Why not just honor FIFO and charge an incidental 5-10 cents per canceled order? That would take care of front-running and quote stuffing.
uh, y do u think price was moving 3 points per impulse? duh, ya thimk maybe the thin levels has sumthing to do with it? just askin, I know yer a playa <iframe width="560" height="349" src="http://www.youtube.com/embed/qWVHIWajpYE" frameborder="0" allowfullscreen></iframe>
Greetings All, Austinp hit the nail right squarely on the head with his comments about the ES & TF movement these days. I remember those days long ago when these markets made consistently executable turns, even in highly volatile times. V-Turns were the exception, not the rule as they are today. As I reminisce,....I'm taken back to the "good ole days". Back then, I kept wishing for the day when I could make one keystroke on my computer and execute, rather then having to pick up the phone. Little did I realize or understand the totally dynamic implications of that kind of "efficiency" on the market as a whole. Well, time passes, and I got my wish.
was referring to the second post, and it wasn't clear which side you were on. hope you enjoyed the video anyhow ;-)
Formula 1 have different race tracks. http://en.wikipedia.org/wiki/List_of_Formula_One_circuits Value investing and HFT are mutually exclusive and both should operate in different exchanges.
What is the X-Axis on that chart? is it time of day? What does the color stand for? I assume the Y-AXIS is contracts in the limit book ten-deep? I suspect Eric does not have the data yet, but the right thing to do is to see how this graph evolves over long periods of time under many different market conditions.