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Order Latency
Hello All,In calculating latency between order submissions, a simplistic way would be to delay for a random time period before re-submitting an order.A better approach could be to do something like calculate some sort of market impact (MI) based on an order before re-submitting. If MI is low, one can re-submit a new order sooner than waiting for the random time period. What do you think about this logic in latency calculation? And how should one go about calculating MI for a buy order?GraciasDece
Order Latency
Some people use a heuristic like "I don't want to be more than X% (e.g. 10%) of the order flow". If so, then after executing a 1000 share order you have to let other people trade 9000 shares before you can resubmit another 1000 share order.