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Resting bids above market or offers below market?

  #9 (permalink)

Christchurch, New Zealand
 
Trading Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
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tpredictor View Post
Yeah I thought of a stop limit order. Some exchanges support also peg orders but the question is more about, also, the dynamics that determine who gets the top of book when a level clears. .

Whoever physically enters the order first. i.e the fastest.

A simple idea( that i got from prop) is that you place a marketable limit order to buy at the ask price, or sell at the bid, because, HFT own the spread and will always get to the front of the queue. Therefore, your passive limit order to buy at the bid, or passive limit order to sell at the ask will only typically get filled if price trades through( so the trade has usually gone against you before you are fully filled) Placing a marketable limit order you take all that is available at the bid/ask and then you're remaining order goes to the front of the queue. So you are for the most part a liquidity taker, not a provider.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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