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Also if they're charging 25 bps to be a taker vs. 0 to make, people will want a post-only order. I actually like the idea of putting ClOrdIDs on the feed, mayb
by mrchicity 12y ago
Also if they're charging 25 bps to be a taker vs. 0 to make, people will want a post-only order.
I actually like the idea of putting ClOrdIDs on the feed, maybe encrypted with some key only the sender has? Would make excluding one's own orders so much easier and no concerns about who sees what first: http://www.wsj.com/articles/SB10001424127887323798104578455032466082920 http://www.wsj.com/articles/SB100014241278873237981045784550...
- benjaminjackman 12y agoAnother option is to include the pricefeed order id in the order submit ack message sent on the order channel to the submitter.
- mrchicity 12y agoYes that's how things work on itch/ouch. Downside with that is you can see your order hit the feed before you know it's yours. For people who want to exclude their orders from their view of the market, they have to build heuristics to handle this case or risk flashing/chasing their own tail. Also doesn't help the IOC case. If market data dissemination is usually faster than the private order entry/ack/fill channel, it would be better to know that a trade resulted from my IOC by seeing it on the data feed rather than waiting.