[nanex]

The problem isn't trading fast, it's trading unfairly. Not following regulations. Heaping the costs of speed on others, while reaping the benefits. We have documented hundreds of examples of clear rule violations. http://www.nanex.net/aqck/aqckIndex.html

Did you know that in 1999, during the internet bull market, the system processed just 1000 quotes/second, and today it's 1.5 million/second? Guess who pays for that? Guess who benefits? http://www.nanex.net/aqck2/3528.html

Did you know that your orders to ETrade and other retail brokers are tagged as "dumb" and sold to the highest bidder like Knight, UBS, Citadel, who then internally match your order (it never goes to the exchange, except during the flash crash). They give you the price from the slower system, but buy/sell from the faster one. The incentive to skew the two is irresistible. http://www.nanex.net/aqck2/3519.html

When you get a price-improvement of a penny on a 100 share $60,000 apple trade, they steal 99 cents - and front run some other investor, who's order is left hanging (sometimes forever). It happens in Apple more than 2,000 times a day. http://www.nanex.net/aqck2/3520.html

When you offer to buy something at a price, then yank that price before the other party can see it (speed of light), is that fair? It happens millions of times a day. http://www.nanex.net/Research/bloodbot/bloodbot.html

I could go on and on.

[paperwork]

Great to have nanex here. I am very interested in hearing why you (and surprising number of other vendors) support windows, but not unix. I don't mean that in an accusatory sense, I'm genuinely curious if there are that many people who run automated trading models on a windows machine.

Regarding the topic on hand. When e-trade sells their order flow, aren't they obligated to provide 'best execution?' You are speaking of rebate for liquidity, correct? If NITE and BATS are both quoting the same price, then e-trade has the choice of sending to either, but if NITE has better price, they e-trade has no choice but to route the order to NITE, correct?

[nanex]

Rebate for liquidity is entirely different. So is retail price improvement (aka sub-penny pricing).

Retail order flow is sold to a wholesaler like Nite who matches it internally. They are allowed (best execution) to give you the price at the NBBO during a 1 second window. For less active stocks, the NBBO price can change 1,000/second or more. For all stocks, the NBBO price will be slower than the direct feed price. This latency and differential makes it a risk free trade (so long as you don't accidentally release your test code into production: see http://www.nanex.net/aqck2/3525.html)

There is no way to prove what prices existed on all markets at the time your trade was executed, meaning it's on the honor system. So this depends on your trust in Wall Street to give you the best deal.

BTW, we recently added support for linux.