‘HFT is killing the emini’ S&P, says Nanex

It's funny: when volatility decreases and the market grinds up it's HFTers fault, when volatility increases and the markets tank its HFTers fualt. Up, HFTers fault; Down, HFTers fualt; Flat HFTers fualt. No fill, HFTers fualt; bad fill, HFTers fault. Tight spread, HFTers fault; Lose spread, HFTers fault.

News flash: when markets get crazy, liquidity disappears. Look at the orderbook before and just after data releases and fed decisions. This isn't a new phenomenon.
 
IMO what we're seeing is the abondonment of equity markets by retail.

Without that inflow of active hopeful money, liquidity dries up, and all that's left are HFT bots raping each other for pennies. When things get chaotic, they stop doing it, and liquidity mirages.

The simplest solution to the HFT bots is to return to nickel spreads. That will kill 80%+ of it right there. The problem is it will also expose just how little liquidity there really is post-2000, post-2008, and that would freak out a lot of folks.
 
I think a better solution is to append a random amount of time, say between 100 and 200 ms, to every order that gets submitted. That way, the HFT algorithm will never know exactly if it will be able to step in front of another order.
 
Quote from Random.Capital:

IMO what we're seeing is the abondonment of equity markets by retail.

Without that inflow of active hopeful money, liquidity dries up, and all that's left are HFT bots raping each other for pennies. When things get chaotic, they stop doing it, and liquidity mirages.

The simplest solution to the HFT bots is to return to nickel spreads. That will kill 80%+ of it right there. The problem is it will also expose just how little liquidity there really is post-2000, post-2008, and that would freak out a lot of folks.
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Spot on, as usual. It's also a case of "live by the sword, die by the sword". The fact that regulators not only allow HFT to basically dominate the markets and push out "would be" liquidity creates an ever increasing number of "liquidity vacuums" (i.e. those times such as now and throughout much of 2008, early 2009) whereby they step aside and prices have to find "liquidity".

The market core has been hollowed out for years now, it's just that nobody really realizes it until true "price discovery" occurs.
 
I noticed this weeks ago and posted about it on twitter.

If you needed Nanex for this, you aint paying attn

Good article though, Ive been ranting against manipulators and tape painters for a decade. Finally, folks are catching on. Im always early.
 
Quote from Random.Capital:



The simplest solution to the HFT bots is to return to nickel spreads. That will kill 80%+ of it right there. The problem is it will also expose just how little liquidity there really is post-2000, post-2008, and that would freak out a lot of folks.
More...

Sad, but true.
 
Quote from stock777:

I noticed this weeks ago and posted about it on twitter.

If you needed Nanex for this, you aint paying attn

Good article though, Ive been ranting against manipulators and tape painters for a decade. Finally, folks are catching on. Im always early.
More...

I think it is your humility I like the most about you!
 
Quote from LeeD:

Or reduction in market depth size can be due to summer. People are on holidays.

Note the chart reflects data only since May. I wonder how it would compare to the same period last year.
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I don't think anyone is on vacation right now, lol.
 
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