Bizarre robot traders
- Thread starter mindtrade
- Start date
There are two obvious possibilities:
a) These are patterns that arise as a result of software that is being tested. Not likely but very possible.
b) They are trying to play time/price priority, but compromise between leaving an order in the market too long and all the risk it entails, and the advantage gotten from getting a fill there on sweeps of the book.
I have read extensively on this and no one has hit on two other possibilites.
a) These huge data bursts are meant to overwhelm other computers so that the barriers to entry are kept high from would be competitors, or alternatively, scared off.
b) It could be a form of messaging system that subtly messages/advertises to other firms. It could be either honest, or illegal but impossible to prove collusion (in whatever the message encodes). The data itself becomes a program.
But by far the most likely scenario is that these are programs that serve as "market data ping times". Imagine that you needed to check the health of the matching engines, etc. You pull your quotes if say the engines start to lag by a certain amount. You write a simple pattern, timestamp, pump that into the market, and then have the program recognize the pattern coming out the market data, timestamp again, and then do the subtraction. You now have something far more reliable then ping to see how busy the market is, end-to-end. This could even be used as a trading system.
a) These are patterns that arise as a result of software that is being tested. Not likely but very possible.
b) They are trying to play time/price priority, but compromise between leaving an order in the market too long and all the risk it entails, and the advantage gotten from getting a fill there on sweeps of the book.
I have read extensively on this and no one has hit on two other possibilites.
a) These huge data bursts are meant to overwhelm other computers so that the barriers to entry are kept high from would be competitors, or alternatively, scared off.
b) It could be a form of messaging system that subtly messages/advertises to other firms. It could be either honest, or illegal but impossible to prove collusion (in whatever the message encodes). The data itself becomes a program.
But by far the most likely scenario is that these are programs that serve as "market data ping times". Imagine that you needed to check the health of the matching engines, etc. You pull your quotes if say the engines start to lag by a certain amount. You write a simple pattern, timestamp, pump that into the market, and then have the program recognize the pattern coming out the market data, timestamp again, and then do the subtraction. You now have something far more reliable then ping to see how busy the market is, end-to-end. This could even be used as a trading system.
5k quotes a second to test for ping times on multiple issues market wide? don't think so.