If you are seeing a venue not meeting nbbo you have a whistleblower suit to make which have been quite lucrative.
When I was doing this for work the issues we ran into came down to a) making the orders hit the tape close enough to ensure similar priority b) the size of the orders changing execution depending on venue c) differences in performance per symbol.
This was in a place that was sending a fair amount of orders in. Even then given the above finding statistical relevance was hard.
When I was doing this for work the issues we ran into came down to a) making the orders hit the tape close enough to ensure similar priority b) the size of the orders changing execution depending on venue c) differences in performance per symbol.
This was in a place that was sending a fair amount of orders in. Even then given the above finding statistical relevance was hard.