@comagnum Quoted from the article you referred to. I am trying to understand what it says here, could you please translate this into more layman terms?
On larger order the HFTs take advantage of their latency advantage to front run orders which gives you adverse fills. Most people think using a limit can't be gamed - it sure can since the quotes we see are yesterdays news in relation to the speed advantage the HFTs have. Using the IEX your not likely to get mugged by the predatory penny jumpers trading against your order. Saving a few cents on smaller orders is not such a big deal, on larger orders it is.
Thank you. Do I understand it correctly, that if you enter a pegged D-Limit buy order, with e.g. limit $10.10, and the NBBO is $10.05x$10.15, it will peg to $10.05, and when the NBB starts "crumbling" due to a large incoming sell market order, the D-Limit buy order will lower itself to a level where the sell market order will be consumed, keeping the "extra profit" to the D-Limit bidder, instead of the HFT which would presumably, because of information from the "crumbling" due to the market sell order, would sell short at other market centers at $10.05 and cover at a lower price to the incoming sell market order?
yea - I think you have it right, when IEX detects a crumbling quote (CQ) it auto reprices your resting displayed limit order to give you a price improvement. The CQ is caused by an HFT cancelled orders to penny jump using their speed advantage.
Comagnum, you have provided some excellent information on this thread. As have others. Thank you so much.