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Anadarko flash crash raises questions about market structure rules
- Thread starter OnClose
- Start date
I guess nobody has any answers?
What T&S provider do you use that shows the exchange where things are executed. Thanks.
Quote from the bouch:
Anybody get filled at those ridiculous prices? Looking at the T+S I see they were most likely impossible to get. Showing trades on THRD, NMS, PSE. Fills for sells but none for buys. For god sakes, do any trades happen on any normal exchanges anymore? What I don't get, is that Id always get busted on trades that were clearly out of the range. How is it possible that this thing trades a million prices in one second and gets cut in half and back, yet all the trades stand? Anyone noticing these third party exchanges dominating more than usual the last few weeks? Im getting my prices traded through constantly. Did they change a law or something recently? Does the SEC still exist????
The key to HFT is to limit decimalization to less than a certain number of digits.
Slowing down the speed limit will only make the system a categorical DOW machine from the 20's, and this is because the bottleneck order hangout is too great at any latency to enforce this curfew on the orders in terms of duration. That would not solve your problem of huge thumbs coming in, but the decimalization limit would.
I know because I studied the effect of this immediately after decimalization, and it has been taken to an extreme.
Were it not for the fact that the machines can now only handle one hundred thousand orders per second per symbol, the need for decimalization caps is such that the bandwidth is not catered to by large pay for performance users at the exchange.
So limiting order routing and re-routing (submission and re-submitall) through excessive time constraints will in no uncertain terms hurt the market, but limiting decimal count in transactions trading will do more to solve the downside volatility issue than any artificial speed limit ever could.
Slowing down the speed limit will only make the system a categorical DOW machine from the 20's, and this is because the bottleneck order hangout is too great at any latency to enforce this curfew on the orders in terms of duration. That would not solve your problem of huge thumbs coming in, but the decimalization limit would.
I know because I studied the effect of this immediately after decimalization, and it has been taken to an extreme.
Were it not for the fact that the machines can now only handle one hundred thousand orders per second per symbol, the need for decimalization caps is such that the bandwidth is not catered to by large pay for performance users at the exchange.
So limiting order routing and re-routing (submission and re-submitall) through excessive time constraints will in no uncertain terms hurt the market, but limiting decimal count in transactions trading will do more to solve the downside volatility issue than any artificial speed limit ever could.