This article contains the following statement.

In terms of liquidity detection, traders intend to decipher whether there are large orders existing in a matching engine by sending out small orders (pinging) to seek for large orders. When a small order is filled quickly, there is likely to be a large order behind it.

Am I right to suppose that by pinging the mean difference between the time of sending the order and time of posting it on LOB? Or maybe it's something else?


1 Answer 1


With all due respect, the referenced pdf is nothing but a glossy write up of standard terms that you even hear about on TV nowadays, not much more. I assume its targeting totally uninformed clients (Japanese buy side funds? ;-) who in 2012/2013 still have not caught on with algorithmic execution.

"Pinging" is so outdated that I would claim the information content you derive from shooting small orders into the market in expectation of learning about larger orders looming is gonna be close to zero. We have reached a stage where predatory algorithms have become pray to even more intelligent bits and bytes. The biggest edge I see a hft algo can currently gain over others is paying cash in exchange for "special new" order types. Its another way of letting big spenders gain an advantage over others who are not willing to pay up. Its the same regulators-chase-hft-firms/exchanges-to-fill-loopholes game that has been played for close to 10 years now.

  • $\begingroup$ not to mention all the majors players are reaching the same latency while the cost/barrier to entry is keeping out any/most new comers $\endgroup$
    – pyCthon
    Jan 24, 2013 at 6:08
  • $\begingroup$ @pyCthon, agree and even the latency game is reaching a ceiling. It does not get much faster than an OMS or algorithm running on FPGAs similar to the ceiling reached on the CPU front. $\endgroup$
    – Matt Wolf
    Jan 24, 2013 at 7:03

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