you quick enough to pull out your order, and you...

According to RegNMS, only the top of book is protected, and some exchanges (for example NYSE) have special order types that allow to target their books only and do not route out any part of order - Intermarket Sweep and Do-No-Ship orders.

Game theory does little with reality. You are long and want to get out. You place your offer on the book. The price tanks more. You trying to chase the price and finally give up hitting the bid. If you feel that the price will move higher (or see the offer being hit, but you are somewhere at the...

Well said! :)

I'd second that. My system sends a marketable limit order to enter a position, and it sends a market order to close the position.

Big guys co-locate their TS right in the data centers. You'll always be behind unless you have $3K+ per month to pay just for the rack space, not mentioning other fees. You'll face another problem - when stock starts tanking, autobots will pull out their bids, so good luck chasing the price :)

If you have a full-blown ATS, its imperative to abstract it from any particular broker. That includes various data feed handlers, position manager, risk manager, various order gateways. I started my TS in Python just to prove the concept, and then, when all logic has been debugged and...

I'm pretty sure it's just C++ implementation. I've looked at their C++ source code (the library that connects to TWS and dispatches incoming messages), and it appears the code was written by some just-out-of-school guy. My goal was to have TS up 100% during RTH, that's why I had to move all...

IB C++ API is total crap, way unreliable with almost 0% build-in recovery. When you lose connection to TWS the whole process is dead because you cannot re-connect. I ended up wrapping up the whole IB thing into a separate sub-process, and just kill/restart it from my main TS process when...