Shady handling of primary peg orders by NASDAQA

[Metamega]

Gain Bodeks got a few parts in it. He apparently ran quite a successful options mm operation but then it slowly stopped working. After months of reviewing their code it was all because of order types he wasn’t aware of.

He also did a podcast with chat with traders but unfortunately they never discuss what these order types are. Just that they exist.

 

[stochastix]

I've had a deep dive from nasdaq as they call it. They bring in a senior engineer and product people who explain in detail how their systems work. Peg orders are not part of the core matching engine. You're effectively using an algo that sits outside the matching engine and thus why they aren't guaranteeing priority. You definitely lose priority to any low latency players that are creating the new price level. It's an awful order type to use at a lit exchange as you'll chase the price then get adversely selected. Better to use a peg order at a dark pool especially if you have the ability to post at the higher tiers/segments cause then can avoid interacting with HFT.

IEX is way better than nasdaq, they publish all the rules their matching engine uses, and peg orders are reinserted in the same order they were received, unlike nasdaq, where they just randomly throw cards in the air