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what you're measuring above is portfolio level market-risk/exposure and imo better dealt with at the portolfio level. not normally what comes to mind when people think of strategy independence. as other posters have mentioned, strategy independence is best measured by correlation of returns.

little more info... what was the reason given?

there are a lot of misconceptions in this thread, but the major one i see getting thrown around is that lack of transparency is the fault of hft's who through the use of 'hft tools', namely darkpools, obfuscate liquidity/activity. so, to clarify, a little history... darkpools came into...

no dark pools report to cboe for equities. they have 90 secs to print.

in equities, this is a non-issue even though they are paid there too. most all equity prop b/ds, and even a handful of retail b/d's, don't play this game. [B] you're being insanely hyperbolic and this is obviously false. 'NO equity trading company?'... come on man. 'moral' position on...

no, sorry, ioi's aren't just 'pre-arranged' trading by another name. the reason: pre-arranged trades involve zero competition. ioi's, however, can be competed for. you, me and 100 other guys making markets in those books can reject or fill that ioi as we see fit. once more than one person is...

when YOU send the order YOU are "flashing" it to the darkpool (assuming it accepts IOI's). the darkpool doesn't "flash" anything. it's a choice YOU MADE. when YOU route DARK, YOU are "flashing" an Indicator Of Interest (IOI) to any market makers in that pool. YOU are KNOWINGLY showing your...

i'm not lying or trying to fool anyone. i along with MANY hft firms don't knowingly front-run anything. you're still confused. iso's aren't being used inadvertently. they're specifically and knowingly used because they're the most efficient order type for making markets on a particular...

no it's not bullshit, this is actually happening, but ONLY if you route to a darkbook with IOI's. when you do that, you're basically agreeing to show your hand and give people the option of taking your trade or not. that some mm firms are using that info to pull their public quotes is definitely...

jerkstore, True. Though, you are making a case for market makers, rather than HFT's. i'm making a case for all short term trading. it all breaks down to the same thing. short term traders trade at the expense of long term traders at the cost of the spread but provide the valueable service of...

sure i can answer those questions no problem. they're a little unclear though, so i need you to clarify your questions so i can answer them more accurately. wrt to your first question... i don't know. did he route it to a dark pool where there is an IOI system in place? if he did route it to...

conveniently, you left out the part where they say the MAJORITY of this 'front running' is INADVERTENT. how exactly am i front running if i don't even know i'm stepping ahead with my pegged ISO? do you even know what a pegged order is? the fact of the matter is, you know NOTHING about the...

exactly, i don't really understand the basis for a lot of these arguments. if you think you're being front run routing to getco, then basic logic should tell you to... um, NOT ROUTE THERE. every broker i know of has the option of not routing out. every exchange has strategies that don't route...

bill, In that case 1/n does not do the job. His idea was to increase n for the same targets so that as n becomes large, 1/n tends to a small number and the objective function manifold in a way "flattens out". Besides, in the case of stocks and other assets or securities what you suggect...

any market, any market, where there is extreme doubt or risk will see a disappearance of liquidity. hft's are not required to bring this on. it happened in the real estate market, it happened in the swaps market, it happened in 87' and 29' when stock markets were traded manually. on may 6th...

i'm pretty sure i answered this question already, look a few pages back in this thread... maybe page 17/18. also, read page 17 of that pdf you linked to for a good example given by tradeworx.

i don't know about everyone else, but i don't talk about this because of banking...

in a market with no short term traders, you'd be paying spreads that are nowhere near a nickle. try hundreds of basis points (5% variance would not be unrealistic). a good example of what a market would look like without a large quantity of short term traders simply due to logistics is real...

only if the various n's trade the same products at the same times... otherwise, n can scale well without additional cost modeling. i don't think bd meant that as a far reaching robust solution... more as a general principle. which, of course, he was correct in asserting... while i'm sure...

this quote is pure bullshit. here's why: a market's VALUE is primarily based on its LIQUIDITY. why? because liquidity REDUCES the cost of trade with smaller bid/ask spreads and INCREASES potential PROFITABILITY by allowing the absorption of larger investments. but HOW does a market become...