Re: Does not compute...
"Layering" refers to putting up multiple sell orders above (or buy orders below) market as far as I understand. Just one order above market might not look to strange to HFT algos (or perhaps even other traders) but multiple ones from ostensibly different market participants can appear to indicate that the market will move in a different direction. e.g. (in a very simple market)
Market before layering:
10000 sell orders at 100 and 20000 buy orders at 101
Usually you would expect new trades to settle between the two prices.
Market after layering:
10000 sell orders at 100 and 20000 buy orders at 101
20000 sell orders at 101.1
15000 sell orders at 101.2
5000 sell orders at 101.3
The algos \ traders originally trying to buy at 101 could then adjust their prices upwards (maybe to 101.1) to take into account this new information from the additional sell orders. I think the part about the "fake" orders being large in relation to the "actual" orders on the market is important here because that might potentially fool algos. Not sure this strategy will work against an actual person on the other side of the trade.
That's just speculation though - the actual strategy was probably a lot more complicated.
Biting the hand that feeds IT
