[MrMan]

I viewed the order book not as an oracle of the "real" price but as a multi-armed bandit which would spit out fills in a semi-stochastic fashion. my goal was to get the best fills, not to find the correct price. the best heuristic I found was a weighted liquidity provisioning scheme where I always entered one passive order and then followed up with an aggressive order after a certain period of time. you want to get in the queue so entering the passive order early is an advantage on some order books.

entering passive orders wasn't spoofing, but I was constantly cancelling orders. the difference between me and someone malicious was probably the frequency of my orders and how far from the midpoint they were - not vey frequent, and not very far. so its not a bright line.