This looks like what I meant by summary/imbalance data. Do you have anything that shows individual trades or price points for the opening or...
Anyone know who has access to the individual trades placed for the opening or closing call auctions on NYSE and Nasdaq? I've read some things...
I place my trades in batches that are calculated such that the individual margin effects of the trades in any batch should sum up to use no more...
An example: Say the national best bid price for a security is $5 and Exchange/ECN 1 has a best bid of 100 shares @ $5 and Exchange/ECN 2 has a...
Looking at the time and sales data around the open you can check out the condition flags on the trades. The official opening trade should have...
Shame. Weird that something so obviously strange goes on and nothing. If it were just tape painting however wouldn't they select a fill price...
Just came across this thread (sorry to resurrect it) and really curious about this as I'm noticing this as well. Anyone know what is the story...
Well at least I'll have a place to air my frustrations then. I meant place the passive order behind the NBBO price so that I will get in on some...
Haha, great. I see a lot of big fills come through that either move through the NBBO price or get very close to it. I'm hoping that by placing a...
I have looked into that. I think on average that would probably work out better, but at the cost of a huge increase in risk as the standard...
I see, thanks for weighing in. I only trade about 0.2% of daily volume for these stocks, so seems like working the order way to go. Just not sure...
Thanks Robert, I see what you're saying. I don't trade OTC, just NYSE and NASDAQ. Even if I can't consistently achieve the VWAP benchmark on a...
Thanks for the response! Can you elaborate in what sense getting the VWAP is unlikely? In your experience, is it just that there's such...
I'm trading small and mid cap stocks early in their trading days on days of elevated volume. As a result, their spreads are often large (0.5-2%),...
I see, thanks for the info. I'm hoping to use it to get out of semi-liquid positions quickly (ideally a minute or less, large but not huge...
Anyone? Even if you haven't used it, does the algorithm sound like a good strategy?
As far as I can tell IB's Adaptive Algo simply breaks your order up into small pieces and places limit orders starting at the edge of the spread...
Thanks for the info guys. I did not realize it would be so easy to get someone on the phone at NYSE, but I called to verify and you both were...
Are their auction rules the same? When I google for NYSE auction info, I get a lot more information on NYSE Arca than for NYSE, which is...
Yeah, I'd actually skimmed investopedia, but reading it again more thoroughly after your recommendation, I suspect the answer to #2 is that the...
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