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Is Spoofing alive and well?

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artemiso View Post
I actually don't see a clear case of spoofing activity in the video you posted. This looks like a simplistic market making model to me. I don't know the exact time you're posting and can look into this further on my side if you want, but I'm guessing there's about 40+ size behind 1 order on each side away from BBO. That's not really enough size to put a blip if you're spoofing, and usually you'd see asymmetric size in the classic spoofing strategy.

Thank you. I'd like to take you up on the checking if you don't mind. Unfortunately I don't have the exact time recorded anymore but it was yesterday at around 10 EST. Possibly 10:09 EST. Don't worry if it's too vague - next time I'll include the clock as well.

I do understand the point you're making about spoofing usually predominant on one side (i.e. being asymmetrical), and I have seen that yesterday, but often it was those two sizes coming and going from the book.

There's many reasons that they could seem like they are 'enveloping' the midprice outside BBO and I can't speculate all of them. I can mention a few anecdotal examples where I had rolled out something similar before though. The first being that you're trying to roll out a new strategy and want to visualize what it's doing in live trading, maybe you don't have the tools to back out your order from the book easily and you just want enough (unique) size on it that you can see it or distinguish immediately for quick feedback. You would also back away from BBO to minimize the risk of fill in this case. Other cases are that your vol estimate is high or you have a correlated position and so you don't actually want to be filled, and there's still value in leaving your order there for queue position later on.

Understood, thanks. However, when talking about trying a new strategy and visualizing what it's doing live but you want to get a quick feedback / backing away to minimize fill risk, etc. : doesn't that fit within the classic definition of spoofing, i.e. the intention of not having your orders filled?

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