Fighting the HFT algos... daytraders and floor traders vs. HFT traders
- Thread starter candletrader
- Start date
You are my favorite poster here...
But paying for access in terms of latency...
Is a huge revenue stream for exchanges...
So any free auto-peg thing...
Would lose every single race every time...
Against ANY Big Player paying $$$ for access.
And in terms of "illiquid stocks"...
You're not usually competing against Big Players...
Because low liquidity does not scale up to large Funds...
So latency is not a big issue...
And you're not fighting for pennies...
But more like laying back and capturing nickels.
Has anyone here had success with peg orders?
Every time I try it, I always get a bad fill.
I think that the problem is that peg orders are given lower priority at the exchange. So, yes, they will auto bump to match the NBO, but they will always be at the back of the queue for the price level.
A HFT can do the same thing with limit orders. The limit orders get higher priority and will get filled before yours even if your order was first.
Every time I try it, I always get a bad fill.
I think that the problem is that peg orders are given lower priority at the exchange. So, yes, they will auto bump to match the NBO, but they will always be at the back of the queue for the price level.
A HFT can do the same thing with limit orders. The limit orders get higher priority and will get filled before yours even if your order was first.
It seems to me like what is unfair is not algorithmic trading itself (after all, anyone can learn to program and come up with a strategy), but the fact that some are able to execute trades with less latency than the public could ever hope to achieve. The quality of the algorithm should be the edge, not the quality and location of the hardware.
Just brainstorming here, but perhaps the exchange itself should host all HFT collocation, and assign orders (or cancellations of orders) in a random sequence to all simultaneous requests (for example, on a change in price data). This way the public could write algorithms and expect identical latency to GS and others. Thoughts?
Just brainstorming here, but perhaps the exchange itself should host all HFT collocation, and assign orders (or cancellations of orders) in a random sequence to all simultaneous requests (for example, on a change in price data). This way the public could write algorithms and expect identical latency to GS and others. Thoughts?
i agree with you...
my point was the scope of algorithmic trading is huge and what people are supposing to be hft can be something as simple as the peg example i gave.
why does, 'the public' need to trade with low latency?
have you ever attempted to quantify latency costs? for you? for the public?
i'd recommend answering those questions first, before assessing fairness.
(hint: for 99% of traders and the public in general, it's not significant.)
I am a newbie....and I have a question...
Exchanges were built to bring in transparency....Dark Pools were subsequently built to circumvent that...
HFT has a cause, greater efficiency....but isn't submitting hundreds of thousands of orders just to find market pressure points or other algo reasons....a bit carrying it too far...
Aren't the toolsets created to bring in a few efficiencies, becoming our reasons to trade...
I mean, look at both the above examples....I am sure there are many others you guys can point out.....the road seems to be becoming the destination!!
Sanjay.
Exchanges were built to bring in transparency....Dark Pools were subsequently built to circumvent that...
HFT has a cause, greater efficiency....but isn't submitting hundreds of thousands of orders just to find market pressure points or other algo reasons....a bit carrying it too far...
Aren't the toolsets created to bring in a few efficiencies, becoming our reasons to trade...
I mean, look at both the above examples....I am sure there are many others you guys can point out.....the road seems to be becoming the destination!!
Sanjay.