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CME Rule 575

  #20 (permalink)

New York, NY
 
Trading Experience: Beginner
Platform: Vanguard 401k
Broker/Data: Yahoo Finance
Favorite Futures: Mutual funds
 
Posts: 1,046 since Jul 2012
Thanks: 718 given, 2,146 received

I'm busy and will probably come back to comment later but a few quick points:

1. Explaining code to a room full of compliance guys is impossible.
2. Code can be made up to tell any story.
3. There are so many moving pieces that backtracing it is going to take too much explaining.

What's wrong with modifying orders 1 million times per day? In liquid equities and futures, you're only seeing about 10 order actions per execution. In options, I've seen 10,000+++ order actions per execution.

In fact, if people think canceling orders gives you such an advantage, why not do it yourself? The restrictions are tougher on high volume participants than retail participants. You can add and cancel the same order 500 times on the Eurodollar and you will still not get flagged. I can't get away with 6.

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