Subject: Market makers can be scammed
From: Karl Evan Hallowell (hallowel@math.unc.edu)
Date: Fri Mar 10 2000 - 08:31:55 PST
I'm not sure of the exact algorithm you're using here, but I'm disturbed
that the market makers are throwing book (er... limit) orders that are a
lot larger than anything else out there. E.g., in the Bush claim, I see 90
and 72 as the size of the limit orders that the market maker has placed.
Nobody else has committed to a larger order than 20. Suppose I had
initially had the spread of the claim at 90-93 and everyone else was in on
it. We could scam your market maker big time. True it would be much, much
harder with larger numbers of traders, but I can see a tradition of
fooling bots developing. IMHO, your bots should start with small limit
order sizes and increase the order size as time progresses and more
traders enter the market.
On the other hand, they'll encourage early investment in claims! :-)
Karl H.
This archive was generated by hypermail 2b28critmail : Wed Aug 22 2001 - 05:25:00 PDT