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You just said that. You don't need futures, their change will be reflected in the price/volume action of your stock, and the tape will show it. Let institutional guys care about FA/TA/futures/etc..., and we'll just follow the suite. There are strong stocks when spoos are tanking, and vise versa...

Based on my observation, usually it means the order was rejected. Watch for error message coming right after the status update. Frankly speaking, IB API is very slow, unreliable, and full of bugs, better to work over FIX...

Sorry, but I'm not sure I want to publish any part my TS code - I've spent countless hours and nights writing, debugging, and testing that stuff. Plus, it's a working strategy :) BTW, almost all code in a good TS has to be asynchronous by definition. Regarding FIX layer: I'm still working...

I've designed my system to keep the position as long as thee is strong buyer/seller there. It may be $0.10 or $3 move. I found it useful to watch large number of stocks because sometimes a dull, inactive stock makes 2 point move during market hours because of news, and I want to get involved as...

I do not use charts while trading (my strategy is pure tape reading), just look at the price and volume action, and use charts only to find stocks and for pre/after market analysis.

Hmm, good for you if you know how to trade those stocks - spread is huge, price may drop/spike on a zero volume, and those stocks rarely do good moves. In my tape reading the volume is paramount - it shows the commitment level of the buyer/seller. On the other hand, stocks over 5-6M too hard to...

The last time I measured load it was about 6K update messages per second on about 2K symbols. Not a peak for my system, but of course, I do not do it on daily basis. I agree it's overkill to scan the whole market, I specialize on NYSE only stocks that do 1M-5M avg volume daily. That's about 400...

There is no such site. I was gathering information bit by bit. Tape reading is a lost art, and it's very hard to do it these days with electronic market. There is almost zero information how specialists work. Those who claim that they do tape reading by looking at T&S don't even see a half of...

When I say tap reading I mean the action of price and volume. I look at every quote and every print, trying to spot an aggressive buyer or seller. TS monitors about 500 NYSE stocks tick-by-tick, and when it spots a known pattern, it trades. It also collects every tick (actually, "the result...

It exclusively does NYSE tape reading, and I'm trying to put the knowledge about different patterns I see in stock behavior. It's pure tape reading - no indicators scrap. TS itself is written in C++ from scratch - it's fully abstracted from any broker API or data feed provider, and has it's own...

I also use IB & C++ API, and my TS trades NYSE listed stocks only, but I chose to send orders directly to NYSE because it's way faster. For my TS execution speed is vital. BTW, IB API sucks, I'm planning to write a FIX adapter so my TS would be abstract from any broker...

If you play listed stock openings, why don't you send your orders directly down to NYSE?

IB API is not reliable, do not use it in a real-time trading system. Use FIX connection if you have a working strategy. BTW, once you have a FIX gateway in your trading system, you can easily switch between dozens of other brokers/prop firms without worrying about integration.

That thread was one of the best thread on ET. Unfortunately, things have change a lot on NYSE with HYBRID. IMO, the tape reading is the only reliable way to trade since you see what's happening as things are happening. Let's leave all indicators for gamblers. But this requires tremendous...

You cannot read the tape by a naked eye on NASDAQ/NYSE anymore just by looking at T&S window or reading Quote Window. It's, very hard unless you have software that would decode it for you. The market is moving too fast and prints sometimes delayed up to one second from the quote they hit. When...

That's because they can and do make money, and you cannot?

This is not the question whether the specialist chose to ignore MOO/LOO or not. MOO have to be executed unless the stock is halted. LOO get executed up to the stopped price (after the specialist finished pairing and the imbalance hit the book). Another question is: if your limit order wasn't...

CME

IB TWS always shows stock quotes in lots. Also, IB will accept odd-lot shares orders routed directly to NYSE only if number of shares >= 100.

Thanks for the link!