I know I'm going to smack myself for asking this, but I'm just not getting it: why is this technique better than just bidding farther away on the original order (and then cancelling)?
I am not sure what you are saying. We could be saying the same thing. 1) Market is 5 X 5.1; 2) Send in an order to buy @ 5.1; 3) Underlying starts to rip against your potential fill; 4) Modify your 5.1 buy to 4.1; 5) Modify confirmed, now cancel; 6) Wait out your 2 minutes and pray to the trading gods.
Aahhh, *that's* the part I'd missed in your previous post. In the same vein, what about this? Simultaneously submit bids at 1 increment away, 2 away, 3 away, and cancel all of them immediately. Better yet, forget about cancels entirely: submit 1, modify away, await confirm, modify further away, await confirm, etc.
You cannot simultaneously submit orders on the same option @ the same exchange because it violates the 15 second rule which will get more than your peepee slapped ...
1. I know about a rule which says that you can't disguise a large order by splitting it into smaller orders (because the MM needs to lay off). Are you saying that, even for small orders, even if all on the same side, even if different prices, this is forbidden? 2. Where does the "15 seconds" come in? Does it mean that you must wait 15 seconds, to submit an additional next order, or to modify a prior order, or what? And can't one or both of the proposed techniques still be useful if modified to accomodate the 15-second rule?
1) Yes; 15 second violation. 2) Additional, not a modify. 3) Not just the strike but the whole series at one exchange ...