Hi guys,
I've gotten heavily into algorithmic trading over the last year and I'm looking for a new broker. I'm not sure if what I do would be considered high frequency trading but I've made up to 20,000 trades in a day and the opportunities I go after gnerally persist from 50-300ms. I'm currently trading about 20 million shares of US Equities and ETFs per month and using Ameritrade and Tradestation.
I need to be able to trade in lots as small as 100 shares, have a commission of 10 mils or less with no per-trade minimum, competitive fees and rebates on major exchanges, good selection of dark pools, ability to route orders without extra cost and preferably have access to a python-compatible API rather than using FIX. Colocation is a big plus although if the servers are located next to a major cloud provider I am okay with latency up to 30ms.
I'm currently looking at Lime, Dash Prime, Atreyu, and Sage/Clear Street, but none of these is a perfect fit for me.
Interactive broker's commission structure doesn't work for me (.35 minimum and 50 mils to route your own orders). Lightspeed is better but their fees/rebates and dark venues are not very competitive.
I would love to hear what other brokerages people on here are using that would be a good fit for the kind of trading I'm doing.
Thanks
