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It does if price/size are equal.

The fill quality should not be affected since your order was at NBBO when got filled (per RegNMS).

Even if you shoot a limit order you may ended up taking the liquidity because market moves and you order become marketable. Some good brokers give executions back (if you use FIX) with the liquidity indicator showing whether liquidity was taken or provided. That indication comes directly from an...

1. You may face higher fees for odd lot orders. 2. Some exchanges don't support odd-lot orders at all. 3. On NYSE you'll have to wait for the next non-odd lot trade to get your execution.

This is aggregation, not consolidation. For an incoming market order you'll see a print that would match the order size, unless you sweep the book. In the sweep case you'll see several prints on each price level. Throw away your cheap consolidated (read snapshot-based) feed, get a real-time...

1. CME doesn't consolidate trades. 2. Calculate init/main margin for a given size and you'll see how much was put on the trade. Trades well above 100 cars are very common.

The previous tape example was from backtest :) My ATS is up 24/6, and yes, it show me reserve orders as well - it's very easy to spot them. Here is a few good examples from yesterday's tape: 08:31:33 907.50 x 907.75 115 x 36 08:31:33 907.50 x 907.75 115 x 31 08:31:33...

I don't use charts for real-time trading, so TWS charting capabilities are fine for me (TWS beta has improved and better looking charts as opposite to the latest stable release).

I came across the same problems few year ago, realizing that T&S became useless for tape reading after NYSE went Hybrid and ES became very liquid. I have a custom built ATS (NYSE listed stocks/ES) that produces the tape as it crunches market data for real-time and post-trade analysis. Here is...

I'm using TWS on Ubuntu 8.10 without any single problem. Ubuntu/Firefox/Thunderbird is a very good combination to keep your trading station rock solid and secure.

I have this problem almost every day on Windows - the login window comes up and when I type user/password TWS just hangs instead of displaying security code window. When I close MS Outlook/Firefox TWS starts without any problems. On Ubuntu TWS starts/works as a swiss watch...

1. With MOO/MOC you'll get filled at the open/close price. The order imbalance will sweep the book or the specialist (DMM) will step in and provide liquidity. 2. Depends on the platform. Just choose NYSE or another destination that you know will re-route LOO/MOO/MOC/LOC orders to the stock's...

For NYSE listed stocks, send MOO order before 9:30am, MOC order before 3:40pm direct-to-market (NYSE), and you will be 100% filled.

Marketable limit order is the best approach. You gonna take the offer as if it was the market order, and in worst case you'll be bidding (and the very first in the line), so very likely you'll get your fill anyway.

Install these packages: sudo apt-get install sun-java6-bin sudo apt-get install sun-java6-jre sudo apt-get install sun-java6-plugin

I use TWS on Ubuntu 8.10/Java 6 with no problems at all.

If you are going to track the stop order, better watch for the CME message benchmark rate since the number of of cancel/replace messages may become excessive. http://www.cme.com/files/CMEMessagingPolicy.pdf

I used LOC via TWS and both types via FIX (according to the specification) - you cannot mess up the latter one otherwise your messages got rejected by IB gateway. BTW, you can see audit trial - TWS menu option View/View Audit Trial. It's gonna show you exactly every FIX msg in detail that TWS...

1. Yes, I was since I was offsetting imbalance 2. Although IB shows LOC in OrderType, it's TIF on FIX level. That's why IB handles it differently and probably have some bugs in mapping MOC orders, but not LOC.

LOC worked just fine for me with IB, but it's quite different from MOC. LOC is the time-in-force type, while MOC is the order type.