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I believe the question was about the maximum order size, not position size. BTW, there are exemptions to avoid 20K limit on position size.

According to the contract specification, it's 2000 lots. How about this single order sweep @ Spain downgrade? 11:27:47.932 286s1187.25 11:27:47.932 1234s1187.00 sweep(0.25,1520) 11:27:47.932 1246s1186.75 sweep(0.50,2766) 11:27:47.932 1151s1186.50 sweep(0.75,3917) 11:27:47.932...

AFAIK, there was no official halt. There were no trades during that period, and market was locked. The same auction you see at pre-open. 14:45:28.113 9s1056.00 <- last trade 14:45:28.118 5 x 1055.75 1055.75 x 1 14:45:28.118 5 x 1055.75 1054.00 x 153 14:45:28.118 310 x...

Looks like they were halted @ 14:45:28 for 5 seconds

Try Rithmic - they've got FIX gateway. I used to connect to IB via FIX and it was pretty reliable but dead slow - ACKs over 300ms or something...

rithmic prints are aggregated by price on my side + some changes to make the tape more readable PS: the tape posted by tmarket was for 12:03 CST...

You are looking a the wrong timeframe...

All happened within less than 900ms, so it cannot be a fat finger. I'd say it either a well engineered & timed cross, or an algo went wild, and another algo took advantage of it knowing it would push the market higher by the EOD anyway. As you see from the tape, size offer was actually...

So you guys could stop guessing... 12:03:36.735 1137.75 x 1138.00 296 x 1284 12:03:36.735 1137.75 x 1138.00 296 x 106 12:03:36.735 217s1137.75 S.20/BLK 12:03:36.735 1177s1138.00 B.164/HI/BLK 12:03:36.814 1137.75 x 1138.00 523 x 106 12:03:36.892 1137.75 x 1138.25...

http://rules.nyse.com/NYSE/NYSE_Rules/ http://www.nyse.com/pdfs/hm_booklet.pdf

Market orders submitted during RTH shall be filled, period. IB Smart Router is a different story. Where the order in question was routed to? Use "View Audit Trail" in TWS to check the order properties (FIX msg) to verify it has right stuff, and if not, call IB.

ISLAND is INET, and many ECNs may give you fills as small as 1 share. Try to use All-or-None orders if you want to prevent partial fills, but that would worsen execution quality. When your order got triggered? If it was around 4:00pm and you didn't have "Fill outside RTH" option enabled, IB...

http://www.batstrading.com/resources/regulation/rule_book/BATS_Ex_Fee_Schedule.pdf

Here is one of the options: http://www.openafs.org/

There was a plus tick bid a second later, so looks like IB/your ATS was slow and you parked your order on bid. Check the execution report when exactly you got accept on the order. ... 09:39:03 751.50 x 751.75 510 x 79 09:39:03 751.75 x 752.00 32 x 706 09:39:03 79s751.75 ...

I have http://twiki.org engine installed. Very easy to setup/manage/backup since it uses plain file system, but also very powerful with numerous plugins.

There may be delay on prints, up to 90 seconds. And there are late prints as well. Do you have any example on trades you described, like T&S or something?

Internal crosses have to be at or inside of NBBO. Remember, those guys report every cross and get audited. Those prints you saw might be delayed reports from crosses or dark pools. Also keep in mind that usually trades and quotes are separate feeds, and the quote feed is way faster. A trade...

Did you ever hear about sweep orders? Did you guys ever watch the tape? 99.99% of the time prints are off bid or offer except sweeps that go deeper into the book. Some prints are inside of NBBO from a) regional exchanges, b) dark pools, c) crosses. The rest 0.01% prints are outside of NBBO as...

1. I don't live with fantasy, but by having implementing my own smart router for my black box (it monitors all 11 exchanges) I think I know what I'm talking about. 2. If ISE is NBBO (which happens quote often since they offer one of the best rebates) and you send you order down to INET knowing...