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If I understand correctly, propseeker's argument is not that dark pools are making the market more transparent and clear, but that it was dark pools that began the market away from transparency and clarity--that was the point--and this at the behest of the buy side. HFT then came in and started...

I have heard good things about DTN's IQFeed (http://www.iqfeed.net/index.cfm), but have not used it myself. When I can pony up the developer fee I probably will.

Whoops, you know what? I switched Marketcetera and ActiveQuant in my mind when I replied to you. It is the former that I am referring to in my reply above. :p

ActiveQuant (http://www.activequant.org/) offers Ruby scripting support in the form of an embedded JRuby interpreter, I believe. You might check into that.

Possibly. What do you mean by "data-mining"?

It does mean slightly tighter spreads.

There are brokers who do this, and there are brokers who don't. If it matters to you, find one who doesn't, and demo there.

IBFX

Note: I'm posting this in case someone would like to be a guinea pig and find out what this broker's like; I have not and would exercise caution. Just got an email from the guy who runs MT4Stats regarding an "STP broker making a big splash in the Forex broker industry". Not sure if he's...

Yeah, I'm sitting on some puts that just went ITM. Feels good, man.

Why not scan currency futures instead? For EUR/USD, for instance, you'd look at 6E or M6E.

Hehe...

My Google is as good as yours, and quite useful when you'd like to learn about something. It helped me find these fascinating articles. Perhaps they will interest you too: http://seekingalpha.com/article/151385-how-flash-orders-work...

You're right--I don't know of anyone who disseminates quotes in bulk via FIX; I guess I must have not read quantparis's question very closely, or it was really late. :p

Chances are you can also find data providers who can give you real-time data via FIX. The QuickFix and QuickFix/J libraries can be used on Linux to interface with anyone providing FIX connectivity.

heech: Apologies for taking so long to get back to you. The short answer is that I'm not familiar with Rithmic's API. However I can vouch for FIX as being pretty universal, so if you do refactor your code to use it, you should be able to use any number of execution providers with only small changes.

Actually, they support any Linux you like, as long as you'll build it from source there (which I did on the distro I was using). I also tried running it on 64-bit Ubuntu 8.04, where it didn't work. I'm guessing something about their packages had a 32-bit affinity compiled in -- compiling it...

Last I checked, Marketcetera could not use a quote feed from FIX, and this was a show stopper in my eyes (or, I couldn't find it in the docs). It does seem like an interesting project with lots of potential, and I have hopes of seeing good things from it in the future.

Those are shortable securities...but are they *all* the securities?

I should probably clarify here what MGB hinted at, and that is that FIX itself is a protocol used by multitudes of financial organizations for transmission of trades and related messages. QuickFix is an open-source library that speaks the FIX protocol, and can be called from a handful of...