Fighting the HFT algos... daytraders and floor traders vs. HFT traders
- Thread starter candletrader
- Start date
There are two major classes of toolsets.
One deals with making money at a low velocity and the other deals with making high velocity money.
Here the discussion is a little clouded since most participants do not know how doing orders works for them.
As time has passed, decade by decade, high money velocity tooling has really improved.
The tooling for making money marginally is just fun to watch happen since these people are doing more and more to make less and less.
One thing has always ben true: programming to make money cannot be created by programmers. Programmers are just tool smiths.
Front running is always possible and has to do with only one thing. In your example, it is called the road.
In trading, there are no destinations, in terms of any specifically predefined loci.
Here many "games" have been mentioned. They are always being played with either tool set.
If a person chooses to trade the market's offer, he uses one tool set. If a person chooses to trade presumed flaws in markets, he chooses another tool set.
Over all the time I have traded, I have never found a market service provider who had toolsmiths who could gin up the needed tools for the given state of information supplied by markets.
In terms of tooling and the market's offer. Most tooling begins around two times the market H-L for any given day. When effectiveness and efficiency are being realized the daily yield goes up to about 6 times the H-L.
From my comments and those made in this thread previously, you can conclude that there is an inverse relationship between size and profits.
With respect to HFT, all it did was change the stated granularity of the market from a information supplied granularity to an artificial sub granularity.
What is the effect?
In your terms, the road is smoother and your supposed destinations are unchanging. My destinations are more easily approached and passed through to get on the next road. You can think of my situation of travelling roads as one where the inverse of a speed limit near destinations occurs. Market capacity is greatly enlarged at market turning points so, therefore, the multiple of the trading capacity is enlarged. As with this exception. this changes the size to profit relationship for me. Size is a limitation if and only else, the ratio is off the optimum of the family of curves. This simply means go to a multimarket operation and do crossovers with intrument families.
HFT is this decades example of people taking resources out on a limb and finding out support gets exhausted as they scramble further away form the trunk. The top of the tree is the place to climb to.
It is refreshing to see your post. You are still reasoning from the vantage point of the natural environment.
Do you think we will build larger diameter particle accelerators or gin up some tools than will be able to measure what is already going on all around us anyway?
I like the new advantage of more liquidity at turning points as compared to lower liquidity on the way to turning points.
Time is NOT the independent variable in markets.
First off, I can prove, without any shadow of any doubt that some HFT's are illegally insider trading and by that I mean yes THEY DO HAVE ACCESS TO YOUR DATA AND ORDER BOOK. Think about it, you need a computer to front run some of these manual traders anyway, you would be too slow if you tried to do it manually (ie the victim's order would be placed before the frontrunners order.)
Secondly, and most pointedly, I see how the HFT defenders shy away whenever the mention of order stuffing comes up. Still to this date NOT ONE HFT DEFENDER has managed to give a legitimate explaination as to why HFT's are placing 20,000 orders in a second and on the bid and then pulling them instantly. Could anyone please enlighten us on this before they claim that I am another crybaby who is blaming others for his losses, even though I have been doing quite well lately.
How can those orders ever be considered bona fida orders to trade? in which case they can only be construed as manipulative. Even worse, as has been proven, and anyone working at any exchange in this land will tell you, they significantly slowdown normal traders systems to artificially increase latency differential so they can basically STEAL YOUR MONEY.
We know they were to blame for the 'flash crash', and it is only a matter of time before they create another one as they bring the exchanges to their knees again. I say, when this flash crash occurs again, we all get together and bring legal cases for losses against those that order stuffed immediately prior to the next crash.
If your not insider trading or order stuffing then I have very little problem with what you are doing.
JJ
Secondly, and most pointedly, I see how the HFT defenders shy away whenever the mention of order stuffing comes up. Still to this date NOT ONE HFT DEFENDER has managed to give a legitimate explaination as to why HFT's are placing 20,000 orders in a second and on the bid and then pulling them instantly. Could anyone please enlighten us on this before they claim that I am another crybaby who is blaming others for his losses, even though I have been doing quite well lately.
How can those orders ever be considered bona fida orders to trade? in which case they can only be construed as manipulative. Even worse, as has been proven, and anyone working at any exchange in this land will tell you, they significantly slowdown normal traders systems to artificially increase latency differential so they can basically STEAL YOUR MONEY.
We know they were to blame for the 'flash crash', and it is only a matter of time before they create another one as they bring the exchanges to their knees again. I say, when this flash crash occurs again, we all get together and bring legal cases for losses against those that order stuffed immediately prior to the next crash.
If your not insider trading or order stuffing then I have very little problem with what you are doing.
JJ
Yes. From the report, HFT systems where market makers that where overwhelmed by the massive and sustained selling pressure triggered by one big sell order placed by a human trader.
The only roll that HFT had in the flash crash is that it wasn't able to stop it.
Quote stuffing is another matter. Very slimy. I dont think that anyone will defend it.
The only roll that HFT had in the flash crash is that it wasn't able to stop it.
Quote stuffing is another matter. Very slimy. I dont think that anyone will defend it.
I understood some of what you said. I guess I am yet to arrive ;-)
However, you have not addressed the evolution of dark pools....so they use algos to minimize the impact on market, but here entire new toolsets are being created for bulk algos, ones which will never be reflected on the exchange's data feeds. We are creating an upper caste, which has access to toolsets, that average (even average algo trader) does not have. It means going back to old days, when computers were not there, so liquidity was not measured. Here they are specifically short-circuiting the data collection of liquidity & volume information.
Remember, it is specifically in unaccountability that demons of instability exist.
Did anyone have naked access to markets, except these big boys, before it was banned? They were totally unaccountable to the system.
Yes, they provide high degree of liquidity and you may prefer (even I do) a higher level of liquidity in the market than would be otherwise, but that does not mean that it justifies cloaking of information, on which the market rests.
Problem is legislation lags behind innovation in trading....naked access has been banned, tags are mandated in FIX streams, Limits have been imposed on flash orders/cancels in some exchanges....they will learn further...its a long way to go!!
Quote from Joovenile Jatt:
Secondly, and most pointedly, I see how the HFT defenders shy away whenever the mention of order stuffing comes up. Still to this date NOT ONE HFT DEFENDER has managed to give a legitimate explaination as to why HFT's are placing 20,000 orders in a second and on the bid and then pulling them instantly. Could anyone please enlighten us on this before they claim that I am another crybaby who is blaming others for his losses, even though I have been doing quite well lately.
How can those orders ever be considered bona fida orders to trade? in which case they can only be construed as manipulative. Even worse, as has been proven, and anyone working at any exchange in this land will tell you, they significantly slowdown normal traders systems to artificially increase latency differential so they can basically STEAL YOUR MONEY.
JJ
Yes, I believe that these flash orders/quote stuffing are one of the major issues that need to be put a stop to. I don't think that there could be any genuine support for them.
I believe these orders are sort of feelers....to check the market pulse...to check where ask/bid LIMITS are...to fudge statistical TA of chartists....in cases where ask/bid are included in analysis....
This is a sort of mis-information to the market opponent...
Would love to know what exactly could be done if unnecessary ask/bid quotes are fed to the exchange...what benefit can be got?
Sanjay:
In this day and age, the rate of change of practioners vs regulators is no contest.
The beauty of the situation is that those who need regulation most cannot perform with any semblance of effectiveness nor efficiency.
Nicely, you can add in the "Sullivan Principle" with respect to technology.
Basically teenagers control technology enhancement as has been seen for the last decade (Fanning, Johansen, Frankel).
So in this "out-of-the-box" circumstance no one who is going about it effectively and efficiently has any worries to speak of.
The specific 'tell, most recently, was the behavior of those who run the algos. They simply stood aside regardless of their obligations vis a vis their priviledges (legal obligations for the priviledge).
This is an information economy. Formal major information managers cannot hack it anymore. They are operating way past integrity and, therefore, they will be weeded out more by lack of effectiveness and efficiency than rational legislation that leads to non incetiveized regulation.
The overall scenario is one of out-of-the-box pool extraction no matter what the tint, value or hue.
Operating without integrity cannot be cured by any superior level of intellect.
I went through the era of regulators getting computers. Aside from the necessities to straighten them out, it was a very humorous period. Probably little has changed in the mindset of presumed regulators. They sniff around things they do not grasp and then their subjects have to straighten them out. I was repeatedly cited for "insider trading" by their simplisitc inept profiling of multiple accounts of significant size.
It is like you suggesting to me that I fail to take this or that into account. Regulators always fail to take much into account. They are hamstrung by legislation, in the first place. Legislation is purchased by the yard. Regulators go home at night when their clock says the day is over.
I am suggesting to you and other readers that integrity is invinsible and way ahead of the curve, eversomore, present 'tells being so apparent.
I like the way it is turning out. I deal in problem solving and, for me, being able to extract more and more capital at ever higher velocities, really helps eliminate the capital impediment that often moderates problem solving. Knowing that the people are going to go to the sidelines as their algo resolution is very sweet indeed. They are correct to do so; they readily recognize that their lack of integrity is a causal factor.
In this day and age, the rate of change of practioners vs regulators is no contest.
The beauty of the situation is that those who need regulation most cannot perform with any semblance of effectiveness nor efficiency.
Nicely, you can add in the "Sullivan Principle" with respect to technology.
Basically teenagers control technology enhancement as has been seen for the last decade (Fanning, Johansen, Frankel).
So in this "out-of-the-box" circumstance no one who is going about it effectively and efficiently has any worries to speak of.
The specific 'tell, most recently, was the behavior of those who run the algos. They simply stood aside regardless of their obligations vis a vis their priviledges (legal obligations for the priviledge).
This is an information economy. Formal major information managers cannot hack it anymore. They are operating way past integrity and, therefore, they will be weeded out more by lack of effectiveness and efficiency than rational legislation that leads to non incetiveized regulation.
The overall scenario is one of out-of-the-box pool extraction no matter what the tint, value or hue.
Operating without integrity cannot be cured by any superior level of intellect.
I went through the era of regulators getting computers. Aside from the necessities to straighten them out, it was a very humorous period. Probably little has changed in the mindset of presumed regulators. They sniff around things they do not grasp and then their subjects have to straighten them out. I was repeatedly cited for "insider trading" by their simplisitc inept profiling of multiple accounts of significant size.
It is like you suggesting to me that I fail to take this or that into account. Regulators always fail to take much into account. They are hamstrung by legislation, in the first place. Legislation is purchased by the yard. Regulators go home at night when their clock says the day is over.
I am suggesting to you and other readers that integrity is invinsible and way ahead of the curve, eversomore, present 'tells being so apparent.
I like the way it is turning out. I deal in problem solving and, for me, being able to extract more and more capital at ever higher velocities, really helps eliminate the capital impediment that often moderates problem solving. Knowing that the people are going to go to the sidelines as their algo resolution is very sweet indeed. They are correct to do so; they readily recognize that their lack of integrity is a causal factor.
Jack:
So you are saying that an operator "way past integrity" (damn...I like that phrase!), but operating effectively, using larger resources than majority of the market, should be allowed to dictate/corner the market, as legilators will always be lagging.
You are saying until such an operator's efficiency breaks (as newer such goons will be bringing in more efficient methods), the market has no better option than letting him continue!
Its the new Wild West....isn't it...in such a case ;-)
I understand that technological jumps are what are causative of such operations, but does that mean that legislation or market regulaters (include major market participants like exchanges collectively) should twiddle their thumbs? It would be analogous to customs guys not running after dope runners, if they have a faster speed boat!
But yes....essentially...it IS the wild west ;-)