I have a strategy that involves being first in the order queue in a tight market where the tick can change from bid to ask or ask to bid by one tick. I am looking at pegged orders so when the bid changes to ask or the otherway around i want to be first position on that tick change. I was wondering if that is possible with pegged orders?
Pegged NBBO/MidPoint orders, each exchange has algo check documentation or contact them about time/price/Fifo and most importantly pro-rata allocations for peggged orders.
Here is a doc from NYSE to have a look at: https://www.nyse.com/publicdocs/nyse/markets/nyse/Pillar_Differences.pdf
On nasdaq, their pegged orders do not operate inside the exchange matching engine as you would expect.. they have some undocumented method that does not gaurantee fifo order is conserved when the order stack moves from one level to another, the re-reinsertion is random at best and they are secrely letting other people jump the queue at worst. IEX does this inside the matching engine, and they actually have specific order types to mitigate against adverse selection due to sub-millisecond latency arbitrage by other market particpants. Specifally, the D-Peg and D-limit order types you may want to look into .