4 ms·
I have no idea what the mechanism is, but there's definitely something extremely fishy when you don't see the NBBO move at all for an hour and it magically move
by dguaraglia 10y ago
I have no idea what the mechanism is, but there's definitely something extremely fishy when you don't see the NBBO move at all for an hour and it magically moves the moment you place an order. I wouldn't even know who is to blame: Interactive Brokers? Other HFT players? My incredibly consistent bad luck at placing an order at the exact same moment the price goes up, even after observing the price being stable for an hour (again, at a very low volume time of day, like 3pm PST)?
I clearly don't understand what's going on under the table as well as you would, and because the strategy I was toying around with at the time was basically big volume on small spreads ("big" for a retail guy, obviously, I don't have millions at my disposal) it was shot to crap by these magic changes.
So I did the sensible thing and closed my account. Off to invest in less volatile assets, if I can find any, heh.