post-only orders consuming midpoint liquidity?

[stochastix]

Is there an option to not do this? https://www.nasdaqtrader.com/content/ProductsServices/Trading/postonly_factsheet.pdf I'm sending post-only orders, and SOME of my fills, a small percentage, are being marked as removing liquidity. that doesnt make sense that that should happen

 

[cruisecontrol]

From your link:

"If the Post-Only order would cross another order already on the book such that the difference in price between the incoming Post-Only order and the resting order cross is greater than the forgone net rebate (i.e. rebate – fee), then the Post-Only logic is not applicable and the order will be processed as if it were an Immediate or Cancel order at the best price."

In other words, if your post-only order is marketable when it arrives at the exchange then it becomes an IOC order which is liquidity removing.

Did you check the tape to see where the market was when you received these fills?

 

[qlai]

You can always call NASDAQ and ask if your broker can’t answer.

 

[stochastix]

From your link:


In other words, if your post-only order is marketable when it arrives at the exchange then it becomes an IOC order which is liquidity removing.

Did you check the tape to see where the market was when you received these fills?

Yes, I will go back and check that soon, I have it all logged and recorded. I will probably setup some automated thing, to check the market state at the time of execution.. the FAQ has a pretty clear explanation.