September 29th, 2011, 9:28 am
Quote stuffing:The practice of sending multiple orders in a short period of time with no real intention to transact. Orders are typically cancelled by the originator almost immediately. This tactic can be applied in the defensive mode to mask the originator's own trades or to slow down its competitors. It can also be applied in an offensive mode to fake an interest to trade, just to lure others into a deal, thereby exposing their market positioning and scanning the status of the order book. I wonder how much of the "quant" effort in this ALGO space is about obfuscation, anti-gaming, etc, etc... misguided criativity or just business? Thanks for you ref Hansi, however, we were promised Rates books bu the very author of this thread.... ( waiting! ).....
Last edited by
SierpinskyJanitor on September 28th, 2011, 10:00 pm, edited 1 time in total.