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A public order book gives traders information not only on the current price of a security, but also the volume and structure of the entire supply and demand schedule. Such information can be used for arbitrage and market manipulation strategies in various ways: Spoofing: Inserting a large limit order as an apparent buy or sell signal which is canceled any ...


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I am not sure Dark Pools (DP) have been created to avoid "market manipulation". They have been created by firms because they found an advantage to create them (see Market Microstructure in Practice, L and Laruelle Eds.). The main reasons have been: spare market fees, for DP created by brokers (like UBS MTF); spare market impact, for block pools (like ...


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If I understand your question correctly, you're asking what's a good design for a normalized feed. This is a somewhat trivial question of (i) picking which data fields (e.g. price, volume) to filter out from each feed and (ii) how to keep that in a trading system with minimal computational overhead. Regarding (i) I highly recommend you approach this in a ...



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