Is there a way not to remove Liquidity?

Discussion in 'Order Execution' started by trend2009, Dec 14, 2009.

  1. Suppose SINA is trading with inside quote
    45.11 X 45.12 at ISLAND, I would like to short the bid, but do not want to remove liqudity. Can I send a sell order at 45.11 to island, while instruct ISLAND to make my order sitting on the book waiting for the bid to take it?
  2. Occam


    I see this as your wanting to wait for something that's already there, which doesn't make sense to me (and similarly for "shorting the bid" without taking liquidity).

    I think your options are to try to add liquidity at 45.12, or to take liquidity at 45.11. If you've got a burning desire to sell at 45.11 while adding liquidity, I think you'll have to wait till it hits Ax45.11, where A is some number <= 45.10, in which case you may not get filled, of course...
  3. there are some ways to hit 45.11 without removing liqudity. for example, you sell the order to another exchange which has an ask price 45.12. but i want to know if there is a way to send to the exchange with best ask price 45.11 while not hitting the bid at 45.11.

  4. If this can happen, you can make risk free money whole day by selling from one of your account (with add liquidity) and buying from your other account (again with add liquidity). This is especially true for illiquid stocks or extended hours when spread is high and volume is low.

    Remember you get paid for trading if you add liquidity and your volume is very high.

    In case you find a loop hole, just take it to some hedge fund who can exploit it.

    Good luck.
  5. even that happens, there is no risk free money. for example, there has to be someone willing to hit your offer, or your bid at the same price willing to be hit by someone too.

  6. removing is the way to'll never make good money just adding liquidity.
  7. goldman makes billions from rebate trading.
  8. but to answer your questions. YES.

    make sure your orders don't route to any other exchanges(in other words, turn 'off' your proactive features). find the exchange that's not showing at inside bid in L2. then put in an offer at that bid, and other ECNs will route to hit your offer. if you run into a hidden bid (same exchange as your order), there's nothing you can do.

    others who route to hit your offer will now pay the highest passthroughs(even more than removing liquidity itself). again, trying to add liquidity at all times is plain stupid. in most cases, you'll get hit and be out of the money instantly. If you remove liquidity in a timely manner, you will be flat instantly.
  9. that's why they are goldman. They literally made specialists obsolete with their HFT. you'll just end up chasing if you try to play like them. and that's how goldman makes money.
  10. thanks for your input. it makes great sense.

    #10     Dec 14, 2009