4 ms·
The HFTs get to see the list of orders as they come in. That's the advantage of colocating with the exchange. If a 200,000 share limit order is placed at the
by fsk 13y ago
The HFTs get to see the list of orders as they come in. That's the advantage of colocating with the exchange.
If a 200,000 share limit order is placed at the NYSE, the HFTs know that regulation NMS requires the NYSE to route shares to the BBO on other exchanges, before filling the order from their own book.
- fr0sty 13y ago>The HFTs get to see the list of orders as they come in. No, they don't. Third parties cannot see orders "as they come in". Only orders displayed in the exchange's book and executions already completed are sent out to data consumers. In the example you created the 200k buy order is never displayed and as such is not visible to any other user. All an HFT can see is the 100k execution. Again, an HFT rushing to buy in front of this order cannot know how big it actually is, nor what the limit price is and as such whatever buying is purely speculative and not a "guaranteed win".