From my experience OPG orders don’t work in paper mode
Yup indeed, thanks for the insight. I was confusing NASDAQ and NYSE rules!
thanks! I'll try it out :)
I'm all set up for the 'standard' feed via reqMktData, but the auction data doesn't seem to come?
Yup indeed it works for NYSE before 9:29:55 I believe, placed order at 9:29:10 today and it went through. On another note, has anyone managed to...
It seems to me the 'indicative open price', based on the real-time open book, is only public from 9:28am, after which it's already too late to...
Again thanks for the insights GAT. 1) Yup I do believe your in-house algos will do better than outsourced solutions. Even if someone has a...
Thanks for sharing your stats! Honestly you are probably already spending more time than you should on your algo with your trade frequency. '201...
Yup 100% agree what I'm saying is pretty much irrelevant for small sizes, only jumped in when I see discussions on execution algos :)
Thanks GAT for the insights! Very interesting to see how things work on the buy side. A few follow-up questions if you don't mind: 1) Nice...
Hi Kernfusion! Thanks for your detailed explanation of your execution algo. Yes +ve = positive, and 'positive slippage' means losing $ on...
I come from a HFT background, and 15 seconds is like a century to me :) Interested to what you guys think about the following: 1) How do you...
8 April recap Again 18 trades today. My target is 5-10bps/trade after cost. Will do more analysis once my sample gets big enough
Interesting mini-crash straight after open this morning..... This has been the theme recently it seems :D
7 April recap It's nice to have a winning first day after starting a thread! I run bit of a 'scalping' strategy and don't generally hold...
Yup 5bps on tier 1 is a lot, I have to pass on a lot of 'small opportunities' due to the high commissions. That was a nice trade, deservedly...
I see. I don't touch microcaps at all (generally only trade >1bmm market cap), and I don't think my system will work when a microcap suddenly has...
Thanks for your message! To be honest I didn't know domestic brokers do not allow short-selling, but I imagine even if it was allowed, the vast...
Yup they have a 'tick size table', and to make things even more complicated the top100 stocks use a different table (smaller ticksize)! Generally...
I use the word mostly to moan :D:D but I wouldn't be surprised if there are lots of insider stuff happening in Japan esp with smaller caps
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