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There is absolutely no way you can fit today's market data update frequency into FIX pipe. There is FastFIX for that purpose. I use IB for routing and have separate MD feed, since IB market data is total disaster (at least for my ATS needs).

If IB supports MD over FIX, it has to comply with the standard. Check this out: http://fixprotocol.org/specifications/fix4.2fiximate/index.html But IMHO, market data over FIX is the very last thing I'd go for...

They don't offer FIX for paper accounts. You complete certification on a test FIX line, pay $500 and then go live. Then you have to generate at least $100 in commissions (I think this is not a problem if you are at the level when you decided to use FIX). I've implemented simple ECN that...

Fragmented flow is still a major problem for the NYSE tape reader, but adopt or die... It appears that NYSE has tuned up the execution system recently, so trades got reported on the tape a lot faster that it used to be 3-4 month ago. I also started to see more price improvements.

Try this: http://www.trade-ideas.com/StockInfo/_ScreenerConfig.html

In general high price/low volume stocks tend to have larger spreads. Also, the spread on a particular market center is usually wider that NBBO. But every stock is different. Lear the stock before trading it.

Snapshot-based market data feed will drop quotes and aggregate trade prints. So if someone traded say 9 contracts 50ms before you did, IB would print 20 in T&S.

The short answer is yes. http://individuals.interactivebrokers.com/en/trading/marginRequirements/margin.php?p=d&ib_entity=llc

Ask IB to clear PDT flag on your account, they can do that once in 180 day period (per NASD rule).

AFAIK, darkbooks/pools don't post any quotes...

In the case when you have reserve liquidity the very next quote would come with the same size or what left. So you shoot 100, 300, or 1k buy order and you see that the offer just got refreshed, no change in price/size on the offer. If there is no reserve liquidity, you'll take the offer or a...

Use 100 shares and see where it prints and what is the very next quote is. You have to have a very good unfiltered true tick-by-tick market feed to spot that, otherwise you may think you see refresh where in fact it's an algo. On NYSE: reserve liquidity: 50.00 x 50.25 2 x 3 50.00 x...

I have verified (on FIX level) that NYSE cancels day orders only after the stock is closed, i.e. after the close print. So I don't see how that 6k imbalance print swept the book while 9.5k was on offer unless that size offer got canceled. I'm pretty sure there are no specialist games here, but...

Well, here is the tape 30 seconds prior the close: 15:59:23 1.14 x 1.16 649 x 93 15:59:43 1.14 x 1.16 649 x 114 15:59:44 1.14 x 1.15 649 x 10 15:59:46 1.14 x 1.15 755 x 10 15:59:48 1.14 x 1.15 836 x 10 15:59:49 1.14 x 1.15 836 x 9 15:59:49 1s1.15 @...

Here is the tape for yesterday's close: ... 15:59:54 1.14 x 1.15 958 x 95 16:00:00 1.14 x 1.15 977 x 95 16:03:03 1.14 x 1.15 977 x 95 C/C 16:04:42 60s1.22 @ 16:04:42 1.14 x 1.23 977 x 10 C/C 16:04:45 274s1.22 L Interesting, the imbalance print was 6000 shares...

... ... 15:59:59 1.19 x 1.20 272 x 91 16:03:01 1.19 x 1.20 272 x 91 C/C 16:05:42 20s1.19 @ 16:05:42 1.19 x 1.20 252 x 91 C/C 16:44:17 1.19 x 1.20 1 x 1 C/C 16:45:53 1.19 x 1.20 1 x 1 C/C It appeared that there were no buy MOC orders, so the specialist...

What was the stock? I bet it was a large-cap one, in small/mid cap they use to just satisfy minimum 1k to display, and when NYSE reduced min size to 1 lot, the spec/floor brokers were more than happy...

The specialist, floor broker, or properly coded algo strategy would never flash big/offer with that size. It must be a stale order, a typo, or someone throwing the rest of his order. I see it dozens of times in many stocks (small and mid cap), the size almost always gets a hit except open and...

Yeah, it's getting harder and harder to spot institutional/floor orders, and the specialist reserve liquidity is an important piece of info IMHO. But this is good for NYSE - they fight back for the flow they've lost in the past few years, and if NYSE attracts more participants, and the flow...

There is no such statistics. Get historical tick-by-tick data and figure that out, which is not trivial given the fact that quote and trades are different feeds. Sweeps occur every day in almost every. Here is an example (very very nice buy sweep ): 09:36:58 106.13 x 106.19 1 x 2...