New answers tagged market-microstructure
You can avoid cancel/replace using pegged orders. Depending on your model that could be very useful.
First it would help to know some more details about what you mean by maximum capacity. However here are a few things to consider. Do you have a simulator you use to simulate your strategy with market data? If answer to above is yes then you can clearly see the linear impact due to market liquidity constraints for your increased size. Now 2 is easy only if ...
Well you have a few alternatives to lower your commissions. You can get your own broker number in which case you don't go through anyone, you go direct to the exchange so you just pay/get the active/passive rebate. If you are really HFT then this is often the route you take. For the case where you pay a commission to your broker, they are eating/taking ...
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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