I am looking to create a simple extension to the pure_market_making strategy to enable skewed order placement on fill. I am only considering the single bid/ask case for now.
On fills of bid orders I want to cancel-replace the corresponding ask order with a slightly lower price. On fills of ask orders I want to cancel-replace the corresponding bid order with a slightly higher price. Is it possible to bypass the c_tick to place orders independently of it? If yes, what are important points to consider in terms of timing/order queueing and so on?