CME Loophole that benefits HFT traders: WSJ Article

The big firms simply used their money to buy PhD's to create algorithms, buy stupid fast computers, put computers wherever, have almost 0 latency, and destroy the small guy....

on a chart, it looks like you can buy the breakout from 25.01 to 25.99....but in reality, you would get filled at 25.88. LOL.

go ahead and sue......I would.

bottom line....99% of traders will get screwed and they can do nothing.....so reload the account today!!!

only morons try to compete with goldman....you will lose!!!!!

margin call!!!!

now get out there and do something nobody ever thought of doing!!!

do a trade nobody even thought of doing!!!!

put on a big position before the big boys know about it!!!

lol
 
CME Group reponds to WSJ article
CME Group released the following statement in response to today's Wall Street Journal article:

"While there can be instances of inconsistencies with any technology, CME Group is continually making improvements to our trading platform to increase efficiencies, including variability between the time a firm or customer receives its trade confirmation and it appears on the public data feed. Out of the more than 300 million messages that come into our platform each day, there may be times when customers can experience a latency of a few milliseconds between the time they receive their trade confirmations and when that information is accessible on the public feed. However, these instances are not consistent and vary across asset classes. At CME Group, our goal is to bring variability as close to zero as possible and we have made significant steps to address latencies related to trade confirmations. At the end of last year, we strengthened the overall performance of our CME Globex trading platform by reducing order response times and limiting variability within and across asset classes. In the first quarter of 2013, we upgraded our match-engine hardware. Through the remainder of this year, we will be implementing additional hardware, software and architectural upgrades – all designed to further reduce potential discrepancies in processing times, make the overall system performance more predictable, and enhance the CME Globex trading experience for our customers."
 
HFT dudes are fast approaching my personal 'most hated list', vying to take their place among the Islamaniacs, politicians, frivolous lawsuit industry professionals, racists, and narcs...
 
Seriously, how can they possibly consider this news. Of course market data messages are slower than trade notification messages. Not even going over the same network.

For every fill, the CME calculates the counterparties then notifies them of the fills individually then adjusts the market data then disseminates it. Of course that takes time, and of course people act as soon as they get their fill notice and before the market data gets disseminated.

This has zero impact on retail traders. Even if you implemented a crazy algorithm that said If(trader == retail) then latency -= 10ms absolutely nothing would change. It's just a way for faster, smarter HFT to abuse slower, dumber HFT.
 
Quote from gmst:

can you post the full article. don't have subscription so can't read.
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Every WSJ article is available for free. At least, I haven't found one that isn't. All you have to do is paste the title into Google and click on the link. takes you right to a free version.
 
Quote from MAESTRO:

There is another side to it that everyone seems missing. This very anomaly could be reliably exploited by the "slower" traders using the knowledge that there are HFT algos out there that target price micro-momentums. I am surprised that nobody sees it. I have been preaching it for quite some time now. It is so easy to harvest!
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i'm too lazy to dig through my posts,but i did post my observations regarding this particular play while ago. you are correct and that's why i have nothing against it. cause anyone can play it(assuming he can get filled) :)

i'm not going to get into details,but sometimes it even visible,no complicated soft required. you can see it and feel it.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=219996&perpage=6&pagenumber=28
 
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