Comment Re:Won't work (Score 1) 342
Your method is designed to let an unethical criminal who happens to spend a lot of money to create a HFT trading platform get to create a new kind of order that has the advantages of both a market order AND a limit order. He is NOT entitled to that liquidity. He traded it away in order to get the better price.
And that advantage is ONLY available to wealthy unethical criminals that have access to HFT. (note I am not saying that all HFT are unethical criminals, just that some of them are.).
What I am saying is that if you want the liquidity fine, you have to pay the price of liquidity - a lack of control over price. If you want control over price, you have
Markets are by law AND by theory supposed to be fair. It is not ethical, nor right to let the wealthy people and ONLY the wealthy people get a certain kind of special order type that grants both liquidity and also guaranteed price.
In my example if the guy is not willing to offer 500,000 shares total at that price, then he doesn't have to. It was perfectly legal for him to offer 20,000 shares at 35.2 on 5 different markets.
I am not taking advantage of the HFT - he is taking advantage of me. He SOLD his liquidity to get the slightly better price, he is NOT allowed to sneakily steal that liquidity back after he sold it.
I bought liquidity that he offered for sale. that is MY profit, not his to steal back.