What’s illegal is market/price manipulation, where you’d try to trick others into thinking you’re a large buyer wanting to buy a million shares, but then you’d either cancel or change your orders. I think. The SEC can try to prove market manipulation regardless how’s its done, but as long as you’re just trying to buy or sell shares and only scalp them at a good price then you should be ok. Here is a sample SEC case: https://www.sec.gov/news/press-release/2019-216
True, and that’s why retail traders complain they aren’t allowed to do the same. You know what happened to the guy who tried, Navinder Singh Sarao, right?
How can we forget? Big money will always protect big money, never the retail (dumb money for them) traders.
Perfectly legal. The rate depends on broker and exchange. Sometimes broker will require you to have minimum fill rate - for example 3% of all orders should be filled. Most exchanges allow you to use cancel-replace orders which are faster and may not count as cancels.
I was worried about this lol! I cancel a few trades a day and get paranoid that my broker thinks i'm doing something tricky! phew
If you are cancelling or amending manually, it is really hard to hit the limits. HFT does this 10000000000x faster.
What’s the idea of cancelling and placing such small increment orders within a minute? Is your algo benefiting from that small change in the fill price within that minute? Just curious
I wasn't sure and discussed this with IB support and they said that for SMART orders they don't charge any fee for cancel or modification of LMT orders via API for equities, no matter how often it's done. If you directly route to exchange - they WILL charge you. There is pricing on IB's website. It sounds like you probably already figured it out. You get credits for the ones that actually executed. Watch out for orders that can't be cancelled because already filled. It can happen during high volatility. Let's say you didn't get an order update of execution yet but order is already in non cancellable state. Val
I had a similar problem recently and ran into problems on the ES when constantly quoting and modifying away from the inside market. I received a few messages to stop as I was breaking messaging ratio rules. To work around this I'm trying to continue quoting away from the market but use a Limit if touched order. Therefore the quoting only becomes active when the price reaches the quoted level. I have also added a Fill or Kill on top of that to ensure that I get filled instantly. I'm still to test this properly - It really comes down to how fast the LIT order can react and become active during quick price movements. Unlike constantly quoting where I was sure of getting filled.