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Quote stuffing works because you know before hand which orders to filter out and don't need to expend resources considering them while everyone else does. An ad

by dclusin 11y ago

Quote stuffing works because you know before hand which orders to filter out and don't need to expend resources considering them while everyone else does. An advanced player can build this into an FPGA to achieve greater performance.

chollida1 11y ago
:) Quote feeds don't work that simply. you still have the following issues: 1) Your quotes are slowed down as the gateway is spammed so legitimate quotes are delayed to you as well as everyone else. So you are still blind as to where the market is just like everyone else. 2) The quote feed doesn't just say, "hey a new order was added and guess what, its yours!!" You still need to parse the entire message to determine if the order matched one you sent, and even then it won't say its yours, it could be someone else putting in the same 100 share order at the NBBO. I'll admit this can be helped if you have your own number at the exchange to identify the order sender, but then this only applies to exchanges that release that information and even then you still need to parse the order to find out if its yours, so you're basically back to square one. Now you might say, well then I'll just submit orders far away from the market so that I can more easily identify them as my own, but by doing so you've already outed your self as a quote stuffer and its game over. It's one thing to rapidly CFO your orders to keep up with the NBBO and changes on other markets, its another to rapidly CFO orders out in the weeds. The latter will get your direct access yanked if abused. So ignoring your own quote spamming is almost impossible as you still need to assume every order might not be your own. FPGA's don't help at all here, except to make the parsing faster but they do that regardless of if someone is quote stuffing or not.
- apple_II 11y ago
  Quote stuffing works because you can adjust your trade pressure indicators because you know the quote size and thus fair price is fake. It has nothing to do with overloading systems. To overload competitor systems, you would flicker a 100 share quote on an instrument you don't care about and trade on a different, potentially correlated, instrument.

by dclusin 11y ago

chollida1 11y ago

:) Quote feeds don't work that simply. you still have the following issues: 1) Your quotes are slowed down as the gateway is spammed so legitimate quotes are delayed to you as well as everyone else. So you are still blind as to where the market is just like everyone else. 2) The quote feed doesn't just say, "hey a new order was added and guess what, its yours!!" You still need to parse the entire message to determine if the order matched one you sent, and even then it won't say its yours, it could be someone else putting in the same 100 share order at the NBBO. I'll admit this can be helped if you have your own number at the exchange to identify the order sender, but then this only applies to exchanges that release that information and even then you still need to parse the order to find out if its yours, so you're basically back to square one. Now you might say, well then I'll just submit orders far away from the market so that I can more easily identify them as my own, but by doing so you've already outed your self as a quote stuffer and its game over. It's one thing to rapidly CFO your orders to keep up with the NBBO and changes on other markets, its another to rapidly CFO orders out in the weeds. The latter will get your direct access yanked if abused. So ignoring your own quote spamming is almost impossible as you still need to assume every order might not be your own. FPGA's don't help at all here, except to make the parsing faster but they do that regardless of if someone is quote stuffing or not.

apple_II 11y ago
Quote stuffing works because you can adjust your trade pressure indicators because you know the quote size and thus fair price is fake. It has nothing to do with overloading systems. To overload competitor systems, you would flicker a 100 share quote on an instrument you don't care about and trade on a different, potentially correlated, instrument.