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It's perfectly fine to shoot a buy limit order above the offer price or a sell limit order below the bid price - all market centers would treat them as marketable limit orders. This is very nice alternative to market orders since it allows you control the exposure without sacrificing any...

Since both orders are marketable, you have multiple scenarios here: 1. If there is no imbalance, the specialist will pair-off orders using the previous closing price (not sure about this price 100% though, anyone confirm?) 2. If there is any imbalance, the specialist will stop remaining size...

I the market is not moving against you, why do you need to exit? :) I'm not sure that you want to see your offer hitting just because someone decided withdrew his offer. As I said before, you need to have really fast DMA (both market feed and OMS), or to be co-located in order to chase the...

It really depends on your strategy. When my TS decides to go along with an aggressive buyer/seller, it uses marketable limit orders +/- the reasonable spread. When it exits the position, it issues market orders only. You don't want to chase the market when the price moves against you. Time is...

What's the point of discussing an issue if you cannot change a thing? This problem has been discussed hundreds of times and what has been changed from IB side? Nothing... It's a waste of time... Need a reliable service - pay for it. That's simple.

A free cheese is only in a mouse-trap... IB feed is compressed and distributed in intervals of 100-200ms. If you need a reliable, tick-by-tick, non-filtered feed, go and shop elsewhere... A good feed will cost you a couple of hundred bucks, but if your strategy requires it, this is the only...

Please correct me if I'm wrong, but it looks like specialists don't charge this fee anymore since Hybrid takes care of the order executions.

Do search on this site, you'll find tons of info... There is no easy answer for this question. And as long as you run your own box, there is a very little chance that someone will try to deduce your strategy based on the order flow. I can imagine that, but it's extremely risky to tag along...

I got stuck with IB trying to setup a test connection to test my gateway... I think I'll go prop route soon. Laser Genesis Laser is pretty popular and it supports FIX connections, so it shouldn't be a problem... Pretty much every more or less serious broker/prop support FIX since their OMS...

Wow, that's interesting... What are you going to do when time comes to switch brokers? Answer: re-code your code to speak another language... Not mentioning that 99% of all APIs out there suck because it's not a major point of sale for brokers. No, thank you, it's better invest your time...

I do not subscribed for NYOB because the value to have it is close to zero. But this is true, that specialist quotes are not displayed on NYOB, but do display on the top of NYSE book. You'll see those refresh bids/offers if you pay enough attention. Just look at the NYSE BBO and see where prints...

About account balances... My ATS' position manager calculates all necessary numbers just to avoid all unnecessary dependencies... Less dependencies, more freedom...

I hope it's free :) I've submittet request for a test connection, and IB repr said it was possible, but nobody contacted me so far... I'll ping IB on Monday...

1. By using FIX you'll gain in the long term, since switching between brokers would be as simple as tuning up some tags. 2. Using FIX is almost "must" for ATS. 2. Using FIX is almost always faster than using API on the client side. 3. IB does provide market data over FIX. 4. IB web page...

Don't make any assumptions, just watch what's happening. If you see refresh on the bid, and the seller hit's the bid immediately, and keeps hitting it until grabs it all (several K shares), the seller is aggressive, and the stock will likely to move lower. Think about it, the seller just found...

Man, I have absolutely no clue what you are talking about.What is NYS??? What Level II on NYSE are you talking about??? When the specialist/floor broker had to post reserved liquidity, he had to show at least 1K. That 1K size would appear on the top of the NYSE book (NYOB). The rest of...

In order to post reserve liquidity the specialist/floor broker had to show at least 1K, and it would be shown on NYOB. What Level II are you referring to?

It's very hard to see it by a naked eye :) I see a lot of refreshing every day in many stocks. I think the reason behind this change is that the specialist and floor brokers want to hide their hand.

That's how it looked today (NYSE feed): 13:43:07 29.36 x 29.37 1 x 27 13:43:08 1s29.36 13:43:08 29.36 x 29.37 1 x 27 13:43:09 1s29.36 13:43:10 29.36 x 29.37 1 x 27 13:43:10 1s29.36 13:43:10 1s29.36 13:43:11 29.36 x 29.37 1 x 27 13:43:11 1s29.36 13:43:12...

Yeah, I saw it in action in one stock today, when at some point 100 shares bid was refreshing over and over again. Reserve liquidity still can be spotted, but not as easy as with 1K shares though... More and more work for tape readers...