Front Running, Flash Orders, or Blackbox/Algorithmic Manipulation?

Quote from Mom0/pH0x:

eh, i just kinda feel like he kinda sold out to the high freq and ibank crowd a bit in the article, but not horribly...
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he makes a couple of good points for HFT.

It's Evolution...
 
Quote from pacific7:

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How about asuroux and srdot?
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From what he said : EDGX/A ROUX & ROUE orders don't FLASH either.

asuroux is one of those
 
Quote from krazyanyway:

From what he said : EDGX/A ROUX & ROUE orders don't FLASH either.

asuroux is one of those
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Ok, thx

I've gotten more valuable info here than i ever got at my intitial firm (won't mention names). Red_ Inc (and others) have given me some great advice which has really helped my particular issue!
 
Quote from eusdaiki:

he makes a couple of good points for HFT.

It's Evolution...
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They don't provide any liquidity, quite the contrary, they create all kinds of fake volume that's misleading and employ strategies that were not available even 10 years ago.

When you lie, it's easy to "make good points". They are not evolutionary, faster execution etc. They distort the market for their profit. Could you pay to have your very own 2 second advantage 10 years ago? No..
 
Quote from Renegen:

They don't provide any liquidity, quite the contrary, they create all kinds of fake volume that's misleading and employ strategies that were not available even 10 years ago.

When you lie, it's easy to "make good points". They are not evolutionary, faster execution etc. They distort the market for their profit. Could you pay to have your very own 2 second advantage 10 years ago? No..
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what can u do? Ban computers from trading ? Or put speed limits , min holding periods or min time to cancel?
Volume will just go overseas...
 
Quote from eusdaiki:

what can u do? Ban computers from trading ? Or put speed limits , min holding periods or min time to cancel?
Volume will just go overseas...
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The markets are the totally Darwinian in nature. You either evolve or die. It really is as simple as that. As in the real world, fairness has absolutely nothing to do with it.

IMHO, those people arguing that the clock needs to be turned back 10 years sound a bit like a bunch of dinosaurs talking about how great things used to be before that big ball of fire appeared in the sky.
 
Quote from propseeker:

ok, just to dispel a big myth here that has been widely spread recently, a lot of which seem to be coming from that Themis guy on cnbc (jury's still out whether he's a complete moron or just a propagandist).... these aren't supercomputers colo'd at the exchanges, for the most part, they're regular old dell's, hp's and custom servers. for the most part, they're cheap, and the rack space is too. it doesn't take that much to get something setup, all the info thrown around that it costs gazillions of dollars and it's unfair competition is complete bs. the bar to entry is low. if people actually took the time to check facts vs blindly listening to idiots on tv... then i'd probably have a lot more competition, so probably better they don't.

so, 'broker's' with 'supercomputers' are not doing this to you because it could literally be anyone anywhere on some unknown pool. no one is stepping in front of your order and taking the flash quote that should've gone to you because if you were sitting on the right exchange you would've been hit immediately. flash orders basically lock the mkt at different exchanges till they find some liquidity that will take them. if there's already liquidity there when the order comes in, then they don't get their rebate and they pay to remove. that's it. there's nothing more to them. they were an excellent example of what some well-directed disinformation campaign can do for those who stand to benefit the most (in this case, the nyse and it's major liquidity provider:gs).

also, NO exchange allows sub-penny ORDERS. it has nothing to do with quotes. if that were the case, you could put in sub-penny nasdq hidden orders... but you can't. the flash orders are just pinging the gazillions of dark books, some of which are quoting in sub-pennys, and if they're live when the flash comes through then they get removed, and THAT's why you see what you're seeing.
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This is well said and exactly what is going on.

It sounds like some of you guys are trading thin stocks with reasonable size - but what's to say that the orders that "dissapear" aren't limit, FOK, AON, etc. and you don't get the fill because of some other more realistic explanation? I understand that people (or machines) out there do see your order before others and would have an opportunity to take your order first or (possibly) step in front of you but is it really costing you a dime? If so maybe consider a different name or use limit orders only.

Also, FWIW, IB crosses orders internally before routing to an exchange. Also, most of the "flash quotes" you see being put up are only there to play with the MM/Specialist's order execution systems. The big size you see moving around halfway down the L2 bouncing between the bid & ask has nothing to do with your live order as long as your live order is at or between the spread.
 
Quote from WinstonTJ:

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Also, FWIW, IB crosses orders internally before routing to an exchange....
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Only if you route "SMART". That is why it is cheaper to route SMART through IB than not in the API. They can "lean" on the order that way.
 
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