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Back to the thread topic. South of Portugal is so nice... On the other hand, not sure about living there full time. Lisbon is a nice city too.

I'm not here to convince anybody. In a place like here, you have to separate the wheat from the chaff.

A fact. And besides that, MM don't care about the identity behind the Public Customer orders.

Brokers make sure that the MM firms that are paying for the order flow gets executed against the Public Customer by using different mechanisms in place. MMs trade with Public Customer orders (for which they pay to receive) on the exchanges book. They don't see those orders in a different way...

MM don't receive orders directly from broker. Again, we're talking about US market.

Any US exchange market. PFOF has nothing to do with what info is sent to exchanges.

Apart from knowing that you are a Public Customer (trading account type), they don't know anything else. So, if you send 2 orders at different times, they won't be able to see that both orders were sent from the same guy. They will see 2 orders coming as Public Customer from the same broker.

It's usually one subscription per strike. No, I'm not referring to IB specifically.

. They DO mention snapshot, but maybe not the way you would like it to work. Usually, real-time subscriptions are sending snapshots when you initiate your subscription for real-time quotes. So, you would need to subscribe to real-time quote each 30 minutes, and then unsubscribe, then...

The answer to my question is the answer to your question. With all due respect, if you don't know the answer, then I would suggest you to learn trading from the beginning, or something like 'trading for dummies'.

Really???? Please tell me what is your definition of a trade?

Very good point. But market data speed (or so-called latency) is harder to determine. You need the exchange original timestamps in order to calculate the time it takes for you to receive the updates.

Not sure IB is your best bet for fast and reliable market data. I've heard that IB only sends snapshot each 250 ms. I'm using IQFeed instead of IB. Not that cheap but you gotta do what you gotta do!

For US Futures (CME), IB response time is usually around 250 ms (from Canada, Eastern Time zone). I don't know where you got the fact that IB was not fast enough (whatever that means!). And the $0.0075/share comm is for fixed fee structure. It's cheaper if you go with tiered.

What do you mean exactly by 'low latency'?

6 days of trading...seems more like gambling than anything else!

1) Optimization and backtesting 2) Backtesting with out-of-the-sample dataset (data not included in previous step) 3) If results are good, analyze if forward data was use in 1 and 2 (or any other type of error) 3) Paper trading (real-time) 4) Real-money trading with small volume 5) Real-money...

Usually, trades that were done out-of-sequence (adjustment, late, as-of, etc.), or on legs for spread. Crosses (or from so-called dark-pool) are seen as regular trade, sometimes marked with a Crossed marker.

No.

Liquidity is not defined by the number of trades/executions, but by the number of orders showing on the books. The number of orders showing in the books affect the number of trades/executions/fills. Exchanges want books full of orders. They don't want traders to hold their orders and wait for...