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- 2011-7-2
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- 2015-12-15
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4#
发表于 2011-7-13 16:55
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so the MM could match you at 41.5- say you have 100 shrs and they want to make a sort of efficient market, they could post bigger size. Also, a lot of electronic orders these days are such that you can put in a limit order that will follow the inside market for (blah) amount of shares to a limit. Sort of like when you go on Ebay and say you'll chase an auction price up to (blah), but don't want to monitor it all the time or just show your cards and top price right away. your order goes in for 100 shrs and yes, you may suddenly see 1k or so on the lot size inside quoted. if yours is the first order, the responsibility then is to fill your order first if a print goes off, before a market maker can take an order for themself. so if inside mkt now is 40 x 41.5 b/c of your order and someone comes in with a market order to buy (you had placed a sell), then you'll get filled at 41.5 as your order is 1st in line. there are priorities of orders based on time, size, etc, but a mkt maker cannot front run you.
if you withdraw your order, if an automated ECN, you'll see the inside market go back to 40x42 almost instantaneously. if it's a market maker actually working your order, they have something like 30 or 60 seconds to pull away that order, so if you placed a mkt order after you cxl to buy but the mkt maker had not updated their quote, so long as the timing makes sense and they update their market in the time, you could go unfilled, see the 41.5 go away on the buy side, and them post you 41.5 x 42 bid/ask as they update their quote. that is not illegal. if they printed stock, though, you'd get filled... again, no front running your order either side of the mkt.
people are allowed to place orders and not have them shown. if an order has a qualifier also like an ALL OR NONE, the order does not get shown b/c of the stipulation on it. if a quote were that wide, i would place a limit in between for sure. if the market has a 1 or 2 cent spread and is a liquid market, then probably playing games like that isn't really worth it. market making used to be a huge $$$$ business. with decimalization and rules like the manning rule, etc, it's very hard now a days to make a ton of money doing it. efficiencyy has improved dramatically and the clients placing orders have been the beneficiaries. |
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