I hestitate to engage in a thread when the OP appears to be having a conversation with themselves. However to reply to this specific post, what comes across is a muddling of definitions. My interpretation is that you are perceiving the simple color changes in T&S as correlated to the aggressor which is definitely not the case. This is confusing in that in your other posts you reference ilink messaging which would tag the aggressor. Unless you have intra-market access, this capability is beyond the accessibility of retail traders unless they have software that addresses this. Canceling of orders will not cause a limit opposite the spread to be filled if not facing a market order. Only a market order will cross the spread. If you have limits being filled outside the BBidask, I suspect they have more to do with complex FOK and FAK orders operating on the sub-visual threshold of 30fps but haven’t really dug into it. Perhaps you could clarify? As for canceling orders there are multiple reasons other than the intention of spoofing. To keep it simple, excluding spreads between instruments, a couple are: With trend, someone holding a position with multiple contracts exits after their initial target is reached and cancels greater targets for what they are holding due to changing bias and intratrade intervention. With trend, someone being stopped out and the associated targets and greater stops are canceled from the book. Countertrend, someone adjusting their limits as the market comes to them bettering their average holding price. Countertrend, someone being stopped out and associated targets and greater stops are canceled from the book via intratrade intervention. Bracket plays, the narrow spread is fulfilled on weakness, the larger spreads are canceled. Bracket plays, the narrow spread is fulfilled on strength, the larger spreads are canceled and re-entered as larger limits. Bracket plays with bias shift. Initial brackets are canceled and re-entered with opposite bias. Does spoofing exist in some sub-threshold limit? Certainly in illiquid instruments. I imagine it’s also present as well with latency arbitrage in liquid instruments via inner market messaging. I don’t really know, my knowledge is at the novice level with algo based hft. Is cancelling orders as you describe the best way to mitigate their influence? Without existing on the same playing field as hft with market, tech and network access, I have my doubts. If their advantage is faster speed, then logically I’d assert to mitigate is by changing context so that slower speed is the advantage - much like a gun and knife fighter there are certain contexts that give either one a greater advantage. As for your assertion that canceling orders involving no cost or risk, In my experience that is not taking into account the opportunity cost paid by the mental processing required to engage in an activity that has limited reward. There are much better paths to explore with better R/R profiles. Since you have 20yrs of experience all the above would be known, so perhaps you could elaborate.
i appreciate your in depth explanations, but it is very simple. Canceling qty of orders is used to weaken bids or offers and then you aggressively buy the other side walla you get a very nice spike or drop. imagine doing this 2 to 3 to 5 levels i unison on the sp just as a large order comes in and you see it and cancel.. now there is little liquidity and the average fill price is much higher than it should be creating a profit on the next move which will be down since you artificially or manipulatively forced the order to fill at an average price much higher than was on the limit board. so.. the next move is everyone sells it seeing it is out of wack.. whihc is what you need to be the buyer.. because you just sold it on the way up as cancelled most of your orders.. not sure why this is so difficult for people to grasp.. you can reduce qty in a cancel replace and not lose time priority
fyi..the aggressor is only print on the T&S..the passive order isn't displayed..u understand everytrade is matched at the same price..correct??????????????????? so if u look at time and sales and you bought at a specific time and it is a sale...then u were passive and vice versa
It’s not simple because you keep conflating your terms. Ok, C&R’s keep your place in queue if it decreases in qty and loses priority if it increases as per spec. This is the big revelation? Just as you are anticipating a return to mean, the risk is that a new trend has started opposite your bias. Your strategy works in range bound non-Dominant contexts but not Dominant trending ones.
what is earth shattering to me is how many people trade and do not understand the power of the cancel and how it can be used FOR FREE.. no fees or commission to weaken a side of a market that is all. If you understand that stops are run not by massive selling but by massive canceling then you can watch for it and buy into the stop runs.. that is pretty good info