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Phantom quotes on ARCA
- Thread starter Retired
- Start date
This is called "backing away"... and is totally freaking illegal...Quote from Retired:
That's amazing, the cancellation happened 3 times right upon I entered my orders. This is late in afterhours, when nothing seems to be moving.
But it happens all the time...
And you have to live with it.
I'm sure that just about anything goes after hours.
Countless forms of market manipulation happen all the time...
And nobody cares...
So your business model has to be robust enough to just absorb this kind of slippage.
Quote from HoundDogOne:
This is called "backing away"... and is totally freaking illegal...
But it happens all the time...
And you have to live with it.
I'm sure that just about anything goes after hours.
Countless forms of market manipulation happen all the time...
And nobody cares...
So your business model has to be robust enough to just absorb this kind of slippage.
Is there a way to catch these manipulators?
I got fooled several times, and have lost a good chunk of money.
Quote from Retired:
Is there a way to catch these manipulators?
I got fooled several times, and have lost a good chunk of money.
Now by "lost a good chunk of money" do you mean that if you had been filled, that you would have made money? How do you "lose" money when you do not get filled by a phantom quote? By the way, nothing illegal is going on here - it is just a quote malfunction - the quote doesn't actually exist.
Quote from sprstpd:
Now by "lost a good chunk of money" do you mean that if you had been filled, that you would have made money? How do you "lose" money when you do not get filled by a phantom quote? By the way, nothing illegal is going on here - it is just a quote malfunction - the quote doesn't actually exist.
In one case, the quotes were crossed late in afterhours. The bid from ARCA was shown to be higher than the ask from NSDQ. So I bought a bunch of shares from NSDQ, only to discover that I couldn't turn around and sell them on ARCA. The ARCA bid disappeared when I hit it.
I had no intention of holding over-night because I knew the market was shaky. I was just trying to do a little arbitrage. But I got left holding the shares. Next morning, the stock tanked.
Quote from Retired:
I had no intention of holding over-night because I knew the market was shaky. I was just trying to do a little arbitrage. But I got left holding the shares. Next morning, the stock tanked.
Just for future reference, if there seems to be an arbitrage opportunity in afterhours trading that lasts for more than a few microseconds, then it is almost a sure sign that one of the quotes is stale (i.e., a phantom quote).
Quote from rwk:
With IB it is called an "iceberg order". I believe the reserve size is held on IB's server, not at the ECN.
Some ECNs have native hidden and subscriber-only orders. I think market makers also have additional capability for reserve orders.
I am pretty sure IB submits the iceberg as such to the ECN vs holding back the reserve size....
If you hold back the reserve size, you can miss a fill opp.
Quote from sprstpd:
From my experience, I believe the iceberg orders are simulated so you can miss fill opps.
Many ECNs natively support reserve liquidity (on NYSE it's available for specialists and floor brokers). Usually SmartRouter will watch every tick on all ECNs/exchanges and shoot marketable limit IOC orders (to make sure the rest of the size won't be placed on the book).