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There are no sub-penny orders, but you can get sub-penny execution if someone internalizes the execution - order never goes to the exchange. If you get execution in sub-penny, it was most likely internalized. https://meanderful.blogspot.com/2017/04/sub-pennies-rule.html?m=1

I agree with you on above. However, I want to point out that as far as games being played in the books, and all the special order types, all this is because large participants need to hide their activity as to not move the market. I think that's what @raVar means - spoofing as a part of...

I have never heard of such orders on US Equities lit exchanges. I see that CME has it for Futures, but not sure if they apply to all instruments. So you think regulators are enforcing anti-spoofing, and the likes, for the benefits of a fair market? I doubt it very much. In your opinion...

That's dependant on the type of trading you do, even within intra-day trading. Basically, imho, you need to identify where you will be in sync with the rest of participants trading on your timeframe(s). I display: Previous day's high, low, close. Today's open, high, low If stock is active...

Read all the Market Wizard books and see which trader's style appeals most to you. Start there and see where it takes you. Good journey to you.

So the question I was asking myself is which market participants, that matter, are hurt by this activity? Obviously, it's not little retailers regulators are trying to protect. Since these games mostly played by automated algos, whose algos are getting negatively impacted? Well, we know...

Not to argue for or against, just curious what you mean by this. Do you mean it's just a natural side effect of how auction markets work?

Ok, this is got to be close to the top. @dozu888 , are your pro boys distributing? Do I continue to hold?

@Stamamarti , I am curious if you believe there's significant difference between a) and b) ?

Yes, but I don't know if you can get historical imbalance data though. Also, has to be retrieved symbol by symbol I believe. Not sure how TWS manages to get all of it(I assume it does). Maybe someone can comment.

IB has imbalances, including via API, but I'm not sure it's unusable. It's kinda scary using suspect data because it can lead you to the wrong conclusions - either towards bad strategy or away from good one. At least it's cheap enough to try.

Wouldn't ETFs be better? https://www.investopedia.com/articles/investing/080415/top-coffee-etfs.asp

Right, let's say you can automate drawing the lines exactly how you would do manually. Will there be any discretion after that? For example, have you ever taken a trade where your s/r was not reached by one tick? How about it went through by 10 ticks but then came back to it? In other words...

What I am asking is if you apply any discretion whatsoever after the lines are drawn. Context is hard put in rules.

Do you trade every s/r line you draw? If not, can you create concrete rules for it?

Right, that's the problem ... nobody says - here is the server connected to market data and exchanges, go knock yourself out within our risk limits. Even that is not securing your IP really, but at least it's better than - explain to us exactly what you are going to do and then maybe we will...

I'm wandering why that is. You have MMs who should be willing to buy and sell all the time at reasonable prices. Otherwise, wouldn't someone be able to provide a tighter quote and still be able to arb it against SPX? I'm thinking of ETF MMs who always have liquidity available.

HFT available: https://www.alphatradinglabs.com/ Anyone has experience with them?

Is this old news? Why would anyone trade SPY options anymore? Will Mini-RUT be next...

Shaken :)