hard · Market Microstructure hft
A quantitative analyst is monitoring a Limit Order Book (LOB) for XYZ where the NBBO is 100.00 /100.02. A series of sell-side orders totaling 50,000 shares is placed at 100.03, then canceled 150 microseconds later, while the trader simultaneously executes a 5,000-share buy order at100.02.
Which microstructural metric combination most definitively identifies this as a 'spoofing' footprint rather than genuine liquidity provision?
- The consistent use of All-or-None (AON) instructions attached to the 50,000-share sell orders.
- Elevated realized spreads earned by market makers who post liquidity at the $100.00 bid.
- A high order-to-trade ratio combined with asymmetric, fleeting depth on the side opposite the executed trade.
- A low order-to-trade ratio paired with symmetric, evenly distributed cancellation rates on both the bid and ask sides.
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