how can I fill at bid and ask while not alone?

[trend2009]

my strategy needs me to fill at bid and ask, but not the one who are the only person at the bid and ask. One way is to use relative order, but the problem is that the order only becomes more aggressive even though the original bid and ask share has been retracted, at that time i become the only bidder or seller. the other choice is that I send a relative order less than 100 shares (or a hidden order if larger than 100 shares), so even the original bidder or seller recalls their order, my order will not appear at the best bid and ask, and hopefully my order price moves down to the bid or ask at the next level. is it possible?

or i send an order at bid and ask price, and constantly monitor the bid and ask size. if the bid and ask size is idential to my size, i modify my order. but the problem is I need to submit thousands of orders.

 

[Robert Morse]

I'm not sure if I understand, but if you want to send a buy order that matches the bid or a sell order that matches the ask, try a Primary Peg order. See attached.

 

[Metamega]

I dunno. Sounds like your going to get chewed up. Your basically trying to make markets without the access the big dogs have like playing darkpools and buying order flow.

My hypothesis is you’ll most likely sit on bid/ask and only get filled when the market decides to blow past you.

But best of luck. Just throwing it out there that your competing in a highly competitive and stacked opponents and I believe you’d find better success in another strategy.

 

[trend2009]

Basically I want to be filled at bid and ask but I am not the price setter because I do not know if the price is fair. I like other to set the price and I only participate

 

[trend2009]

I'm not sure if I understand, but if you want to send a buy order that matches the bid or a sell order that matches the ask, try a Primary Peg order. See attached.

Pegged to primary is just relative order in IB

 

[ironchef]

Basically I want to be filled at bid and ask

Easy, you can always buy at ask and sell at bid.

Or you want to buy at bid and sell at ask? Then it is harder.

 

[murray t turtle]

I dunno. Sounds like your going to get chewed up. Your basically trying to make markets without the access the big dogs have like playing darkpools and buying order flow.

My hypothesis is you’ll most likely sit on bid/ask and only get filled when the market decides to blow past you.
……. Just throwing it out there that your competing in a highly competitive and stacked opponents and I believe you’d find better success in another strategy.

%%
Most likely you are right;
but one way he could make a profit with that, thousands of orders, with time. IF his bid orders don't get filled in 15 minutes, qUit trying to be a market maker all the time. This market is a lot like 2009/trader 2009, except so far JAN is more bullish/up than 2009. Not a prediction. I could find something to do with TSLa\ bids or TZA , but its not market maker stuff...………………………………………………………………………………………………...…...…...……………………..

 

[Robert Morse]

I do not know what that means. It is an order type that NASDAQ accepts if your broker offers it.

Pegged to primary is just relative order in IB

 

[Bum]

If your strategy edge is so small you need the spread, might want to modify the strategy?
Unless you're a HFT, spread shouldn't be so important to P/L IMO.

 

[qlai]

i send an order at bid and ask price, and constantly monitor the bid and ask size. if the bid and ask size is idential to my size, i modify my order.

I don't think you can play this game unless you are colo'd and receive(and consolidate) all full depth books. You will need a broker that will allow you to submit "thousands of orders" resulting in few or no fills. The costs will most likely render your strategy unprofitable. It's safe to assume that most of us here cannot complete on speed.