3 ms·
price and execution time? how much slip or price improvement on limits? or god forbid the casual retail market orders fill vs nbbo and pools at exec
by sitzkrieg 4y ago
price and execution time? how much slip or price improvement on limits? or god forbid the casual retail market orders fill vs nbbo and pools at exec
- kasey_junk 4y agoIf you are seeing a venue not meeting nbbo you have a whistleblower suit to make which have been quite lucrative. When I was doing this for work the issues we ran into came down to a) making the orders hit the tape close enough to ensure similar priority b) the size of the orders changing execution depending on venue c) differences in performance per symbol. This was in a place that was sending a fair amount of orders in. Even then given the above finding statistical relevance was hard.