# Tag Info

4

I have heard of several allegations in the recent days, but they are mostly baseless. However, there are a rare, few trading venues whose matching rules are most often accused of giving unfair order execution advantages to certain firms. These usually arise from violations of the standard price-time priority: IEX's broker priority rule. "All orders will ...

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The two types of orders are called "Attributed" and "Non-Attributed". Venues will sometimes provide incentives to encourage order attribution. For example, Direct Edge has their "Edge Attribution Incentive Program" which you can read about on their price list. I believe NASDAQ has offered incentives for attribution in the past, but I don't think they do ...

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I fully agree with all potential rationals written here to put bids and asks deep in the book. All these interests are part of what we should name the latent order book, since potentially agent would be glad to buy or sell at such prices in an hypothetical future. Philosophically, I would say that the more mature a market is, the less you should see such ...

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Don't discount the fact that it could be a fund testing a strategy or order type. I do this all the time. I'll take an algo that should penny on say, VWAP, and make it penny on VWAP - $10 to ensure that it works but if it does go a bit crazy then atleast I have a buffer before it starts going active. Same thing with order types, if I'm testing a new fix ... 3 Some exchanges have agreements with market makers to provide liquidity (the market makers often get some kind of preferential treatment in return). Often these agreements will include obligations to be actively quoting some minimum percentage of the time, on both sides of the book (bid & offer). Quoting non-marketable prices is one way to meet these ... 3 This differs from exchange to exchange but in Toronto (TSX) the rule is that the unfilled amount becomes a limit order at the last sale price. A market priced order is an instruction to trade the order at prices currently established by the opposite side of the market. Such orders have no trader defined limit on the potential trade price but these orders ... 3 As you've mentioned, it depends on the trading venue and the exact market data product that you're subscribed to. Unless otherwise stated, the data is usually updated at every occurrence of an event (explains the irregualr intervals), and often, the data is not disseminated immediately and multiple events may be batched in a single message informing you of ... 2 In addition to @madilyn's answer, there is one point that needs to be addressed and that is often called an unfair advantage although it is merely a competitive advantage. Take the US Equities market. There are now several venues on which the same symbols are traded. If one HFT acquires information about one symbol in one venue - e.g. due to a limit order ... 2 Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let$\lambda_{emp}(\delta)\$ be the empirical distribution. Then one can define a metric by $$m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)|$$ After you have decided upon a suitable ...

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Yes. Increasing the size of an order is like cancelling and reinserting it. You lose queue priority and insert behind the other orders.

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