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Maybe protecting the MMs?

Curious, which parts do you think could be automated? I assume you will be deciding what and when to enter discretionary, but maybe just automating the trade management thereafter?

I'm no expert, but what I do is save the result into a Watchlist: Once in Watchlist, I have a field called "Send to Red" and on the charts, I link with Red: So you just click on the red and it loads the chart with that symbol. Unfortunately, you must click ... can't press space or down...

I agree, what a pathetic way to participate in the zero movement. What I would do (and I know they will listen to me) is keep everything the same except: 1. Add ZERO route which is like SMART, but cannot be customized in any way. Only this route gets zero commissions. 2. Add the free CBOE One...

Who would benefit in giving you the proof? Definitely not your broker. If it's not an issue for your type of trading, there's nothing to worry about. I suggest you read those 2000 posts, might just learn something new.

What does it mean? Did you see actual transactions above 2.0?

Have you tried CBOE's Market Close? Since they don't advertise/publish their imbalances, I would assume they don't have enough volume to make a difference. http://cdn.batstrading.com/resources/membership/Cboe_Market_Close_FAQ.pdf

How do you define "impact?" - how much closing price will move if your order creates/increases imbalance by N shares?

@comagnum, I respectfully disagree with everything you said above :) We are obviously on opposite side of this issue, but no point to get into this debate really. Good thing we still have a choice of where to route (at least for now).

I don't believe in statistics created by biased entity. What informed traders? Their volume is nothing. https://www.wsj.com/articles/iex-exchange-to-exit-listings-business-11569205413

You need to define what the last price is. MOC price is based on auction that sets the OFFICIAL closing price. So if the stock is listed on NYSE, the auction will create the closing price for the stock which you will get. However, the stock can still trade on other exchanges at any price. What...

What is the source of Data? .WE maybe something like When Issued class E. But what you provided, I don't think is standard. Could be platform/source dependent.

I didn't get this ... What does listing exchange have to do with wide inside spreads? Sounds like NASDAQ and BATS/EDGE decided to widen spreads artificially to prove a point. Anyone has idea why primary exchange makes a difference for MMs?

So if you create a scan for all stocks that hit low of the day, you will automatically see the list of stocks grow as market goes down, right? How often does it refresh? Can you give an example of scan that re-scans automatically? Every time I press "Scan", it sends request to server and I'm...

Well, free to use it within TOS. Can't get it via API for trading purposes, afaik. All good, but it's a bit heavy/slow and a memory hog. I use IB to execute. Embarrassingly, no other equities broker can match what IB Pro offers(just in equities alone), after so many years!

Correct. And, unlike IB Dimlite, it's full NBBO data including top of books for all regional exchanges.

Yeah, I think these are your biggest problems. It's not scalable to a point where big guys can allocate enough money to care. It's not automated so can't be run on it's own. I agree with this. Work on other strategies and if you get laid off, join prop and trade their capital. But if you are...

I always had real time data and scanners used to update real time, but at some point stopped. There was a discussion here regarding this and it was confirmed. Let's see if someone says otherwise.

Last time I tried, custom scanners were not updating real time. Shame. Data is free.

Imbalance data by the second vs tick? You sure you are taking about same thing? https://www.nyse.com/market-data/real-time/imbalances