<t>I'm looking for a software package or service that takes drop copies from the exchange and provides risk checks and position monitoring. This would be a fail-safe for our in house trading system. I need support for US equities and futures exchanges, fixed income would be nice. FTEN is the only ve...

What is the thinnest margin trade that you have ever done? We're coming from futures to stocks and are suprised most liquid stocks trade at only 1 penny wide. For ultra high-frequency stock trades, what margin is acceptable? 10 cents per 100 shares? 50 cents?

We're futures guys moving into stocks, and are trying to figure out how to price XLF. There is big size on the bid and offer, usually 1 penny wide. How are the market makers pricing this? If you use the component stocks, how many do you include?

We use Excel to drive our black box; it works nicely for getting data out (via RTD), but it is pretty ugly using RTD to send data from Excel to the application.

Anyone able to comment?If not, how about a pointer to researching this? Should I start reading the Reg NMS docs?

We built an RTD Server to provide realtime data to Excel; straightforward and works well. You can use the same protocol to send data from Excel to some other program, but it is considerably less elegant.

<t>When you send an order to a US equity exchange, you have the option of marking the order as an Inter-market sweep order (ISO). From talking with the exchange, it appears that marking an order as ISO means it can be filled without conforming to the NBBO. What does it really mean? For example, the ...

<t>Imagine I'm long 100 and send a sell 100 (which would not be a short sale) that does not fill (it goes resting in the book). Then another trader in the firm sells 100, so now the firm position is zero. If I want to amend the price on my resting sell order, do I need to cancel it and re-enter a ne...

<t>US Equity orders are required to be marked as Buy, Sell or Sell Short. I understand that it is important to mark each order correctly, but I want to discuss how critical it is for every order to be marked correctly. Is this a situation where 95% correctness is acceptable, or does it need to be 99...

The commission seems low, only 2.5 cents/hundred. Or is that a typo? We're trading a fair amount of volume, and my broker is charging 20 cents/hundred shares, plus the SEC fees and passing through the exchange fees/rebates.

<t>There is an interesting story in a recent newsletter about trying to find the location of an exchange's matching engine to aid in picking a colocation facility. I'm including the story below. I'd be interested in comments; my thoughts:1) I've never heard of an exchange keeping the matching engine...

<t>I'm looking for a software package for our traders to use for manual trading that supports equities and futures, and preferrably FX. We currently use TT, but our system is expanding into stocks, so we need something that supports equities.We need a price ladder that shows volume and allows single...

As already mentioned; the code can likely be parallelized well.This is going to be easier in C# than C++ and is likely to lead to significant improvements, that will continue to accrue over time (as the target machine gets more cores).

What are they supposed to do with Excel? RTD is commonly used in finance; so they should be able to discuss what it is good at (streaming data into Excel) and what is shouldn't be used for (getting data out of Excel).

Thanks for the responses, especially the relevant ones. The forum software is lousy, but the content is often useful.