Re:The 0+ HFT Strategy
by drexlspivey on Saturday May 20, 2023 @10:21PM
(#36017426)
If the ask is at $8.03 and you are first in queue at $8.01 all the orders in $8.03 and $8.02 have to be filled before you get filled so you have plenty of time to cancel your order.
Assuming you mean bid. If the the size is only 10 @ 8.03 and 1 @ 8.02 and 8.01, then if someone is looking to sell 100 at market price it will be a problem. The sell order will go through many levels after filling yours and it will all happen at the same time.
Re:The 0+ HFT Strategy
by drexlspivey on Saturday May 20, 2023 @10:37PM
(#36017535)
Apparently that doesn’t happen often enough to make the strategy unprofitable
If you want to be the first or close to the first in the queue on a price level, you're there before it becomes big. So then your "risk-free" closing strategy doesn't work, because if you get traded against, you will have to close out your trade at a loss, since the price level is gone (because it wasn't big yet).
But if you wait until the level becomes big, you will no longer be at the front of the queue, so the strategy doesn't work.