Registered: Jul 2011
10-22-12 10:08 AM
Wiggle the price a little and you might activate a few stops, plus whoever is doing it gets a true picture of the order book. There might be a lot of other possible reasons depending on the exact mechanics and the exchange, but it's also possible you're not getting all of the ticks in your feed, there are SSFs, hedging of all sorts, so who knows in reality?
Maybe you can profit by running a liquidity adding strat, such as tight mean-reversion (ie 4 ticks apart) what I like to call the slow market making, on two correlated futures and capture this noise being created. Unlikely you'll get filled most of the time but worth a shot, plus the added benefit of messing with someone elses strat.