Order Shredders

[Trayo]

Wondering if anyone can answer this question please.
Firms wishing to disguise large market orders will often break up the order, or "shred" the order, into many smaller sized orders. So a 1000 lot market order may get shredded into (20) 50-lot orders, but fired off in extremely rapid succession. Does anyone have a sense of the time frame a shredder will send off all its orders within? In other words, do they get the orders off within 1, or 10 or 50 milliseconds etc. I am trying to build a indicator that spots large shredded orders and am trying to get an idea as to how wide a time window to look at.

Thanks
Trayo

 

[2rosy]

Where have you heard of shredding
It seems like the worst execution algo invented

 

[Trayo]

Someone who wrote code for a large firm who I can not longer find.
I think the idea was write execution Bots that would shred in order to avoid tipping-off other parasite BoTs as to some needing to move SIZE.

 

[WeToddDid2]

Wondering if anyone can answer this question please.
Firms wishing to disguise large market orders will often break up the order, or "shred" the order, into many smaller sized orders. So a 1000 lot market order may get shredded into (20) 50-lot orders, but fired off in extremely rapid succession. Does anyone have a sense of the time frame a shredder will send off all its orders within? In other words, do they get the orders off within 1, or 10 or 50 milliseconds etc. I am trying to build a indicator that spots large shredded orders and am trying to get an idea as to how wide a time window to look at.

Thanks
Trayo

Why do you assume that the orders are sent consecutively? Have you considered that a coder may write code that checks market liquidity first and hits the shares available on the offer if the algo is buying? So not time based but liquidity based.

I just took at look at IB's Accumulate algo and it has a 5 second minimum and can randomize the time by +/-20% and that is what is available to retail traders for free. So what are the possibilities if an institution is writing code for itself?