ligfing
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| Total Posts: 2 |
| Joined: Oct 2015 |
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| I try to analyze EOBI data from Eurex and understand the logic of some Market Makers(?) who place limit orders far away from the top of the book at every single tick. E.g for Bund it could be from 10 ticks to as far as 60 ticks away at every single tick someone has placed a limit order of 220 lots. Are they trying to be first in the queue when the price comes their way? Are they hoping for a fat finger? Something else? |
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| Yes, they're trying to gain queue position. Placing an order far away from the top of the book is like a free option. The probability of getting filled before getting close to the top is nearly zero. By the time the level gets close to the top the order should have significant time priority and be close to the front of the queue. If you don't like your queue position by the time you get near the top, then just cancel. The only downside is that outstanding limit orders require working capital commitments by most brokers at most times. |
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radikal
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| Total Posts: 253 |
| Joined: Dec 2012 |
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| Also, every few years fukushima swans swarm you |
There are no surprising facts, only models that are surprised by facts |
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ligfing
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| Total Posts: 2 |
| Joined: Oct 2015 |
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| I notice a market maker resting orders on both sides of the book on every tick from +5 to +140 away from the top. It's always an 18 lot, then a 5 lot, then a 4 lot and then a variable 10 to 14 lot just for variety. I assume its the same market maker because the pattern is so consistent. If I do the math that's about 40 lots on 260 price levels, totaling about 10,000 lots always present and he leaves them overnight to maintain the queue position. That would require more than 30mil account just for margin? And like radikal said, I hate to imagine what would happen if he is filled on 5000 lots first thing on Monday morning due to a "six sigma" event during the weekend. |
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quiet1
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| Total Posts: 1 |
| Joined: May 2014 |
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| Assume a cancel button exists. |
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