Doug Colkitt - High Frequency Trading, MEV Strategies, and CrocSwap (S6E3)
Flirting with Models
How to Trade Faster Frequency Alphas
The hope is that when you get filled, the market will either stay flat or revert so that you could offload your position and not have to cross the spread to unload. It's actually at least in my experience in high frequency, whether you win or you lose is like really within the first hundred milliseconds of what happens. And similar to making, if I get filled and that immediate fill doesn't push through the entire level, usually that's a good trade. So it's almost instantaneous instead of this continuous.
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