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You can avoid cancel/replace using pegged orders. Depending on your model that could be very useful.


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Wow, this is the 1 million question. No answer available to that. From what I saw is that that question varies from ecn to ecn. You will be very depending on each ecn and how they connect you to liquidity takers.


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For the first question there are two approaches, the first is you can simply backfill and use the last minutes tick if it exists. If there is no liquidity, the second way is you can try cubic or other interpolations to see if it creates a better curve.


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Whereas when you marketmake on a last-look basis: - You, the marketmaker, are sending indicative prices to the ECN - The ECN sends orders to you and is at risk (since you have the option to reject, hopefully rarely) When you marketmake on a no-last-look (NLL) basis: - the ECN is sending indicative prices - You, the marketmaker, send orders to the ECN and ...



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