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07-23-10
BATS "Stubby Triangles". Drop the quote from a valid price to 0.001 and then back up to a lower price level. When the new price level hits 0.001 as well, do it all over again at approx. 380 times a second.
07-23-10 NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid price/size in 3 increments and effecting the Best Bid along the way.
How can your system spot that pattern in real-time?
How can your system execute to exploit that pattern in real-time?
I haven't looked at the original data and Mike's post is third hand, but this is stuff for signal analysis and pattern recognition. Look at the x-axis of those charts. It's milli or micro seconds.
Interesting, though. And no, X_Trader won't do that for you. RTD Tango could if you were really good with C++.
4 to 1 on the ES and yes, they do fine. But your broker may have clients with low ratios so it balances out. I had a friend who was fined last year. I have never personally been fined, but I do watch my ratios.
Products have different ratios. ES is the lowest at 4:1 The CL is 25:1, grains around 50:1 , interest rates 10:1.
