I am thinking, that if everyone (be it institutions or retailers) knows about this SNAP type of order execution and start using them for execution, that would affect the HFT manipulation negatively and demotivate them to game the system and probably reduce manipulation significantly if not eliminate it altogether. What's your opinion?
Nevertheless, how does Sarao's SNAP orders really work? Does anyone know?
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Correct me if I am wrong, but if I understand correctly his orders are marketable limit orders/stop orders that will only be executed when the DOM is within minimum set, no?
In other words, if an order is put out to buy/sell the ES at 2,100 for 1,000 contracts with 50 minimum, the order will not be executed unless the best offer/bid is at 2,100 and the DOM (limit orders from others) at 2,100 is at least 50 contracts. The order will execute to buy/sell 50 or more contracts continuously until the whole 1,000 is filled. And if the DOM at 2,100 is less than 50 contracts (say 49 contracts only), the order will not be executed.