Previous we'd pick the midpoint price for an order, then wait a few seconds, and then pick the midpoint again. This can lead to less-than-ideal fills on illiquid dogs hit stocks/ETFs. Instead, we'll take the halfway point between the previous and updated midpoint, which should give us slightly less bad fills.
Additionally, we never want to switch a credit to a debit or vice versa, so check that the signs match before proceeding.
Previous we'd pick the midpoint price for an order, then wait a few seconds, and then pick the midpoint again. This can lead to less-than-ideal fills on illiquid dogs hit stocks/ETFs. Instead, we'll take the halfway point between the previous and updated midpoint, which should give us slightly less bad fills.
Additionally, we never want to switch a credit to a debit or vice versa, so check that the signs match before proceeding.