Spoofing simulator
This simulator shows why spoofing works and why it is only worth doing at scale. Place a large bid you never intend to execute, watch the mid price drift toward it as book imbalance shifts, sell your small genuine order into the improvement, then cancel. Each cycle earns one tick.
What the simulator is showing
The book starts balanced: roughly equal resting size on each side, a mid price of 50.00, and a one-tick spread. You hold a genuine sell order for 200 contracts that you want filled at the best price you can get.
When you place a large bid, two things happen. Displayed depth on the bid side jumps, and the ratio of bid size to ask size — the book imbalance — shifts sharply. The simulator models the market's response to that imbalance the way a simple market-making algorithm would: as apparent demand rises, the quoted price is shaded upward to avoid selling into buying pressure.
That upward drift is the entire product. Your genuine sell order fills a tick higher than it otherwise would have. Then you cancel the large bid, and the book returns to where it started.
Why the profit per cycle is so small
A tick on 200 contracts, at $100 per point and a 0.01 tick, is $200. That is the whole gain from an episode involving thousands of contracts of displayed size. The strategy is only economic because it can be repeated hundreds of times a day at machine speed.
That repetition is also what makes it detectable. A single cancelled order proves nothing — most orders in electronic markets are cancelled, and legitimate market makers cancel constantly. Ten thousand cancellations with a median lifetime of a few hundred milliseconds, systematically preceding fills on the opposite side, is a statistical pattern that has no innocent explanation. The simulator's running counters make that relationship visible: watch the order-to-trade ratio climb as you repeat the cycle.
What the simulator simplifies
- A real book has many participants responding at different speeds with different models. This one has a single deterministic response function.
- Real spoofing carries genuine risk: the large order can be hit before it is cancelled, and the loss when that happens is far larger than the gain from a successful cycle.
- There are no fees, no queue position, and no latency. All three matter a great deal in practice.
- Nothing here reflects any actual venue's matching rules.
It is a teaching model of a mechanic, not a trading tool, and it deliberately omits the detail that would make it one.
The legal position in one paragraph
Placing an order with the intention to cancel it before execution is prohibited outright in US futures markets by 7 U.S.C. § 6c(a)(5)(C), and reached in securities markets through the general anti-manipulation and antifraud provisions. The offence is complete at placement and does not require that the price moved or that anyone lost money. Cancelling orders is not the offence; placing them insincerely is.