Hi Kiks,

What you are describing is legit. There is nothing wrong with strategically canceling orders, or submitting multiple orders to gain optimal position in the queue. I think quote stuffing honestly comes into play more in the cases of equities where 2 or more exchanges have the same stock. Predatory HFT players send tens of thousands of messages over just to try to slow the server down so they can arb against it.

With a single exchange such as the CME, there is no real equivalent arb... Maybe spy etf, but that is a stretch to thing anyone could pull that off. Anyway, the only real thing to watch out for is your messaging limit. You get something like 20,000 per day for free before they check you... Then they measure your fill rate against your messages. You may already know this but here is a tip I learned. A cancel counts as 3 points but a price mod counts as 1. A bit more of a PITA to do price mods on the spot vs. cancels, but if you can figure out some logic for this it will save you a ton towards your messaging limit.

It sounds like you and I may be playing in the same space a little.

Best of luck!

Ian

Thanks Ian.

I am far from reaching that messaging limit.
Is that messaging limit of 20000 per symbol/day or per trading account?

I'm trading only ES. Planning to add CL in six months.

I believe it is per account per day. Here is the info in case you ever reach that scale....

https://www.cmegroup.com/globex/files/revisedmep.pdf?redirect=/globex/files/CMEMessagingProgram.pdf

Ian

I place 4 limit orders at 1 tick apart. With different lot sizes.
It works for me.
They are placed one after the other in less than 1 millisecond total.
If they stray too far from current price, my software just removes them.

This is not quote stuffing. Quote stuffing is frowned upon if you remove your orders as the BEST BID & OFFER moves closer. It is the other way around for my limit orders. My orders love to get hit.

No one knows if they are my entry or exit.
If they get fulfilled, it is better for me.
My average price will be much lower.

Let the whole world see those orders on the DOM.

I hope more brokers offer metatrader 5 (not just AMP Futures) so I could run my robots on different accounts.