using exchange's pegged order types or doing it by observing level 2 events?

[stochastix]

What are the pros and cons of using the exchange's pegged order functionally which lets you match the NBBO or offer 1 tick price improvement.. should I trust the exchange or should I observe every level 2 order book event and place and withdraw the orders as needed.. ?

I can do both and experiment, but I just wanted to see what others thought

 

[qlai]

should I observe every level 2 order book event and place and withdraw the orders as needed.. ?

You are guaranteed to be much slower than exchange itself. You may end up crossing the spread unintentionally. But if you are trying to accomplish some other logic, then it's a different question.

 

[stochastix]

You are guaranteed to be much slower than exchange itself. You may end up crossing the spread unintentionally. But if you are trying to accomplish some other logic, then it's a different question.

Well, I need to be able to tell my order apart from the other orders to see if I'm the only one in line at a certain price level. If I use pegged orders from the exchange,I dont think I will be able to tell that it's only my quote at the inside .if I'm only 70 microseconds from the exchange, will it be that much slower?

 

[qlai]

Well, I need to be able to tell my order apart from the other orders to see if I'm the only one in line at a certain price level. I

Well, you don't really have a choice then. You are planing to send non-hidden orders?

 

[stochastix]

Well, you don't really have a choice then. You are planing to send non-hidden orders?

Yes I'm planning to post displayed orders to also earn rebates. I might experiment with hidden orders also