Cancel and Resubmit instead of Modify - Predator algos  [SOLVED]

Hi,

As some of you may be aware, CME last year rolled out their "market by order" data feed. Eurex and ICE have had something similar in place for a few years now. Quants typically refer to these datafeeds as level 3 data.

It is advisable to google and read up on what information is broadcast across the public data feeds for various exchanges as it will help MC users maintain a minimal profile in the markets (if that is your goal).

In a nutshell; when you modify an order (change size or improve/worsen price) level 3 exploiting algos can track you. To give a worse case scenario:

You have a medium to large bid working (might not even appear significant on level 2) at the same price for several hours. You finally get traded, but only a tiny partfill. You wait a few minutes. Then you drag your order up (modify the price). It almost trades you but then skips away again! So you drag you order up again. Guess what, same thing happens. Finally you do get filled but at a much worse price than intended. Just to rub salt in the wound, price immediately starts trading lower, almost as if that partfill and ramp was just for your benefit!

This is not an uncommon experience for day traders. There are some actions that flagged you to the predators:

1) Size and age of order (and time at one price- ie you are clearly a lesser sophisticated outright trader vs a HFT Stat arb algo).
2) Partfill - combined with "1)" there is a significant chance that you can be "towed along" and exploited.
3) Modifying orders, improving price - combined with 1) and 2) you are clearly being towed along and represent an order worth "leaning against".

My question:

How do we opt to cancel and resubmit orders instead of modifying them in the event that they need modifying? I would speculate that this action would single-handedly help block being tracked.

Would it be something like:

[IntrabarOrderGeneration = true]
if barstatus(1)=2 the begin
{First cancel orders if they need to be improved on the last tick of bar}
if IMPROVEMENT=TRUE{condition that requires us to improve limit price} then
#return
else
REST OF SIGNAL CODE;

Would the above code work? If so, can I simply paste it into an otherwise non IOG enabled signal?

Thanks!

Hello,

You should be able to achieve what you described if you use IMPROVEMENT parameter in the code properly.