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<DIV><FONT size=2>Q1. Illegal or not, if you think that your broker
is doing this to you, get another one. There are plenty of good
ones. One possible explanation (which still does not excuse the situation)
is that your broker is dealing with a limited number of the ECNs. Many
brokers have financial realationships with the ECNs where the ECNs pay them for
trades executed on their networks. I don't think all of the ECNs
trades/bids/asks show up on any given quote feed. And if you have a
bandwidth-limited feed, you're not going to see all the trades/bids/asks
anyway.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Q2. I think this refers to the fact that in some cases,
a single trade can be double counted. This only occurs on the NASDAQ
afaik. Tom Costello who walks the NASDAQ wall on CNBC has said that up to
30% of the NASDAQ trades are double counted, but I've never seen anyone explain
which trades, which stocks or why it happens.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Kent</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2><B>-----Original Message-----</B><BR><B>From:
</B>Ge Wong <<A
href="mailto:spider@xxxxxxxxxxxxxxx";>spider@xxxxxxxxxxxxxxx</A>><BR><B>To:
</B>realtraders@xxxxxxxxxxxxxxx
<<A
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx</A>><BR><B>Date:
</B>Friday, June 02, 2000 11:23 AM<BR><B>Subject: </B>[RT] (Stock fill)
Questions<BR><BR></DIV></FONT>
<DIV class=Section1>
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morning:<o:p></o:p></SPAN></FONT></SPAN></P>
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size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">I have a
question a friend asked me, if anyone can provide some insight it would greatly
appreciated. I have added some points, which he may have over looked. This
happens during normal market hours lots of liquidity, not at the open or
close.<o:p></o:p></SPAN></FONT></SPAN></P>
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size=2><SPAN
style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Thanks,<o:p></o:p></SPAN></FONT></SPAN></P>
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<P><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">Question
1</SPAN></FONT><FONT color=black><SPAN style="COLOR: black"> </SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">Is the following
situation where a broker takes a spread on stocks illegal in North
America:</SPAN></FONT><FONT color=black><SPAN style="COLOR: black">
</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">- I am dealing with a
retail brokerage firm in North America.</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black"> <BR></SPAN></FONT><FONT color=black face=Arial
size=2><SPAN style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">- I place
a market order with my broker to buy 500 shares of AOL at the time when the
bid/ask is $50/$50.25.</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black"> <BR></SPAN></FONT><FONT color=black face=Arial
size=2><SPAN style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">- My
broker goes in the market and picks up the 500 shares at $50
1/8.</SPAN></FONT><FONT color=black><SPAN style="COLOR: black">
<BR></SPAN></FONT><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">- My broker informs me
that I am filled at $50 1/2.</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black"> </SPAN></FONT><FONT color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">Question
2</SPAN></FONT><FONT color=black><SPAN style="COLOR: black"> </SPAN></FONT><FONT
color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
<P><FONT color=black face=Arial size=2><SPAN
style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">I was informed that
Nasdaq stocks on double printed on the bid and ask. What does this mean if
this is true?</SPAN></FONT><FONT color=black><SPAN style="COLOR: black">
</SPAN></FONT><FONT color=black><SPAN
style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P></DIV></BODY></HTML>
</x-html>From ???@??? Sun Jun 04 15:11:32 2000
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Reply-To: "BobR" <bobrabcd@xxxxxxxxxxxxx>
From: "BobR" <bobrabcd@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
References: <20000602.161739.-3946507.3.rmac@xxxxxxxx> <002c01bfcd75$3ef255c0$76b8bfd0@xxxxxxx>
Subject: [RT] Re: Gen:OEX Entropy
Date: Sat, 3 Jun 2000 13:48:51 -0700
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Status:
Have to agree, there is something mysterious about Ron and Clyde's entropy
study when applied to CBOE call and put volume and open interest.
Especially note the distinct wavelike structure in the Total Call Open
Interest and Total Put Open Interest. The length for all the studies here
is 10 instead of the default 21 in Clyde's code.
BobR
----- Original Message -----
From: Clyde Lee <clydelee@xxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, June 03, 2000 9:03 AM
Subject: [RT] Re: Gen:OEX Entropy
> Ron gave us an interesting look at Entropy.
>
> Here is an indicator that I wrote using his ideas.
> Note that I did a bit of flipping for display purposes.
> I'm not bothering with .ela since this is so simple.
>
> SIMPLE don't mean that it ain't valuable. I think if
> you look at this closely you will get some idea of why
> Ron is so convinced ! ! !
>
> Clyde
>
>
> Input: Length(21);
>
> Vars: ENTROPY(0),Avg(0),RMS(0);
>
> {
> E(entropy) = (Average / Root Mean Square) + 1
> ---------------------------------
> 2
> }
>
> Avg = Average(c,Length);
>
> RMS = 0;
> for value1=0 to length-1 begin
> rms=rms+c*c;
> end;
> rms=SQUAREROOT(rms/length);
>
> Entropy=(Avg/iff(rms<>0,rms,.001)+1)*.5;
>
> Value1=-(Entropy-1);
>
> if Value1>0 then
> Plot1(Value1,"-ent")
> else
> Plot2(Value1,"+ent");
>
> Plot3(0,"0");
>
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> Clyde Lee Chairman/CEO (Home of SwingMachine)
> SYTECH Corporation email: <clydelee@xxxxxxx>
> 7910 Westglen, Suite 105 Work: (713) 783-9540
> Houston, TX 77063 Fax: (713) 783-1092
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> To subscribe / unsubscribe from SwingMachine list
> http://www.egroups.com/list/swingmachine/
>
> After joining list the freeware SwingMachine program
> (DOS Version) is available in the VAULT at:
> http://www.egroups.com/list/swingmachine/
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
>
> ----- Original Message -----
> From: "Ronald McEwan" <rmac@xxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Friday, June 02, 2000 15:17
> Subject: [RT] Gen:OEX Entropy
>
>
> > For all those who enquired about the Entropy Indicator. This is a copy
> of
> > a reply I sent to another member. My original post was just meant to
> > give my short term outlook on the OEX and my reason for this using an
> > indicator I developed. And not to push a new indicator on anyone.
> > ----------------------------------------------------------------------
> ---
> > ---------------------------------------------
> >
> > All the information on this is in "The Mathematical Theory of
> > Communication" by Claude E. Shannon. It took me almost a year to
> > understand this enough to figure out how to use it. If you want to get
> > this book I suggest you get a very large bottle of aspirin to go with
> it.
> > I can give you the basic formula for this if you would like to see it.
> I
> > don't sell anything or charge for anything I do, I just don't give it
> all
> > away either. I believe that if you do not try to do some of the work
> > yourself you will not get a good understanding of how it works.
> >
> > thanks
> > Ron
> >
> >
> > formula for Entropy Calculation
> >
> > E(entropy) = (Average / Root Mean Square) + 1
> > --------------------------------------
> --------
> > 2
> >
> > Ron McEwan
> >
> >
> > ps Shannon's book has completely changed my way of looking at market
> > information.
> >
> >
> >
> >
>
>
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