Timeline for Fake Order Detection
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 3, 2021 at 8:17 | comment | added | Sergei Rodionov | If the order is resting in the order book - it is not fake. It is an actual order but it can have a very short life cycle, sometimes measured in 100s of microseconds. Consider adding an IOC condition to your orders as suggested. This way your incoming order will execute (partially) only if the short-lived counter order is still present. | |
| Jun 3, 2021 at 8:06 | comment | added | LocalVolatility | I would use an IOC limit order for that. You write that is not possible due to you also immediately trading a second leg against. Assuming the market that you are hitting is less liquid than the market you are using for your hedge and trading there is more noisy, then you could also wait with your hedge until the hit succeeded or not. If there were no fake orders in the hit market then this would increase your p&l variance but not really affect your mean. In the last presence of these fake orders I’d expect your mean to improve (still at the cost of more variance). | |
| Jun 3, 2021 at 7:31 | history | edited | frank | CC BY-SA 4.0 | edited title |
| Jun 3, 2021 at 7:18 | history | asked | frank | CC BY-SA 4.0 |