[derrida]

Dear 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?

[tim333]

Retail speculator here. Re 2 it's often quite easy to demo on thinly traded markets - I'm more familiar with crypto. Say the spread is 81.00 buy, 81.03 sell. Put in a limit buy at 81.00 and watch someone/something immediately outbid you ate 81.01. In the short term that kind of thing is done by algorithms but there are humans behind it and doing it too.

There's quite a lot of other game playing going on also.

[KellyCriterion]

if you are targeting such "scales" you are highly speculative, that is something like 0.0xx% :-D Can you sleep well with this? :-))

[gosub100]

Even a 1 lot order could be the deciding factor for some algorithm that's calculating averages or other statistics. Especially for options books.

[ainiriand]

Sometimes the spread is really tight.