4 ms·

> Nasdaq even has an order type that auto-adjusts itself such that it will never execute That's not true, the order could execute if someone slams the market w

> Nasdaq even has an order type that auto-adjusts itself such that it will never execute That's not true, the order could execute if someone slams the market with a massive buy / sell order. It auto adjusts to stay away from the active market. The idea behind the order type is that you don't want to be at the current 'market price' but rather just outside to handle big fish. You might argue this sucks, but the the big fish don't mind as it gives them more liquidity that wouldn't otherwise exist. The trade also lightens load as you don't have to constantly send cancels.

cma 12y ago
You're being really pedantic, yes a single big sell order that blew through the entire book in one go could hit it. After the regulation was added, but before Nasdaq added the auto-adjusting type, market-makers, in stocks they didn't really feel like market making in just constantly cancel-replaced their order each time the quotes changed, a single whale order could have hit those too. Maybe you aren't being pedantic: are arguing the intent of the regulation was to have market-makers make markets only as a bulwark against single whale-orders that will probably be thrown out as clearly erroneous? That is a real role-redefinition. A quoting obligation that falls apart if the big-order trader on the other side randomly decided to break his order two (or N) near-simultaneous orders?
- justonepost 12y ago
  I'm not being pedantic at all. It's the whole point of the order type and Market Making. Being a provider of liquidity as last resort. This order type is only available for MMs, btw. Ideally, the order will never execute as the regular market will handle the volume. Things are in bad shape when you have to dig into the Market Maker's pockets. order type description: https://www.nasdaqtrader.com/content/productsservices/trading/MMPegOrder_factsheet.pdf https://www.nasdaqtrader.com/content/productsservices/tradin...
  - cma 12y ago
    Ok, you are saying market makers are there to handle single whale orders, and not floods of one-sided orders during rumor panics etc. And you are saying that market makers should be obligated to take on a single whale order, but if the same whale-order-placer instead splits his whale it into chunks and simultaneously places them, maybe to hit multiple exchanges at once, the market maker obligation goes away as long as the first chunk is small enough not to blow away the book. Yep, the order type is only for market-makers. That's pedantic too; I only ever talked about it in the context of market-makers, as an example of place-cancel not being the same as spoofing. I'm not sure if you are pointing this out to say I am conflating them. Maybe I should have picked a more noble non-spoofing example?

cma 12y ago

You're being really pedantic, yes a single big sell order that blew through the entire book in one go could hit it. After the regulation was added, but before Nasdaq added the auto-adjusting type, market-makers, in stocks they didn't really feel like market making in just constantly cancel-replaced their order each time the quotes changed, a single whale order could have hit those too. Maybe you aren't being pedantic: are arguing the intent of the regulation was to have market-makers make markets only as a bulwark against single whale-orders that will probably be thrown out as clearly erroneous? That is a real role-redefinition. A quoting obligation that falls apart if the big-order trader on the other side randomly decided to break his order two (or N) near-simultaneous orders?

justonepost 12y ago
I'm not being pedantic at all. It's the whole point of the order type and Market Making. Being a provider of liquidity as last resort. This order type is only available for MMs, btw. Ideally, the order will never execute as the regular market will handle the volume. Things are in bad shape when you have to dig into the Market Maker's pockets. order type description: https://www.nasdaqtrader.com/content/productsservices/trading/MMPegOrder_factsheet.pdf https://www.nasdaqtrader.com/content/productsservices/tradin...
- cma 12y ago
  Ok, you are saying market makers are there to handle single whale orders, and not floods of one-sided orders during rumor panics etc. And you are saying that market makers should be obligated to take on a single whale order, but if the same whale-order-placer instead splits his whale it into chunks and simultaneously places them, maybe to hit multiple exchanges at once, the market maker obligation goes away as long as the first chunk is small enough not to blow away the book. Yep, the order type is only for market-makers. That's pedantic too; I only ever talked about it in the context of market-makers, as an example of place-cancel not being the same as spoofing. I'm not sure if you are pointing this out to say I am conflating them. Maybe I should have picked a more noble non-spoofing example?