I noticed some interesting behavior with my limit orders placed on various options. Very often I place an order which is a new best bid or offer. And my order is the only order at that price. Of course I can sit for a while (minutes) without getting filled.
But often if I cancel the order, and then immediately resubmit the order, I will get filled instantaneously. This is with no movement of the underlying in the mean time.
Can anyone explain this? If my order was sitting there for…