Have the Algo's accomplished this?

[deadbroke]

Quote from NoDoji:

What are you saying has changed, specifically? Price still goes up and down every day, every week, every month, and the swings are more significant in the past 4 years than in the 3 years before that.

Most crestfallen stateside cocks who visit Thighland and Bangcock would love to have a chat with this fellow, Price, who goes up and down every day, week, month and the swings are getting more significant .......

 

[abattia]

Druckenmiller Calls It Quits After 30 Years as Job Gets Tougher
http://www.bloomberg.com/news/2010-...-30-years-as-hedge-fund-job-gets-tougher.html

Quote from Ticktaker:

Removing any and all deemed inefficiencies in the electronic markets...specifically futures? Long bid/short offer, free look, edge, etc...have been wiped out by all accounts according to the majority of people I have recently spoken to who for the most part were incredibly profitable 5+ years ago.

Many successful futures "prop shops" that I knew of in Chicago have closed their doors. Many successful traders that I know have moved on to new ventures or are struggling mightily to continue their trading careers.

"The Eurex Flipper" aka "The Worlds Most Successful Trader" aka Paul Rotter has alluded to the lack of opportunity being directly linked to algo's.

Have algo's removed an edge from the futures markets? If not, have they made a severe and significant impact on a large percentage of previously profitable traders?

Thoughts and opinions are appreciated.

 

[stock777]

I warned you of this years ago.

That said, I still see plenty of opportunity.

Thing is, its unpleasant as hell to trade it.

 

[jd7419]

Quote from MohdSalleh:

The answer is definitely YES. I dont know whether this is due to algos or not and I can only speak for stocks, but what we know as scalping is definitely gone.

Now there are many definitions of scalping, but the prop firm version as those who ever spent time in a traditional prop firm will know which is based on L2 is just not in existence anymore. The flashing island and arcas are now gone, programs which rapidly populate the bid and offer are no longer there, programs which revolve at certain levels i dont see much anymore and even programs which would trigger at certain price levels as you walk the bid up or offer down, nope not there. In this sphere, its not the game has changed, it is there is NO game anymore.

When i scan through ET, some people like NoDoji still seem to be doing well, but the thing is this the turnover is very low if we trade positionally like them, which unfortunately is what I am doing now.

You can make something like what 5-10 trades a day using that kind of strat, whereas in the past I would do something like 500-800 trades a day and there is a limit to how much liquidity one can take at any point in time. I SUPPOSE you can still scalp the mega caps, but it is not easy to read the L2 on thick shit like that. As usual getting in, not that hard, getting out is the hard part.

Anyway most of the guys i know, yeah they have left the game. I dont know if it will ever come back. Are algos to blame? I dont know because I dont even see much algos anymore in the mid small space cap.

I echo what you are saying, I still do trade alot of shares discretionary through a level 2 system(lightspeed). Most days I trade 300,000 shares but you will never catch me with a large position in a so called liquid stock. AAPL typically trades 20 mil or more shares in a day but try trading 10,000 shares in out of that or similar stock and you will get destroyed.

I have spoken to many people about how to get my orders off in the most effecient manner and they have suggested using credit suisses dark pool for blocks. I find that it helps some of the time but still I think the best advice for any discretionary stock traders still left is to trade small in individual stocks.

 

[tripledtrader]

It all has to do with order flow.....most uninformed orders get internalized now...making it very difficult to get filled on the bid and the offer in illiquid stocks. This makes scalping and market making unprofitable strategies. Even in liquid stocks, the only time you get filled on the bid or offer is when the quote rolls on you.

Check out Bright Trading comments on this:

http://www.sec.gov/comments/4-602/4602-29.pdf

 

[jd7419]

Quote from tripledtrader:

It all has to do with order flow.....most uninformed orders get internalized now...making it very difficult to get filled on the bid and the offer in illiquid stocks. This makes scalping and market making unprofitable strategies. Even in liquid stocks, the only time you get filled on the bid or offer is when the quote rolls on you.

Check out Bright Trading comments on this:

http://www.sec.gov/comments/4-602/4602-29.pdf

Exactly why "liquid" stocks just aren't that liquid, now if they make internalization illegal will trading improve? I doubt it, institutions would find another way around posting order flow.

 

[Occam]

Quote from jd7419:

Exactly why "liquid" stocks just aren't that liquid, now if they make internalization illegal will trading improve? I doubt it, institutions would find another way around posting order flow.

Internalization refers to broker-dealers trading against their own clients. This isn't the same as an institution (such as a hedge fund) using a dark pool to post liquidity sotto voce.

Enforcing a ban on it would be straightforward -- a B/D does it, it's no longer a B/D, clients close accounts and go elsewhere. End of story.

Banning it most certainly would improve the efficiency of markets, although it might not make (all?) traders profitable, as there's a lot more competition now and the market is far more efficient as it is, compared even with say 2007.

The SEC has made motions to ban B/D internalization, but B/D's fight tooth and nail to keep it as it's a tremendous source of profit, and it's sort of "grandfathered in", as it's got historical precedent. But what doesn't have precedent is the growing percentage of internalized trades over the past few years, and that's gotten some peoples' attention.

http://www.tradersmagazine.com/issues/20_304/nasdaq-internalization-dark-pools-105375-1.html

 

[fullblotter]

the discretionary scalping day trader is the biggest victim of the fraud perpetrated by the HFT's and the two tier market system.

the market is mostly pure ground and pound. if it moves it generally pukes out the entire move at once and then quickly returns to ground and pound. the smooth free flowing action is not there.

BUT...if and when the market resumes its deflationary death spiral lower we'll get a return to the crazy trading of 2008. if anything, the trading will be even more insane cause the algos pack up and flee when things get dicey..

 

[kxvid]

Quote from fullblotter:

the discretionary scalping day trader is the biggest victim of the fraud perpetrated by the HFT's and the two tier market system.

the market is mostly pure ground and pound. if it moves it generally pukes out the entire move at once and then quickly returns to ground and pound. the smooth free flowing action is not there.

BUT...if and when the market resumes its deflationary death spiral lower we'll get a return to the crazy trading of 2008. if anything, the trading will be even more insane cause the algos pack up and flee when things get dicey..

With high frequency trading all the rage I have switched to low frequency trading. When high frequency trading is no longer "in" then it will be time to switch back to it.

 

[ronblack]

Quote from kxvid:

With high frequency trading all the rage I have switched to low frequency trading. When high frequency trading is no longer "in" then it will be time to switch back to it.

*****