It’s a good podcast. Basically he gave up using resting limits and just uses marketable limits. You place a limit on an exchange, your orders in queue with a market maker/HFT but unlike you, their executing off exchange on purchased order flow, and using your limit to rest on, cutting their spread and risk to sub penny. The only time your limit gets filled usually is when the offer moves down to the bid and now your paying the spread anyway if you want to get out. But then again the topic came up as he had to go from scalping to longer time frames due to this micro structure.
Why, not only - you also get filled if your level get traded through and you are not on the touch any more
I propose a new order type ... Uptick Limit Order ... Your resting limit buy order gets filled only when best offer moves up. IEX, are you listening?
Surely this is one of those times where I fail to detect sarcasm on the internet, but this would make the market makers job too easy, right? There's an even more salient issue--new bid level forms after the uptick--all of us on the new bid level have to wait for all the uptick limit orders on the old bid to get filled while our more competitive orders languish? Hey...that's not fair!
Agreed, and this is visible even in backtests that limit orders tend to get filled at shit times. Nobody has an interest filling you unless they think price will go in the right direction for them in their time period of choice.