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Agreed, dark pools are subject to both regulations. But while they may be filling at the mid and price improving, the problem is that they can report trades late which show up in the tape and can confuse some investors since the trade prices don't align with the current trade price. Not to...

If you're running automated trading strategies from Europe, it's not just your 8-10ms to your broker it's the latency from your broker to the market. For US Equities most exchanges are in New Jersey which is about 50ms to London and for futures they are in Chicago which adds another 13-20ms on...

The new mdp3 protocol was launched last year in parallel to the old fix fast feed, all I can say is it definitely treats market events differently. The latency can be both faster or slower than the old feed at different times. The fill report you get back can be faster than the multicast feed...

If the OP is getting filled at a subpenny (when the fills are to the fourth decimal place as you say. For example $20.0675) then you probably got filled at a dark pool. If IB or the exchange routing strategy are routing you to dark pools before the REGNMS lit markets it can take an eternity...

It may depend on the market but for equities and futures you can only tell the size, price and side of the taker there aren't any indicators about the algo. Someone could try to derive if there was a big order that lifted a lot of size off the market but at that point it is too late to catch the...

In its infancy a unique strategy matters, but at this point I think it's more about their speed and positioning in the market. I'm sure many shops have a similar or the same strategy but due to the sheer speed and volume it's hard to compete. For many small firms the up front investment in...

Typo reach=react

I mentioned that latency on page 2, 300-500 microseconds one way for fiber connection from building to building not including the exchange systems and network. I'll add that it's about 190 microseconds via microwave/millimeter wave. Never heard of bulk transport, it must just be some marketing...

The ICE servers are in Chicago at 350 cermac. If you are manual trading, there is not much benefit. But if you are doing algo or automated trading it would be huge because you'd be able to reach to price movements and your own order status much faster and also help avoid over fills if your algo...

It is the jclient/LoginFrame that is not found, it is probably in the jts.jar. Make sure the jts.jar is in the same directory that you ran the java command. Also make sure there is a space between the "." at the end and the word before it (maybe that's just a typo in your post).

For CME we colocate in aurora with CME but we also colocate in 350 e cermak for ICE and CME, there we use telx. Cannot provide pricing as we lease cages and the price is split across many groups but we set up all the servers and switches.

The bandwidth on the CME feed is relatively low, and you can pick and choose which product classes to subscribe to. We started on a 20, then 40, then 100meg connection with very selected products classes we dropped 1 or 2 messages a week, we upgraded as we traded more product classes. When we...

Most direct feeds from exchanges are multicast (udp), it's faster and saves them network bandwidth.

Yes. Did you have a question about it?

The market is broken, and hft prop should be shut down but this sounds like less of a problem with the market and more of a problem with your smart order router (if you are doing DMA) or your broker's SOR or with the order itself if you tried to take all of the liquidity from an exchange that...

Yes dark pools are not inherently bad, but the way they are operated now is open for abuse, it is the internalization that allows for front running (although it does not happen in all cases). This is a problem because most dark pools are owned by sell side banks. If they made it so that the...

I agree with most of this, definitely no dark pools or internalized flow. What you describe is how the US equity market was in the 80s and 90s before REG NMS, multi listed products, or direct feeds. The only downside was that specialists controlled the liquidity and you had to be part of the...

It doesn't cost quite that much, I work for a market marker who spends way less than that and we are still able to fight off hft firms. It can be had on a smaller budget with the right strategy. For futures you could get away which one server with a single connection to CME. We already route...

+1 That wsj article nailed it, kinda. As far as the 100 getting filled out of 1000. Another 9 retail investors going for the same 1000 but with orders of 100 each clicking their mouse one microsecond faster could have created that scenario you mentioned.

As far as I knew front running is when your broker sees it's private client orders and places an order to the exchanges before sending your order to the exchange for you. Having a faster connection or faster feed shouldn't be called front running as anyone with enough money can get access...