Interview with Paul Rotter – aka "the Eurex Flipper" here. Back on F05 it was already point of discussion the algorithms provided by deep pockets for systematic trading in the order books.
One can use this scalper approach towards options on commodity futures.
I must admit, that back then I had absolutely no idea that there was something like ‘risk-management’.
you are known as a order book-scalper, could you please explaining to our readers what you are doing and what your strategies look like? what is your tactic?
a: it’s some kind of market making where you place buy and sell orders simultaneously, making very short-term trading decisions b/c of certain events in the order book (level2). for example, I usually have lots of orders in different markets at the same time, pretty close to the last traded price. the resulting trades are usually a zero sum game, but I get a pretty good feeling for what is going on and then ultimately can make a decision for a larger trade.