Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos

Stats › Intraday and market microstructure › A layering case

In the best documented layering case the regulator found no significant effect on the price

Large orders, cancelled unexecuted: 96.5%+96.5%Large orders, cancelled unexecutedLarge orders, fully executed: 0.1%+0.1%Large orders, fully executedSmall orders, cancelled unexecuted: 37.0%+37.0%Small orders, cancelled unexecutedSmall orders, fully executed: 44.5%+44.5%Small orders, fully executed

Brent crude futures on ICE Futures Europe, 6 September to 18 October 2011. Large orders are over 50 lots, small orders 10 to 20 lots. Across all orders, 88.5 per cent were cancelled with no execution and 9.7 per cent were fully executed. These are counts from an enforcement document and carry no significance statistic.

A 2013 final notice quantifies a layering pattern in oil futures: large orders cancelled unexecuted 96.5 per cent of the time against 44.5 per cent of small orders fully filled. The same notice states there was no significant impact on the price.

96.5%Large orders cancelled with no execution
44.5%Small orders fully executed
40 lots against 2Average large order size against the market average
USD 279,920Net profit over six weeks

Members only

The rest of this page is for members

Below this point there are 4 sections and 2 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.