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Resting bids above market or offers below market?

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Lima, Peru
Trading Experience: Advanced
Platform: Propietary
Broker/Data: IQ
Favorite Futures: Options
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Posts: 13 since Jul 2017
Thanks: 32 given, 9 received

tpredictor View Post
@RandBots Thanks but I already studied that. My question is regarding the precise mechanics which are not answered there. I agree it is more theoretical and I suspect the process I hypothesized is the correct order. The question is whether there is a peg order type or something that gets priority. We're not talking about matching as much as we're talking about what happens a level in the depth clears.

There are a few possibilities.

1) A market order is able to hit the next level before the limits are able to replenish the depth. In this case, stop limits get priority. In this case we can expect HFT traders are using stop limits to enter trades. In this case, there is a hidden queue order that matter.

2) More likely, a market order cannot hit the next level before the HFT replenish the depth. A level clears but as soon as that happen then the HFT will refill the book.

But I agree, it is not entirely clear. The question is now basically in a race between stop limits and a limit order submitted by the HFT trader-- who wins.


Why are you giving priority to a market order before other types of orders. The simplest way to obtain priority is based on ETA & CTA (Estimated & Confirmed Time of Arrival)

Check the patent Assignee

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