I've been debating the pros / cons of adding / removing liquidity when entering a position which does not need a guaranteed instantaneous fill. Say you are buying something, you can either set a market order and get it at the ask price, or you can put a limit order at or a bit lower than the bid price and wait for a market order to come through and fill your limit (if one does). Seems like a good idea if you dont mind waiting a bit for a fill, and possibly not getting filled, since not only you save the spread buy get a price a bit better than the current bid. But could the fact your limit got filled be a sign that the market is moving against the direction you want? essentially filtering out some or all the trades that go in the direction which you predict? has anyone done any research in this area?
It depends on the strategy you're employing; if it's momentum based, forget about placing a bid; only your losing trades will get triggered. Taking liquidity is generally a good thing, because if you're right, others will have to pay higher since there is less sell-side liquidity as a result of your transaction. If you want to "save the spread," so to speak, just take liquidity on your entrances and then offer out at your profit targets.