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1) Very. Every HFT firm probably trades them in some manner. If not directly, they at least use it to price other markets. 2) All sorts. - Market-making i.e. trying to capture bid/ask - Liquidity-removing: Capturing small momentum moves. - Spreading. Trading ES vs. any combination of other...

That just shows how quote updates propagate from each equities exchange to others. Notice that each time an exchange's quote changes, it sends out a packet to each of the other exchanges. Then the box at the bottom maintains an updated snapshot of the best bid and offer available amongst all the...

I don't think I have any good advice for home traders to improve execution, and not particularly for less liquid equities since I have very little experience with them. Any execution improvements that I can think of really require advanced infrastructure. My best advice is to agree with...

- Single product scalping: Working the bid and offer in a product and trying to capture the bid/ask spread - Inter-exchange arbitrage: Buying and selling the same product across multiple exchanges (equities, fx, etc). - Futures vs. spot basis spread trading. ES vs. SPY, EURUSD vs. 6E, etc. -...

That's a good question. I don't know for certain, though I'm sure they'll tell you if you ring them up. CME in particular is very good at being transparent about their matching process. I would put money on this sequence of events: 1) Market trades at your trigger price. 2) Your order...

I can't answer this, nor can anyone really. My opinion would be that the old, predictable intra-day repeating patterns were inefficiencies that have been eliminated (hence they're 'old') by smarter (because they were 'predictable'), faster ('intra-day' and lower timeframes) traders (HFT's +...

Lots of possible scenarios here. Depending on the details you can eliminate one or another. Whether you submit to your broker or ARCA, you're at the mercy of their "Smart" order routing system. One easy scenario, some crappy exchange like CHX has an offer hanging at an ask price that's equal...

This kind of classification aggravates me. This is not front-running. If you're willing to put out risk by resting an order in the market, you get paid for that risk by receiving your fill before the trade is reported in the public pricefeed. Makes perfect sense to me, and this is standard...

A typical ratio for non-equities trading (equities trading is quite different due to rebates) might be something like 90% scratches, 8% winners, 2% losers. Expected profit on the order of 1/10 tick per contract traded overall. "Algorithmic trading" is beyond the scope of my expertise, but...

Got some time to kill this weekend. I've been working in HFT for the last 7 years. Futures, FX, some equities, mainly market-making. I've always been curious about supposed front-running allegations and other myths that are assumed/spread by people outside the industry. So... I'm not here to...