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December 28, 2015 07:36
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Assumptions: | |
1. Bots like to trade at the same quantities each time. | |
Profitable trades can be identified from the ticker when correlated with this unique quantity. | |
2. Order id and timestamps are monotonically increasing. | |
Orders made at regular intervals provide a correspondence between timestamp ranges | |
and order id ranges. | |
3. The most profitable trader is the inside trader. | |
Givens: | |
1. Cancel-order provides the account number of the order owner. | |
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