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> That being said, algos could have hit the large spoof bid I would guess that they sent a bunch of orders and them immediately cancelled them. If that's what
by usefulcat 5y ago
> That being said, algos could have hit the large spoof bid
I would guess that they sent a bunch of orders and them immediately cancelled them. If that's what they did, then by the time other market participants see those orders (remember network latency), the orders will already have been cancelled, in which case it would be literally impossible to trade against those orders after having seen them in the market data.
- dudeinjapan 5y agoIf this is the case, the real culprit is the exchange. Rather than offering premium "flash" facilitating services like colocation for HFT traders, the exchange could do something like 20-second auctions during which time orders can't be cancelled until the next auction interval.