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Man, better to know the market you are trading on! http://www.nyse.com/pdfs/hm_booklet_Cp_4.pdf

Someone might have executed ISO (intermarket sweep order), hitting the book up to or even above 73.15 Milliseconds after the sweep autobots or the specialist's algo stepped down the offer, so you probably couldn't spot the price change. Stocks with this price range at the specified volume...

Again, check T&S. I'd bet it was a buy sweep.

Not enough info, but in general T&S would tell the story.

RegNMS. I think your limit order became marketable on the ARCA and got routed out. Better watch NBBO and act accordingly...

You are missing the point. When people talking about professional real-time feed, they mean uncompressed, unfiltered streaming tick-by tick data. Compare professional data feed like Activ Financial with IB, IQFeed, eSignal or other provider, and you'll be in shock how many quotes you are...

What are you taking about? NYSE trading is closed after 4:00pm (not sure you are eligible to enter orders during crossing sessions). You must have parked your order on an ECN.

Also, On NYSE the first close print is the imbalance print - specialist will stop the imbalance against the book (and he may participate as well). The second close print is the paired off MOC/LOC orders at the previous print price.

Are you sure it wasn't limit-on-close order? You cannot cancel MOC/LOC after 3:50pm, so you got executed at the close price.

Yes, yes, you do have platform-independent order management protocol (and FIX support as well). How about platform independent market data feed API?

Abstract your system from a concrete market feed provider, use FIX as your OMS, and you won't have any single headache about all that crappy API business. You'll have to code everything by yourself, but the upside is that you have control over a single piece of functionality. It takes a lot of...

I've contacted them a couple of month ago and got received the full API for Windows. Asked the question about Linux version and got a straight forward answer... I'd like to hear a word from Genesis guys though...

Alex, Do you have any plans to port your API to Unix? It appears that you have all necessary variables: API, FIX support, direct exchange connectivity, and direct market data feeds. But API works only under Windows, which puts away all serious guys running their black boxes on Linux. In...

Absolutely wrong. Market sweep hits the book, and the specialist has to provide price improvement in order to jump in front of a customer order. Otherwise, specialist violates PPY rule and you can complain. BTW, did you actually get your execution from NYSE?

Let me ask you one question. What made you think you had a print outside of the quotation? NYSE has separate feeds for trades and quotes, and it's quite tough task to bind stuff together. Also (as mentioned earlier), NYSE execution system is quite slow, so trades are reported sometimes 2-3...

With http://quickfixengine.org/ you may have a running prototype over a weekend. Having FIX handler, you can easily switch between brokers since the majority of messages are standard for common order types, and all you need to tweak (per broker) is login mechanism and complex order types...

http://individuals.interactivebrokers.com/en/p.php?f=programInterface&ib_entity=llc Under Interface Comparison

Market sweep prints, ISO prints, reserve liquidity (a.k.a refresh prints), cross prints, PRIN prints, all of these can be observed on NYSE without looking at NYOB. Tape reading is still alive, and it will be.

You have to show at least 100 shares if you want specify max floor (aka iceberg or hidden liquidity). Which market center posted the quote above? Was it at NBBO? If not, your order got routed out. Or you just got lucky because you caught a seller that decided to step down a couple of...

In order to send the flow directly to NYSE one has to be a NYSE member, which costs several million $$ (don't remember the exact number for 2007). The only alternative is to use DMA of any member (there are plenty of them), and pay for that flow.