Recent Content by speculatus

  1. Maximum number of S&P contracts ?

    I believe the question was about the maximum order size, not position size. BTW, there are exemptions to avoid 20K limit on position size.
    Post by: speculatus, May 8, 2010 in forum: Trading

  2. Maximum number of S&P contracts ?

    According to the contract specification, it's 2000 lots. How about this single order sweep @ Spain downgrade? 11:27:47.932 286s1187.25...
    Post by: speculatus, May 8, 2010 in forum: Trading

  3. Did the sp futures go limit down today?

    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....
    Post by: speculatus, May 8, 2010 in forum: Index Futures

  4. Did the sp futures go limit down today?

    Looks like they were halted @ 14:45:28 for 5 seconds
    Post by: speculatus, May 8, 2010 in forum: Index Futures

  5. Futures/Forex brokers offering FIX.

    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...
    Post by: speculatus, Feb 21, 2010 in forum: Automated Trading

  6. 151k IN ES @ 37.50

    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...
    Post by: speculatus, Jan 14, 2010 in forum: Trading

  7. 151k IN ES @ 37.50

    You are looking a the wrong timeframe...
    Post by: speculatus, Jan 14, 2010 in forum: Trading

  8. 151k IN ES @ 37.50

    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...
    Post by: speculatus, Jan 13, 2010 in forum: Trading

  9. 151k IN ES @ 37.50

    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...
    Post by: speculatus, Jan 13, 2010 in forum: Trading

  10. exchange rules on order matching?

    http://rules.nyse.com/NYSE/NYSE_Rules/ http://www.nyse.com/pdfs/hm_booklet.pdf
    Post by: speculatus, May 1, 2009 in forum: Index Futures

  11. Help needed: Partial fills of stop orders with IB

    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...
    Post by: speculatus, Apr 23, 2009 in forum: Order Execution

  12. Help needed: Partial fills of stop orders with 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...
    Post by: speculatus, Apr 23, 2009 in forum: Order Execution

  13. Bats fees

    http://www.batstrading.com/resources/regulation/rule_book/BATS_Ex_Fee_Schedule.pdf
    Post by: speculatus, Apr 16, 2009 in forum: Order Execution

  14. best distributed file system for homebrew hedge funds

    Here is one of the options: http://www.openafs.org/
    Post by: speculatus, Mar 14, 2009 in forum: Automated Trading

  15. Futures execution question

    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...
    Post by: speculatus, Feb 24, 2009 in forum: Order Execution