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Some examples of hidden information that doesn't generally get disseminated in exchange orderbook APIs: * Attribution: who's making the order? * Short labelli
by neomantra 4y ago
Some examples of hidden information that doesn't generally get disseminated in exchange orderbook APIs:
* Attribution: who's making the order?
* Short labelling... are they selling or shorting?
* Non-display or iceberg orders (not common in crypto?)
* Immediate-or-cancel orders... the executions hit the feed, but not the original order details. Also whiffs (order but no fill) don't get disseminated in any way.
* Certain order types that may rest on the exchanges order book but either don't have a specific price or display doesn't make sense... market orders, midpoint orders, pegged orders, auction order books (less common in crypto)
EDIT: On the attribution side -- they could also know the leverage any customer is taking and use that adversarially (which was the straw that broke their camel).
- silasdavis 4y agoThanks, yeah attribution is an interesting one. You usually have the cryptographic address of the maker but not any link to FTX account that might be responsible, and as you say the ability to correlate an order with other positions > Certain order types that may rest on the exchanges order book but either don't have a specific price or display doesn't make sense. I suppose orders than are designed to only be consumed by a matching engine don't need to be made public unless they are matched.