On: 0+: A double digit Sharpe HFT strategy

[1retep]

Assuming you mean bid. If the the size is only 10 @ 8.03 and 1 @ 8.02 and 8.01, then if someone is looking to sell 100 at market price it will be a problem. The sell order will go through many levels after filling yours and it will all happen at the same time.

[drexlspivey → 1retep]

Apparently that doesn’t happen often enough to make the strategy unprofitable

[1retep → drexlspivey]

The point is that you can’t assume you can pull your order