1. Your order can legally be “front run” by the lead or designated market maker who receives priority trade matching, bypassing the normal FIFO queue. Not all exchanges do this.
2. Market impact. Other participants will cancel their order, or increase their order size, based on your new order. And yes, the algos do care about your little 1 lot order.
Also if you improve the price (“fill the gap”), your single 1 qty order can cause 100 other people to follow you. This does not happen in paper trading.
Source: HFT quant
> And yes, the algos do care about your little 1 lot order.
I'm just your usual "corrupted nerd" geek with some mathematics and computer security background interests - 2 questions if I may 1. what's like the most interesting paper you have read recently or unrelated thing you are interested in at the moment? 2. " And yes, the algos do care about your little 1 lot order." How would one see this effect you mentioned - like it seems wildly anomalous, how would go about finding this effect assuming maximum mental venturesomeness, a tiny $100 and too much time?
Where did I say “retail trader”?
Because “institutional” low-latency market makers trade 1 lot all the time.
There's quite a lot of other game playing going on also.
> Because “institutional” low-latency market makers trade 1 lot all the time.
That sentence alone tells me that you're a LARPer.
Unless you're thinking of some obscure exchange in a tiny market, this is just untrue in the U.S., Europe, Canada, and APAC. There are no exchanges where market makers get any kind of priority to bypass the FIFO queue.
cope.
Equity options are sparse and have 1 order of 1 lot/qty per price. But usually empty. Too many prices and expiration dates.
US treasury bond cash futures (BrokerTec) are almost always 1 lot orders. Multiple orders per level though.
I could go on, but I’m busy as our team of 4’s algos are printing US$500k/hour today.
Nope, several large, active, and liquid markets in the US.
Legally it’s not named “bypass the FIFO queue”. That would be dumb.
In practice, it goes by politically correct names such as “designated market maker fill” or “institutional order prioritization” or “leveling round”.
I am getting the feeling you either are not actually a quant, or you were a quant and just misheard and confused a lot of things together, but one thing is for sure... your claim that market makers get some kind of priority fills is factually incorrect.