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4

LMAX Exchange has a nicely written .NET API which is free and can be used to in demo environment. However, note that LMAX is mostly a FX platform with few CFDs on equities and commodities.


3

First, have a look at Market Microstructure in Practice (Laruelle et L) to have generic explanations about all this. In short: Equity markets are fragmented: it means to buy or sell shares, you connect (via a broker) to a server on which you send a message with a side (buy or sell), a max/min price and a quantity. these servers are technically matching ...


3

A prime broker is like a General Practitioner doctor. Executing Broker is like a specialist. If you needed brain surgery, you would not have your GP do it. Executing brokers specialize in specific types of, well, execution - equities, bonds, futures, etc. They may further specialize in high touch (sales trader) working orders, providing algorithms (CS AES ...


3

TradeStation offers python support via their WebAPI. Check it out here: http://tradestation.github.io/webapi-docs/


2

In other words, is it too costly for PB to be an EB as well? Answering your second question first, PB's are EB's; they just provide an entire suite of products and services beyond just trade execution that an EB would provide. If you have an account with a prime broker, they can undoubtedly execute trades, and you wouldn't necessarily need an additional EB....


2

I know of no broker that provides an official, supported Python API. If you are at Interactive Brokers you can consider using their FIX gateway, but that comes with additional cost. QuickFix provides a Python API.


1

PDT (Pattern Day Trader) is an SEC rule. You will not find a US retail broker anywhere that allows you to surpass it. If you were a professional with the proper licenses and had an account at a proprietary trading firm the rule could be surpassed. Here is a recent list of firms compiled by someone else. It is by no means comprehensive but maybe try ...


1

The spread, or Bid-Ask spread indicates the difference between the prices which market participants are willing to sell at (Ask) and willing to buy at (Bid). If you are selling without any specific instruction (i.e. place a market order at the best possible price), you are going to get the bid price, if you are buying, you are going to do so at the ask ...


1

A short answer is to use reliable market data and a trading platform which doesn't wrap precious details in the market data into candles. Your algorithm is a reasonable, but is an approximation. A better name for it would be absorption because it doesn't necessarily detects actual iceberg orders. With some exchanges, e.g. CME, (and given undamaged by data ...


1

In the US, Prime Brokers will generally follow either Reg T rules or Portfolio Margining rules. For Portfolio Margining accounts, assuming the account is somewhat diversified (not everything in one stock), they will generally allow 4 times gross leverage on the overall portfolio ($\sum_i |w_i|<=4$). This is negotiable and you may be able to get a higher ...


1

that only charges for my profits - do you understand how CFDs work? For the sake of simplicity, there are four aspects to CFD trading: (1) bid/offer spread - differs on whether you're doing OTC contract, or have DMA access (2) margin requirements - usually tiered and each tier has % of required margin (3) overnight funding (4) commissions - there are ...


1

When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). https://www.law....


1

It depends on the smart order router that you've chosen. Generally no. However in your example it appears that you are referring to passive execution on both ends, and there are smart order routers that preference the highest rebate, in which case you might find high correlation - note this doesn't mean that the venue where the entry leg is executed causes ...


1

Check out Quantopian. It's all in Python. You can backtest and paper trade your algo for free. We do live trading by hooking your algorithm to your Interactive Brokers account.


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