Resting bids above market or offers below market? | Traders Hideout


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Resting bids above market or offers below market?

  #15 (permalink)

Germany
 
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tpredictor View Post
If I submit enough orders to take out more then a single level on the book then it is logical to assume it will trigger the stop limits before the HFT can respond. On the other hand, if I clear a level normally then the HFT will probably be able to fill before the stop limits.

Due to e.g. iceberg orders (which also can be cancelled) we can be pretty sure that an HFT will be able to
fill before the stop limits - even if you clear the first (visible) amount. (Keyword: Display quantity)

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Source: http://www.cmegroup.com/globex/files/GlobexRefGd.pdf

Nevertheless: With the longstanding fights of the algo wars in mind, I wish you good luck and steady nerves
for your endeavor of achieving disclosure of matchmaking.


Last edited by choke35; October 29th, 2017 at 06:39 AM.
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