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Hide Not Slide
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Hide Not Slide
@HideNotSlide

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Hide Not Slide

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Helping investors become smarter & more informed about exchanges.

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    1. Hide Not Slide‏ @HideNotSlide Oct 27

      Dumb finance question thread of the day - I'm going to try & explain how IEX's D-Limit order works below. For those who know more than me, please tell me if I'm close to right or completely off-base. Thanks in advance:

      3 replies 0 retweets 36 likes
      Show this thread
    2. Hide Not Slide‏ @HideNotSlide Oct 27

      Imagine the market for Tesla exists like below on the lit stock exchanges. Limit orders of varying amounts & prices rest on the order books of each exchange. NYSE has the "best" bid of $1,000 at the time.pic.twitter.com/VODCfnYLKT

      3 replies 0 retweets 5 likes
      Show this thread
    3. Hide Not Slide‏ @HideNotSlide Oct 27

      Now imagine a Big Buyer wants to buy 100 shares of TSLA. It will first buy the 30 shares at NYSE at $1,000, then the 50 Nasdaq shares at $1,001 and the 10 BATS shares at $1,003. Big Buyer has now pushed prices up by $3 and needs 10 more shares to complete its order.pic.twitter.com/AcxWVqdYJg

      2 replies 0 retweets 4 likes
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    4. Hide Not Slide‏ @HideNotSlide Oct 27

      Before Big Buyer can get the last 10 shares, an HFT firm buys the shares before anyone else & sells to Big Buyer at $1,006. The HFT firm now has $1 of riskless profit & Big Buyer paid $1 more for its shares. This is called "latency arbitrage"pic.twitter.com/JPYUdvwg4A

      1 reply 0 retweets 7 likes
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    5. Hide Not Slide‏ @HideNotSlide Oct 27

      In comes IEX's D-Limit order type. IEX sees the market for TSLA moving up & trips its "crumbling quote" signal, which automatically re-prices its 10 shares from $1,005 to $1,006 so HFT firm can't profit from them. Big Buyer completes its order & still pays $1,006.pic.twitter.com/gqJMIXV97q

      1 reply 0 retweets 7 likes
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    6. Hide Not Slide‏ @HideNotSlide Oct 27

      Upside of D-Limit Order: - prevents HFT firm from profiting off latency arbitrage Downside of D-Limit Order: - doesn't really lower costs for Big Buyer which is goal in the first place

      1 reply 1 retweet 11 likes
      Show this thread
    7. Hide Not Slide‏ @HideNotSlide Oct 27

      Is this right? Am I dumb? How would you describe the D-Limit Order? I appreciate any & all feedback.

      9 replies 0 retweets 7 likes
      Show this thread
    8. emily‏ @theemilyaccount Oct 27
      Replying to @HideNotSlide

      roughly correct. note that CQ is kind of proprietary and can be implemented differently by different firms, with varying degrees of effectiveness

      2 replies 0 retweets 9 likes
    9. emily‏ @theemilyaccount Oct 27
      Replying to @theemilyaccount @HideNotSlide

      it’s basically just trying to guess when the book will move first, which is kind of the whole game in hft anyways

      1 reply 0 retweets 6 likes
    10. emily‏ @theemilyaccount Oct 27
      Replying to @theemilyaccount @HideNotSlide

      also since im CQposting i should say that the direction of the movement of course doesn’t matter, and you’re just looking for a larger absolute movement. it’s expressed as of course a linear combination bc linear is fast!

      1 reply 0 retweets 4 likes
      Hide Not Slide‏ @HideNotSlide Oct 27
      Replying to @theemilyaccount

      |￣￣￣￣￣￣￣￣| | NORMALIZE | | CQ POSTING | | ＿＿＿＿＿__＿__| (\__/) || (•ㅅ•) || / 　 づ

      11:29 AM - 27 Oct 2021
      • 4 Likes
      • O'Don cautiouslyPessimistic emily
      1 reply 0 retweets 4 likes
        1. New conversation
        1. Scott Brown‏ @leakyalpha Oct 27
          Replying to @HideNotSlide @theemilyaccount

          What is CQ?

          1 reply 0 retweets 0 likes
        2. charlie‏ @ground_chuck7 Oct 27
          Replying to @leakyalpha @HideNotSlide @theemilyaccount

          Consolidated quotation or something like that. Basically consolidates the other books of the exchanges and the mechanisms to determine where orders go

          0 replies 0 retweets 1 like
          3. End of conversation

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