Education For HFT

Quote from Occam:

These issues, while undesirable and (I'd say) in need of remedy in the US, have little to do with the relative use of HFT in other countries. The notion that HFT is only about unfair manipulation is generally an excuse used to justify failure to compete in an ever-more competitive market, hence the disproportionate coverage on EliteTrader.

That said, quote stuffing and fragmentation are issues that really do need to be addressed, e.g. perhaps by charging a very small amount per placed order, although determining that charge could be a can of worms in itself as the price for this would have to be very small ($.001/order? less? more? no idea) to avoid significantly increasing the cost of trading highly liquid names such as AAPL. (Such a charge would be very bad if were paid to the government, as it would easily became a backdoor FTT (and would easily be increased and grind liquidity to a halt), so I'd say it would have to be income for the exchanges used to offset the existing maker/taker or taker/maker pricing structures. I think it would also be very bad if it applied to some traders but not to others.) Another suggestion is to have a minimum time per order, say 1 second, but I really don't know how long this should be, either, as I am not in the HFT business myself.

But anyways, there is actually a lot of HFT in Europe -- e.g., Dutch Optiver is not only one of the largest HFT firms in Europe, but also one of the most significant in the USA.
More...

I think HFT should be expanded. I don't see the problem with lots of cancels. The fundamental issue in markets is reacting to information. Whether it's news or book structure or flow or what have you. Crippling some participants doesn't do you any good, and the market will just optimize itself around that and someone else will just complain.
 
I wonder how much of the quote stuffing would go away if one of two things happened:

1) Don't allow the cancel to an order in the same packet/message as and actual order.
2) Fine. Allow the cancel and the order in the same packet/message, but charge extravagantly just for these.

A great deal of the bullshit are orders that are canceled instantly without ever leaving the server (but they generate data traffic both in and out of the server as I understand it anyway.) I don't see anything wrong with the idea or theory of HFT. I do have a huge problem with using the rules to gain non-market-economic advantages and to generally make a nuisance of yourself.
 
does anyone actually know a firm that does quote stuffing? I have only read about it in the press which doesn't mean anything
 
Quote from clearinghouse:

I think HFT should be expanded. I don't see the problem with lots of cancels. The fundamental issue in markets is reacting to information. Whether it's news or book structure or flow or what have you. Crippling some participants doesn't do you any good, and the market will just optimize itself around that and someone else will just complain.
More...

i have no problem with expansion of anything,as long as it was controlled and regulated properly. and rules are roughly equal for all participants. right now even SEC themselves are admitting, that with so many trading venues-it is impossible for them to regulate anything.
anything at all! great job..
this is the place,where regulation is needed, in order to provide fairness and transparency and this is the place where i see less and less of that every single day. PDT,NMS and other nameless rules -none of them did any good for regular joe. they either useless by default(PDT,crippling participants big time) or filled with so many exemptions that they make them useless(rule 611,trade through for example). all we need is 1(one) orderly,highly regulated market for each type of security,2-3 basic types of orders and that's about it.
 
Quote from rosy2:

does anyone actually know a firm that does quote stuffing? I have only read about it in the press which doesn't mean anything
More...

beside the stuffing there is a lot of pure BS is going on. you see 1000 shares at bid,staying there for minutes, no one else is out there.. you trying to sell 500-filled with 50 shares and bid moved lower (depends on liquidity and depth) by couple pennies or couple %. i said this many times before -happens to me every single day, all day long.
you trying to sell at ask-placed 100 shares sell order best price- right away you will see 10K shares at same price. you move your order away or cancel-10K order disappears. BS BS and more BS every single day. i know what everybody going to say-adapt..yeah..
 
Quote from rosy2:

does anyone actually know a firm that does quote stuffing? I have only read about it in the press which doesn't mean anything
More...

If they were, I doubt they would divulge it. On the other hand, it is a publicly known fact that at least one HFT firm engaged in intentionally manipulative tactics that were illegal.

Not that I have anything against HFT at all; just that I wouldn't immediately dismiss the nanex hypothesis/evidence as crackpot conspiracy theories, just because no firm publicly admits it. There have been other legitimate explanations put forward by others as well, but no substantial evidence either way.
 
Quote from nitro:

I wonder how much of the quote stuffing would go away if one of two things happened:

1) Don't allow the cancel to an order in the same packet/message as and actual order.
2) Fine. Allow the cancel and the order in the same packet/message, but charge extravagantly just for these.

A great deal of the bullshit are orders that are canceled instantly without ever leaving the server (but they generate data traffic both in and out of the server as I understand it anyway.) I don't see anything wrong with the idea or theory of HFT. I do have a huge problem with using the rules to gain non-market-economic advantages and to generally make a nuisance of yourself.
More...

Re #1: How do you do simulated IOCs then?
Re #2: Why? I want a fill or I want out.
 
Quote from Bob111:

i have no problem with expansion of anything,as long as it was controlled and regulated properly. and rules are roughly equal for all participants. right now even SEC themselves are admitting, that with so many trading venues-it is impossible for them to regulate anything.
anything at all! great job..
this is the place,where regulation is needed, in order to provide fairness and transparency and this is the place where i see less and less of that every single day. PDT,NMS and other nameless rules -none of them did any good for regular joe. they either useless by default(PDT,crippling participants big time) or filled with so many exemptions that they make them useless(rule 611,trade through for example). all we need is 1(one) orderly,highly regulated market for each type of security,2-3 basic types of orders and that's about it.
More...

My only (mild) gripe is with broker dealer internalization, especially on retail accounts.
 
Quote from dtrader98:

If they were, I doubt they would divulge it. On the other hand, it is a publicly known fact that at least one HFT firm engaged in intentionally manipulative tactics that were illegal.

Not that I have anything against HFT at all; just that I wouldn't immediately dismiss the nanex hypothesis/evidence as crackpot conspiracy theories, just because no firm publicly admits it. There have been other legitimate explanations put forward by others as well, but no substantial evidence either way.
More...

No one ever defines manipulative in any of these threads. Care to comment on what exactly these practices are?
 
You must log in or register to reply here.
Back
Top