Search results

Yep.. nothing unusual about this. Anyone making a market during an exchange screw up is exposed. Annoyingly, the exchange will probably bust some trades, redistributing the already booked P&L. New winners and losers. Hey 3770 - you see resistance somewhere? What's that about?

For completeness .. any insiders care to name a few hedge funds, or HFTs that use TA?

Same experience here. Looked like thee would be a few bucks in quoting back months against the front .. Turns out not so much, after fines.

Yep.. Catch 22 for VWAP / IS etc algo execution strategies. If they see you coming slowly they cancel & you slip. If you want to get it done all at once you, you slip. Liquidity ain't free :)

They can still be hit with big market orders. No way anyone quoting / cancelling can avoid that.

Already there on CME products - as fines.

+1 All you have to do is skew the target / stop loss to change the win rate. And of course, this skews the *size* of the profit / loss inversely. Net net nothing.

The technology at many exchanges is not as state-of-the-art as some people thing.. Better tech guys end up in banks / hedge funds, exchanges won't / don't pay up for them.

Have "they" blamed HFT yet?

Well .. instead of liquidity that disappears, there just won't be any there. Got volatility?

Possible to replicate with an index future, based on the market cap of the halted stock, and your ability to short all the others :p

I'd be querying what your strategy's holding period will be, if you're using such a long time series .. then look at corporate actions, if you still have to.

Gold has in intrinsic value? :confused:

If you inverted a market making system on an instrument that had a *very fine* tick increment, that could be plausible, I think. So long as it was buying/selling a lot of the liquidity, and exhausting the other market makers. <evil grin>.

It comes from anyone who has worked inside a brokerage, but is no longer talking their book. The numbers vary for different products.. Small forex / CFD / spread bet accounts probably being the worst of the worst. Bucket shop products for unwashed non-descripts.

Looking forward to it, but got to ask whether you had expected both ends to work out?

If you can't think through a concise execution strategy, it's not my problem. Some people see it, some don't. Feel free to complain and whine all you want about apparently important grunt code. No one cares, or has time for that. Maybe you're posting from a tech sweat shop in India, which...

I think I'm done with this. "amazing", you don't seem like much of a people person, nor someone who's particularly intellectually curious. If someone said to me, that they could fit a basket trading algo into a couple of hundred lines of code, I'd be asking questions, rather than...

Well that's not very nice. The tools mentioned are important, yes, but surely you realize most of that is far far away from a trading desk these days. Every i-bank has pretty reliable DMA, and the algo desks tend to just use it (as an agency customer would), without having to be involved...

Yeah, that was a while ago. No kiss up there mate, and I didn't get anything useful from it. I gave and did not receive, but no hard feelings. Well it was my bread and butter for a while, professionally. Tougher game now, especially for an individual. Everyone's pretty fast. Most of the...