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Do not rely on IB T&S to investigate your fills: IB data feed is a complete joke. It has the tick compression and gets broadcasted every 200ms or so.

With NYSE Hybrid there is no difference in speed execution between a marketable limit order and a market order up to 1 million shares. Both orders will be crossed automatically (unless the market is slow).

PPY on page 17 http://www.nyse.com/pdfs/hm_booklet.pdf

Hmm... If I remember rules correctly, Direct+ market orders up to 1 million shares are eligible for automatic execution, so it should be no difference in speed between market order and marketable limit order executions...

Unless you have an algo that can follow the market with limit orders, you'll miss a lot of good opportunities in the fast-moving markets. I never use limit orders. If I see a good opportunity, I get in, if I need to get out, I do it as fast as I can...

Easily: 1. someone posted a limit sell order 6@10.25 right before you did 2. a couple of trades occurred say 7@10.25 and 1@10.25 (leaving your size in the queue) 3. More aggressive seller stepped down showing 12@10.24 4. You see your 1 x 12 10.22 x 10.24 Look at T&S, and unless you...

I watch several NYSE stocks every day quote-by-quote and trade-by-trade (yes, I literally see every quote and print). When the market is fast, it's very orderly and precise, all prints go exactly at the bid or at the offer, sometimes you see price improvements or prints more than size on the...

The fine is big enough to let the member firm adjust their FIX gateway to reject any client orders after 4:00pm :)

NYSE Hybrid changed it all... Market orders and marketable limit orders get filled automatically by the matching system based on the time priority at the protected quotes unless the market is slow and the specialist can manually tweak the quotes.

NYSE rule 123C: In order to minimize excess market volatility that may be associated with large-size MOC orders that are entered near the close, and to allow sufficient time to attempt to offset large imbalances of MOC orders, there is a deadline of 3:40 p.m. for the entry of all MOC orders...

NYSE will execute odd-lot market orders at the price of the next round-lot print.

NYSE stocks: last trade, last trade size, bid, bid size, ask, ask size. No charts (just for selecting stocks). No Level II since it pretty much useless - algos may cancel or cancel/replace their bids/offers within milliseconds after the move started - you won't be able to spot it.

On NYSE a specialist can see the reserved size posted by a floor broker. The reserved size (and the specialist interest) is not a part of Level I/OpenBook.

100% agree with you. I completely forgot about slow market, when specialists have to step in and provide liquidity. Here is an example of LPR triggered on DJ 06/21/2007 @12:15:17pm: ... 12:15:18 61.29 x 61.30 1 x 4 12:15:19 61.29 x 61.30 20 x 4 12:15:19 61.29 x 61.30 1 x 4...

Don, The very last thing I want is to let your feed/execution platform mislead you. If the seller hits the bid at 34.40 with the size all the way down to 34.35, the very next bid quote from NYSE would be 34.34 (unless the seller didn't take the whole level at 34.35). This bid can be...

Of course, every transaction involves a buy and a sell LOL The question was who initiated the last print: a buyer or a seller? But the last print was a buyer :) (and he was aggressive): 1. The buyer did take 2 lots @34.07 at the offer and stepped to the offer price 34.07 (plus tick bid). 2...

Keep in mind that NYSE quotes and NYSE trades are two different feeds, so you basically have to reconstruct the tape in order to see what happened. 34.06 x 34.07 9 x 2 34.07 x 34.08 2 x 3 2s34.07 34.06 x 34.08 4 x 3 Could you tell if the last print was buy or sell? :) That's why Time...

ACTIV Financial. Those guys are really good - the feed is awesome, I'd say one of the best on the street in terms of accuracy and latency.

I think it depends on your market data feed, and I'm pretty sure that your feed (or your eyes) simply misses a lot of quotes. In your example it was just price refresh by some algo, and it was so quick you missed the bid quote at 34.34. The feed I'm using is very good and I know I don't miss...

Limit orders don't take liquidity - they provide it. Market orders do take liquidity. For example, if there is an aggressive buyer, you see print for the whole offer size, and then the bid price steps up to the offer price (plus tick bid). There are cases when the buyer hits the whole size...