2500. You'd have to click twice.
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An Order Cancellation Tax on HFT Would Curtail Deceptive Quoting
- Thread starter ASusilovic
- Start date
2500. You'd have to click twice.
Quote from ASusilovic:
The prevalence of disingenuous quoting on the visible book is extremely high and we propose an order cancellation tax to remedy this detriment to the financial markets. While most retail investors probably have little concept of what high frequency trading is or its impacts, active equity traders have seen its pronounced imprint on the markets.
I prefer no taxes on trading.
I recommend that all orders submitted (market, limit) be uncancellable for 5 seconds. After an order is live for 5 seconds, you can cancel it.
Quote from MGB:
I recommend that all orders submitted (market, limit) be uncancellable for 5 seconds. After an order is live for 5 seconds, you can cancel it.
Presumably market orders are filled instantly. As to limits, a restriction of 0.05 seconds would be plenty to shut down the high-frequency shops (not that I agree that's meritorious).
Quote from ASusilovic:
In this very moment I am observing a deceptive quoting order at bid 1167.75 for 4300 lots in Mini S&P June, now dissapearing "only" bid 368. What a difference...And this bullsh.t is observable 22,5 hours every single day.
Noticed the same thing around 11:58, flashing size on 66.50 bid or 1 tick below bid. For a couple seconds there, 6000 resting orders, abnormal for time of day/previous price action/s&r level. Guessing it was a 'flipper' strategy, flashing the bid size there to temporarily halt the break of the level while accumulating a short position.
The HFT game will place and cancel orders based on an algo.
It is an insane to suggest making offers to buy or sell should be a taxable transaction. Placing time constraints is also a unreasonable request.
Imagine being taxed on making an offer to buy or list selling your house, your car or any other tangible asset.
Outside of ES and maybe a handful of very liquid futures. over 80% of the published National Best Bid Offers (ie. price ticks) are independent of any new trade.
Charge taxes on quotes and thinly traded instruments like M6A would only have 20 ticks in an entire session. All volume would flow to a handful of instruments and illiquid will achieve a new meaning in a hurry. Market makers won't play without an exemption and even then the spreads will be insane.
A transactional tax collected directly from the exchange similar to taxes on booze paid by the distributor and not the bar would work if reasonable. Whether the exchange fees are 2.00 or 2.10 makes little difference but if the govt is taxing and requiring all trades be visible the dark transactions would likely cease.
This of course would open up all sorts of legal issues as people have the right to enter contracts and agreements with who they choose.
It is an insane to suggest making offers to buy or sell should be a taxable transaction. Placing time constraints is also a unreasonable request.
Imagine being taxed on making an offer to buy or list selling your house, your car or any other tangible asset.
Outside of ES and maybe a handful of very liquid futures. over 80% of the published National Best Bid Offers (ie. price ticks) are independent of any new trade.
Charge taxes on quotes and thinly traded instruments like M6A would only have 20 ticks in an entire session. All volume would flow to a handful of instruments and illiquid will achieve a new meaning in a hurry. Market makers won't play without an exemption and even then the spreads will be insane.
A transactional tax collected directly from the exchange similar to taxes on booze paid by the distributor and not the bar would work if reasonable. Whether the exchange fees are 2.00 or 2.10 makes little difference but if the govt is taxing and requiring all trades be visible the dark transactions would likely cease.
This of course would open up all sorts of legal issues as people have the right to enter contracts and agreements with who they choose.