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Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
And from the same page you linked: europeanequities.nyx.com/sites/europeanequities.nyx.com/files/…
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
NASDAQ doesn't have any "triggered" orders. Not sure if NYSE does, but I doubt it. You're probably confusing an exchange held stop (like that supported by Direct Edge) and a synthetic stop implemented by your broker.
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
If this is for US equities, the rules contain descriptions of how orders are executed.
Jan
28
comment Microstructure effects for a market maker?
Hang on one second while I open up my little black book of valuable signals.... you do realize the question is a bit, ambitious, right?
Jan
24
comment Free database for storing intraday tick data and querying bar (candle) data on budget hardware
possible duplicate of Efficiently storing real-time intraday data in an application agnostic way
Jan
21
comment Disclosure of the liquidity provider identity in ITCH
Not sure, sorry.
Jan
3
comment How to become a registered market maker on an exchange
If you're seriously considering becoming a registered market maker, you should be talking to the exchange where you want to register. They will happily tell you the answers. Not on topic for this forum, IMO.
Dec
11
comment Recreate Positions after downtime. Suggestions requested
I will add, it also depends on who you're interfacing with and the supported order entry port features. For example, OUCH ports can cancel all open orders on disconnect. Trying to preserve open orders across unexpected system failure is likely not going to work very well.
Dec
11
comment Recreate Positions after downtime. Suggestions requested
This isn't really a question anyone but you can answer because it depends on how you've built your system.
Dec
11
comment Recreate Positions after downtime. Suggestions requested
Define "outstanding" positions. You said you can look at your execution log to determine fills. From fills you can build positions, so I assume you mean something else. Do you mean, "pending orders" ?
Dec
9
comment Market Discrepancy in ETFs
Please accept the answer if it resolves your question.
Dec
5
comment Single Most Important Fact about a Fund - Interview Question
I've no idea what answer they might be looking for, but that seems like an exceedingly stupid question to ask in an interview.
Dec
5
comment Forcing price to rise or fall by high volume buying and shorting
I don't think so. Spot FX is not regulated as far as I know. Your counter parties / ECN might not like it though.
Nov
29
comment open-source implementation of orderbook from FAST?
If the data is message by message depth of book data you can't get the best bid/offer without building and maintaining a book.
Nov
29
comment open-source implementation of orderbook from FAST?
Order books are all about priority.
Nov
25
comment HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost
Not sure this is really a good question here. You might try to focus it a bit more. Which market, for example, are you talking about? Pros & Cons are not general across the entire universe of venues. For ex, you'd be hard pressed to find a more compact order entry protocol than OUCH, but doesn't mean its better.
Nov
20
comment Efficiently storing real-time intraday data in an application agnostic way
Perhaps you could expand on WHY he would want to consider an HDF5 based setup. Asking another question in an answer isn't adding any value.
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
It's not really a limitation of the moving average as much as it is a limitation of the platform.
Oct
31
comment Price functions based on order book events
Nice paper, thanks for the reference!
Oct
25
comment Market making: buy on bid/sell on ask
FYI, that answer has things reversed. Market makers buy at the bid and sell at the ask because they are passive traders. Buying at the ask, or lifting the offer, means you are aggressively taking liquidity and crossing the spread.