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Must be API - how could 0.002 cents/share be prohibitive for manual trading? Correct me if I'm wrong but I don't think that any strategy with such thin profit margin could be executed by hand.

Yeah, the "hidden order net" strategy is clearly not efficient with IB. If you need direct routing and have a certain amount of turnover or you don't hold overnight, then IB's better margin rates aren't going to be able to make up the difference and a broker like Lightspeed will come out ahead...

Read what carefully? The link I posted afterwards in answer to my own question? That link explains why someone would use hidden orders, your post does not.

This article explains how hidden orders can be useful to combat "penny jumping": http://www.beathft.com/?p=88 To implement this properly you need to direct route hidden orders to multiple exchanges, and so you can't really use this with IB.

How can a hidden order have greater chance of filling compared to a visible order at the same price? Hidden orders are always at the back of the queue, AND they are not eligible to become protected quotes so they will be traded through or price improved (internalized) much more often.

Already asked and answered in the other thread. I answered this in the other thread too. Suggest you read more closely.

I don't have much experience with this but I'm curious. How likely is it that there are hidden orders inside the spread and why would anyone be placing such orders? What is the point if the internalizing brokers are allowed to steal all your fills? Seems to me like market orders don't make much...

If the lowest commissions is all you care about, use Robinhood which has zero commission. The truth is that without access to auctions, algo trading, etc you are almost guaranteed to end up paying more overall to execute. You have to remember that commissions are just one factor in the cost of...

So I've been communicating with Polygon and they have confirmed to me that the OOS trades are due to a bug in their system which they are in the process of fixing.

My primary is ActiveTick, I have never used IQFeed though I mostly hear good things about it. Compared to ActiveTick, data quality is what motivates me to switch to Polygon since the pricing is similar. The quality on the polygon realtime feed isn't all there yet, but at least it's being worked...

re: the code: I use the C lib so mine is a bit different, but you're on the right track by following the subscribe example. You'll need to modify it to be able to subscribe to multiple subjects at the same time ("T*" for trades, "Q*" for quotes, etc. - see the docs)

There is aggregate (bar) data for 1s and 1min intervals, but it's not broken down by exchange. Level 1 and trades only. This is all answered in the documentation btw. Yes, it can be worse than that (I've seen over 30 seconds) when one of those glitches that I mentioned is occurring. Should be...

1. Documentation is here: https://polygon.io/docs/#getting-started. I'm not aware of any complete example code available online, but I found the API to be very straightforward. If you have a specific question I could try to answer it. 2. Yes, $200 for non pro for all the equities data. Yes, the...

lol I posted the same thing and my post was deleted. I'll try to be a bit more politically correct this time. I'm guessing he posts in every thread because he wants his sig to be viewed as widely as possible

No, It's not documented what the source is. A possible clue is that the trades come together with 4 condition codes. By googling for the code names I found they are very similar or identical to the CTA (consolidated tape association) format described at www.ctaplan.com

Ok, cool. Then I did the right thing creating a bug report and I will try to lobby for them to improve it to the point where not even one instance is out of order :) Sorry to not answer about the timestamps but I wasn't sure. I've now confirmed that it is the exchange time by comparing with...

Unless choosing which stocks to trade super near to the closing time is the entire point of your strategy, maybe you can just use Market On Close orders instead. You can submit the orders much earlier so that a few seconds delay becomes utterly irrelevant. The exchange fees for MOC orders are...

Kinda surprised that no one here gave a definitive answer. I didn't think it was that hard of a question for elite traders :p I'm starting up a bug report with Polygon since even though I'm not sure based on this thread, I'm now leaning towards what rb7 said, I don't think this many OOS trades...

If someone has saved real-time tapes then they can. DaveV said he has NxCore, which supports this. Alternatively it can just be checked the next time the market is open. It doesn't have to be for June 7th.

Thanks but looking at the historical data doesn't tell us what we need to know. The polygon historical data appears 100% in order too. The problem is that it's not in order when it comes through the realtime feed.