Recent content by hft

Decimation changed market dynamics quite a bit, though I think the end result (bid/ask spread and liquidity) is negligible now that they're back in half-ticks instead of tenth-ticks. Their volume tanked quite a bit after the tenth-tick changes, but have come back decently after the move back to...

Thinking back, I probably mis-construed it, but I use the term to refer to orders that hedge/offset a position. So if I get filled on the bid, a subsequent sell order that I enter is my "offset" order.

Futures trading consolidation isn't due to regulation. For example, you can trade currency futures on CME as well as ICE and others, but people naturally choose to trade at CME, making the network/distance issues moot as compared to equities. It makes trading quite simpler. There are other...

This was in reference to quoting directly to big banks (GS/JPM/etc) through an ECN like Currenex. The bank would get my feed as a stand-alone endpoint to trade against.

Yeah that's pretty common. Try to get in front of the line, if you don't like your fill then just flatten at the same price you were just filled at.

It's almost always a combination of both ML and human-driven adjustments ("gray box"). Never truly static - the only static parameters are really defining the manner in which the ML system trains and adjusts. Some are truly black box and ML only, but that probably sounds more complex than it...

Not personally, though I'm not as heavily into the pure quant-driven side of HFT.

Fully agree, about both the taxes and equity market fragmentation. Bid/ask spreads would actually probably get smaller since MM'ers would have way less overhead, both in hard costs and manpower. Centralization would be great if it happened naturally, like how *most* futures trading is primarily...

I've actually been requested to make wider, "more hittable" quotes on some exchanges (think FX with last-look). Retail traders complained to the exchange that they could never hit my quotes. So I widened out my quotes to accommodate the change. Can you guess what happened next? The retail...

One more note I'd add that is very very important that most people leave out, intentionally or not. When HFT "sees a print", everyone subscribing to that pricefeed sees the print at exactly the same time, on the public (more or less, as long as you're subscribing to the relatively inexpensive...

Non-public is the key word here. People miss a key point about "non-public order info". In the 60 minutes example, they stated that HFT firms were using other firms' order info as a signal to trade at other markets. They conveniently left out the fact that the order info is in fact public...

I don't know of a clear-cut way to do it. One possibility would be to look into situations where the market ticks towards a round number with strong size on it, and you see unexpected large number of trades that print at that size (i.e. mkt was 1.01 x 1.02, then downticks to 1000@1.01 x 10@1.02...

1) Yes I care about Q Spot. Queue position is a signal in and of itself. 2) Arbitrarily pick a spread to ask for, adjust it up if you're getting picked off, down if you're not getting fills, and yes it adjusts with market conditions. 3) Many times I do take liquidity to scratch trades. No, I...

I read the intro section. Makes sense. Their conclusion is: "...adoption of any specific metric for order flow toxicity should be contingent on satisfactory performance relative to suitable benchmarks" Duh. VPIN is just a fancy name given to a certain method of aggregating trade...

I don't use 'VPIN' strictly as it's defined in some articles, but yes I use Last Trade information from the exchange to formulate a short-term imbalance signal, in the neighborhood of 30 seconds. An edge condition might be a huge single trade that comes through that skews your imbalance signal...