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?
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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
