Is there a way to set an order within a large spread that is, say, always a tick away from the bid?

Discussion in 'Order Execution' started by CyJackX, Dec 3, 2017.

  1. CyJackX


    Basically, if there's a large spread and I'm looking to buy for example, I could either take the ask immediately, or sit at the bid and wait for a fill. Or, I could make a new bid a tick higher, which means I'll be the next one in line if somebody sells at market.

    But, if other people bid in front of me, I want to be able to automatically jump ahead again.

    If the bid falls down, then I want to readjust my bid so it is still +1 against others bids.

    In other words, I want to always be the first one to receive someone else's market there a way to do that?

    Probably not, because two people would immediately just counterbid until the ask...
  2. Handle123


    If you can program, you can pretty much do what you are wanting to do, but there be others programming to do the same.
  3. neke


    Yes your program can do that. Hopefully it knows not to outbid yourself. That would be a lot of activity though - not sure what you broker may say : some will warn you if your cancellation/fill ratio exceeds a certain limit.
    MoreLeverage likes this.
  4. d08


    Relative/Pegged-to-Primary order

    While it says it does not move down (for a buy order), on certain exchanges it does. Ask IB for details.
    The competition is going to play so many games with you though, running up the price and when you're filled, it'll come down again. That's my experience anyway.
  5. mbondy


    Pegged to primary is offered by many exchanges.
    It seems like he's looking for hide not slide orders though which I think only edgx and bats offer.
    In any event, I agree that no matter how you play it, this is a losing strat (in the absence of a mechanical edge).
  6. I'm already writing an algo to take this guys money
  7. You're about 20 years too late.
    bone, d08 and truetype like this.
  8. d08


    Thanks, I didn't know about hide not slide but as per his description, he didn't really focus on time queues but just staying one tick over the minimum bid for a buy.