New answers tagged market-microstructure
Usually it's aggressiveness of your orders + short term alpha. While it's equities not FX, I think you may find something interesting in the recent Barclays LX darkpool lawsuit documents.
A "flickering" order is one which is repeatedly submitted and cancelled (whether it's at the top of book or not). The answer from @chollida mentions that "the goal typically is to either slow down competitors quotes by flooding the gateway interface with noise" but I don't think that's necessarily true. Rather, I think many flickering quotes are caused by ...
Don't use TAQ. The reporting times of the trades can be a few seconds delayed. Use the exchange feeds. There you can see which order crossed the spread. The only issue that you will run into is hidden orders. In that case you simply can't tell. (eg: The mkt is 30.00x 30.02 and then you see 30.01 trade. You don't have any way to tell if there was a ...
Most likely you are missing something as any new order can't bypass the existing orders. The only possibility that comes to mind is if you have anti-internalization set and the broker is trying to hit his own quotes. Say broker A has two quoting systems running and they would otherwise interact. Anti-internalization would not allow this broker to trade ...
The significant open position at some strike might be treated as a hope of those, who opened it that at expiration market will be there and further, so options will be in the money.
There's a very simple explanation. The NYSE trading floor only deals in NYSE-listed stocks. NYSE have other venues (such as Arca) that allow you to trade listings from other exchanges. The following site has a very good summary of "tape" versus the volume traded at each venue. https://www.batstrading.com/market_summary/ Note that Tape B contains trades ...
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