Lime IS pure agency, as it's basically first come first serve DMA for the quant community. It's a stand alone, independently owned, B/D. It's effectively a tech company wrapped in a b/d to get paid per share on the execution and clearing. They cover quant, stat-arb and other types of funds and desks....
What are people actually paying for DTN NxCore ? The prices given to me a couple of months back were: Setup (One time fee): $1,000 Monthly for Stocks and Options: Trades+NBB0 $2,000 per month Trades+NBBO+All quotes from each options exchange $4,000 per month Thanks.
But Lime also runs one or more hedge funds for its own benefit through the system, correct? http://dealbook.blogs.nytimes.com/2007/07/18/hedge-fund-leaves-bigger-rivals-in-its-wake/ It seems to me that by kjsnow25's criteria, IB would be "pure agency" as well, PROVIDED one used their DMA for whatever extra cost; yet I don't IB is widely regarded as agency. So in IB's case, it seemingly comes down to IB using "Smart Routing" by default (and therefore the potential for internalization), even though DMA is available (and let it be noted, at very high additional cost at IB). Perhaps "pure agency" is subjective; although I can find various definitions of agency brokerage on the Web, I can't seem to find hard-and-fast criteria. Interesting discussion; thanks for your comments.
That is correct. One of the reasons we chose them is due to our locations (Denver, SoCal, Chicago). I connected to the Omaha server, partner living in Chicago to Chicago server. NY/NJ users would connect to Chicago. They cover entire US equity and options market, as required by OP. One of things we liked best was the extremely straight-forward API structures and Viewer. Easy as pie to work with.
Mis-interpreted your initial post and did not realize your need for entire US equity/US option. $1500/month cap won't cut it for full-bore Nx. Ran us $1800/month for entire US equity and paid only a minimal setup fee (this may have been because we were already DTN.IQ subscribers for several yrs). $1000 initial sounds new.
The market-makers on the NYSE Arca (formerly the P-Coast) auto-improve your option price by the minimum amount if you have a good one at the middle of the bid ask. I've seen this done 2 or 3 times in succession, all automated. The NYSE, at times, also can improve your quote in this manner when you have a good price at another exchange, because they get paid for making markets on a maker-taker model. Also, a favorable price at the middle of a bid ask is usually equaled by all the other U.S. option exchanges meaning you now have a reduced chance of getting a fill. The games are endless in options, and the market-makers continually change their programs to counter whatever you're doing. People I've talked to have had better luck in programming for single stock futures. Finally, watch out for the ISE cancel fees. I believe their now up to $2.00 per order, and they raise it continually so that $5.00 wouldn't be out of the question. Peace, and GO NY Jets!
Lime Capital doesn't exist anymore, and was merely a long-short fund (value) that utilized the brokerage much like any other client. Lime Group has several companies, and Capital was one, brokerage is one, wire is one, etc....It's an umbrella of sorts, technology being the thread. Lime Capital no longer exists, and happened to use Lime Brokerage much as any other client can and does. It's a broker...ergo the name Lime Brokerage, LLC. There isn't much to it, as it's first come, first serve DMA. It's nothing more than very high end data delivery, and connections to the market to serve quant and stat-arb strategies. Order flow is so large, though, that one can be fairly "anonymous" going out as Lime. It's as agency only as it gets, as there is not a trade desk, no sales-traders, etc. The key to their biz is getting the quote faster and getting the order out the door after typical broker checks than most others, at times of duress. The daily volumes are large-large... I hope that helps.....
Interesting about ARCA...I will check that out. Thanks for your real world observations. Our optimal execution (as with everyone else) is at the theoretical value, but we can wait for the fills to come to us. Focus is on liquid penny spread ATM options, for example INTC. For example the "real" institutional spread is typically about 3 or 4 points. For example: Bid Size Ask Size .60 5 .62 100 .59 45 .62 50 .59 50 .63 200 The NBBO here is .60/.62 but the "real" institutional spread is .59/.62 If the theo here was .61 we would be coming in with typical size of 100 to 200. As the underlying moves obviously we move as well to stay at the theo price ( hence the need for a good data feed ) What is unclear is how long it will take to reach our target position size, given that we will be nibbled at by retail orders as well as competing against the other MMs. Thanks.
Thanks, kjsnow25, that is indeed very helpful. I am glad to hear that Lime has gone "pure agency" as this would seem to clear the way for a lot of quant hedge funds/traders to use them without fear of conflict of interest.