How can you account for it in your fill modeling when you don't know which bid/offers are real, and which will get pulled as you try to hit them?
Plus you have to account for it on the entries and exits.
It's impossible and you know that.
SEC to Congress: Nonsense, the markets are not rigged.
- Thread starter Grandluxe
- Start date
How can you account for it in your fill modeling when you don't know which bid/offers are real, and which will get pulled as you try to hit them?
Plus you have to account for it on the entries and exits.
It's impossible and you know that.
You can lengthen your time frame as long as you want. Doesn't change the fact that when you try to exit your position, the quotes will pull as you try to hit them.
HFT lowers stat-vol but adds microstructure vol. Worst possible outcome unless you're a low-freq player in convexity (options).
exactly same experience with exactly same outcome. the only thing you forgot to mention is when stock is about to go against you-no problem with fills. and net by the end of the day is not +84,but negative. and on paper trading,backesting everything will look fine and kosher. as i said long time ago here-i can be right about price levels 10-20 times a day-but under current market micro structure- -it's pointless\doesn't matter. cause i can't get any shares on winners and losers are all yours
If you can't accurately model your fills, why are you even playing the game? How do you know they are pulling liquidity as soon as your order is sent? How do you know they aren't doing it slightly before? How do you know someone wasn't in line before you and ate up all of the liquidity at that level? Maybe use an "all or none" order type
The fact that you think everyone trades using "models" and you can't figure out how to know they are pulling quotes when an order is sent is enough to realize this discussion is going nowhere.
Good luck.
BTW- if you use an "all or none" order type on anything remotely resembling size, you will only get a fill when the stock is going to immediately move against you. Anyone trading for more than a day knows that already.
You can't model the size if it doesn't hit the tape. No trade, no impact, pure spoof. You answered your own question(s), so please tell us how you can model what you cannot conceivably know? Do you use AON on every order?
Trader should start using the broker that provides adequate technology and/or routing options. As simple as this.
You can use level II to see where the liquidity is, how many shares you are likely able to get, and route directly. Do you even trade?