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@nitro That Janestreet video was pretty cool... thnx. @bwolinsky The ignore feature works wonderfully to remove annoying people from your screen :) On the other hand, I do tend to agree with your request... it'll be nice to see an explanation on Nitro's epiphany...

1. Use reserve and hidden orders to avoid showing your hand in the market when you post your orders. (random reserve seems to work best) 2. That's the problem with providing liquidity, you're at the mercy of the market to a certain extend... you have to buy when the market is selling and...

You know, not long ago the Zimbabwe market used to go up 1000's of % per year...

It's probably not someone who's trying to buy/sell large size... since no one moves large size upfront without trying to hide it a bit. Sounds more like someone trying to do the very illegal and very risky tactic of spoofing the market... post a huge buy order so that your smaller sell orders...

HK mkt has a 10 basis stamp tax on every trade… and they keep trading. The tax is implied in volatility n spreads… certainly not the end of the world.

Are you saying Fusion=Blackwood?

Key word here is entities... The entities targeted by the Volcker Rule are banks and brokers... If it removes them from speculating in the market, then it'll open a lot of opportunities for those that are left (e.g. prop firms and independent HFT shops)

Rebate trading is not completely useless. It does require some basic skills that can be used on other trading strategies, such as watching which ECN queue to sit on, quickly adusting your orders to changing market conditions, or cutting your losses with no regret when the market goes against...

...So kids are going to have to stick to selling pot to their fellow classmates when they want to raise cash... :confused: ...and the land of the free... is nowhere to be found...

There's plenty of examples... A good place to find a lot of research on the matter is nanex (focused on the US markets, but still good research) http://www.nanex.net/Research/EMini2/EMini2.html http://www.nanex.net/aqck/2805.HTML http://arxiv.org/abs/1202.1448

I've done a fair amount of thinking about the long term effects of HFT's on the market microstructure. The HFT's reduce the margins to a point where most human traders cannot compete, for the very short term strategies like scalps and liquidity provision... the humans that stick around are...

It is an execution venue that doesn't display any quotes. Just execution.

You could do what many HFT's did during the flash crash... if liquidity dries up and things are way too weird then stop trading and ask humans for help :)

Yeah, the headache is in the corner cases... :)

From Torontotrader2's post it sounds to me like they create new routes to avoid having more configuration flags... Many of those sound like they're the same route with one of the supported FIX options changed from one to another... Sounds like a pretty messy approach...

I've given a lot of thought to simulators and ways to get around the fundamental problem they have, where in theory you're able to fill infinite simulated shares against a real 100 share order... I've come across 2 paths that seem to work best. 1. only 1 fill per position per price... if...

A few years ago a thread started about this subject and we created a wikipedia list to keep track of these http://en.wikipedia.org/wiki/Category:Trading_films have a look and please add any new trading movies that you find to that list. :)

the fact that his id on this forum dates back to 2004 should give you a hint that he's not exactly a rookie...

On fractals and scaling in finance page 39 Mandelbrot suggests that price changes over fixed clock intervals are more chaotic than price changes from successive transactions or based on volume variations... So the key to your riddle may be to move away from time based charts and towards tick...

that would trigger the sell stop order right away & turn it into a market order. You would get the bid price (19.99 assuming there's enough liquidity)