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The flickered orders are postonly bid at 15.16. The exchange slides it back to 15.15 to avoid a locked market. Submitting firm sees the slideback and cancels. Then tries again. When the 15.16 offer is executed or cancelled out, the offer moves to 15.17 then the postonly bid at 15.16 goes through at the targeted price and gains good queue position.

If your original algo's goal was the follow the top-of-book quote, then it should have had some minimums before it would join a new quote. For example, the reference quote must have a minimum size shown and must be live for a minimum amount of time before you'll join. Also, it helps to "stack the book" by breaking your quote into smaller orders at worse ...

Re the first part of the question: Quants play no role whatsoever in the actual execution tasks of trading regardless of frequency or whether we talk systematic trading or not. Its done by traders/execution traders (especially on the discretionary side) and not by quants. As your title suggests your focus is on hft, I still would claim quants do not really ...

There is a wide literature on optimal execution, among others: Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion, by Lehalle, 2009, Vol. 4, No. 3: pp. 40-46 Optimal Control of Trading Algorithms: A General Impulse Control Approach, by Bouchard, Dang, Lehalle, in SIAM J. Finan. Math., 2(1), 404–438 Optimal starting times, stopping times and ...

If you want to be more aggressive without revealing your hand, place your orders as hidden orders inside the bid/ask. Algos on the other side will fish with small size orders to see what is hidden however. The fishing will not reveal the size of your order, but reveal that something is there. Can get some size done this way. The advice above regarding ...

Everyone can do what HFTs do, if they spend the necessary time and money to build and run the infrastructure required. This may involve becoming a regulated broker/dealer, but it is in no way an invite-only club. Now, to your specific question, you'll find some information on Haim Bodek's site. Bodek does content that ISO's and Day ISOs are used to gain ...

Based on the conditions you set forth this would be relatively simple in the CQG API. You can, for example, set up condition triggers in the IC. All you're really asking is for an API action following one of the triggers. Pseudo code would be something like this: Handles event trigger: If (additional conditions) then execute trade. Are you just shopping ...