hey HFT scum, yeah, you. Watch this
- Thread starter stock777
- Start date
I got nothing against HFT's persay, but if it is true that they have access to data milliseconds earlier than the rest of us, and hence can put an order in BEFORE an order that they see coming, then that's downright insider trading right there and they should be put in jail. Does anyone have any actual hard proof that this is what is occuring?
Quote from stock777:
With all due respect to the vermin that have polluted this thread with their self aggrandizing bs, I offer this.
http://www.wilmott.com/blogs/paul/i...-Trading-Where-are-we-and-how-did-we-get-here
Paul Wilmott knows more about what is going on than any 10 of the BEST of you put together , and he agrees with my position.
So fire away , HFT leeches, your days are numbered.
Aren't they cute, I named them Bid and Ask
I tend to consider Paul as being less smart than he actually looks or sounds. But he created a good business. As some people say: 'Whose who don't know, talk'...
+1 I totally agree with HFT not caring one bit about the relationship between value and price - however, many hedge funds will use HFT to trade around a core position with a bias. For example, if I think that XYZ is good for 6-9 points to the upside over the next 1-2 quarters, a hedge fund might impliment a HFT with a long-bias to increase profits on their position (HFTrading around a core position), essentially selling the small tops and buying the small dips all the way throughout the 6-9 points the PM decided on. This can result in an extra 30-50% on that call taking a 6-9 point move up to a 9-12 point call. While the HFT algo itself does not care one bit about price-to-value, it does have a bias and is only implimented because some HF PM has made the call that stock XYZ is priced cheap to its value.
^^ Here is the quote from the article that 777 is basing his copy/paste on. Someone in this thread already posted "those who know keep quiet" or something to that effect. I believe that many of the "Big Boys" in the HFT space are starting to use HFT to compliment longer term calls to either remain somewhat market neutral/hedged, to add to the direction of the PM's call, or others even implement HFT strategies when they need to get in/out of larger blocks so that the stock price isn't pushed around upon entry/exit of the trade.
As for potential for positive feedback (777 did you even read the article and do you know what PW means?), I think that "those in the know keep quiet" so we'll never really know what percent of HFT provides positive or negative feedback. I will say that being "Market Neutral" is BS unless it is a true Arb Strategy so I do agree that (since it is my opinion that most of the arbs have been saturated) most HFT algos provide either positive or negative feedback. The real issue is the liquidity card that was played to keep these things alive in the beginning because as some of us know, boxes can create illiquid markets in a hurry under the right conditions.
Think of it this way: It takes 134.4 milliseconds to travel around the equator at the speed of light. Go to ipchicken.com and find out what your external IP address is, then, from the command prompt (Start, Run, cmd <enter>) type âping xxx.xxx.xxx.xxxâ(whatever your IP address is) and then type âping latimes.comâ. I get an average of 9ms for my local ISP in NYC and I get an average of 70ms to ping the LA Times. When I ping my quote server from my trading computer I get an average of 0ms.
It takes time for the quotes and messages to travel through the copper or fiber internet lines. Given the ping times that I posted, if I were trading from home versus trading from LA, and could process and execute in 1ms, it would take approx 70ms for an order to reach LA from NYC, 1ms to process and 70ms to return to NYC (141ms total) whereas from NYC to NYC it would take 9ms to get to me, 1ms to process and 9ms return (19ms total). From trading computer to quote server is 0ms so if I round up to a whole ms Iâm looking at a max of 3ms to execute a trade versus 141ms that someone trading from LA over a retail ISP faces. It isnât that HFT systems are given quotes/data earlier than others, they position themselves to receive the data as fast as it is transmitted. In the example I provided (which is pretty real-world accurate) someone with a co-located server in NYC/NJ metro area (keep in mind NYSE/NASDAQ servers are located in NJ) could receive quotes, process data and return an order to an execution server easily over 125ms faster than someone in LA trading over a retail/cable/broadband internet connection.
The people in NYC are not âgivenâ the data any earlier, they simply receive it earlier because of their physical location and internet connection. This is a big difference that many do not understand â no one is given anything earlier and there is no insider trading. Anyone can pay for gigabit over fiber and co-lo in a NYC metro datacenter. To have it any other way is not possible, even if quotes were delayed by 10 seconds the co-located fast internet computers would still receive the delayed data earlier than someone halfway across the country over a retail connection.
The second part of your response, (and hence can put an order in BEFORE an order that they see coming) is simply not possible. The people with co-located computers can receive a quote faster but they also process and return an order faster so their order was most likely there before the quote even reaches LA. The frustrating part for many is that this misconception about people getting quotes earlier is compounded by the HFT using dark pools , so the order is out there but you cannot see it until your order shows up on the book or until their order executes. Unless you have an agreement for your broker to internalize your orders (where they can legally provide price improvement or pass on your order flow) then there is no way any HFT are seeing your order before it gets to an exchange.
I'm sure 777 is going to post more BS or childish pictures so if you want to discuss or have any questions feel free to either ask in this thread or send me a PM. I'll be happy to explain in more detail. Keep in mind this isn't lobbying for or against HFT, simply providing facts. I'm pretty sure I noted where I was giving my opinion versus providing factual information.
Just to give some color/context:
Right now the fastest one-way information flow from Chicago <-> NJ is ~ 7.6ms. There are some setups that can prioritize / optimize / massage certain things lower than that, but it's a more-than-adequate baseline. That number will be dropping by more than 1ms (one way) in the very near future.
The fastest systems around right now can receive a market data update, process whatever necessary logic, construct whatever orders appropriate, risk check them, and have them back on the wire in < 50us. That's 0.000050 seconds. I'll pull a load number out of my ass and say this is for "moderate" saturation, say, 500k msg/s.
Many HFT firms are very profitable in the 100-200us processing time range. It depends a lot on whether you're trying to do true arb, monetizing flow, etc.
For logic engines co-located at Carteret (the NASDAQ matcher location), it's possible to receive data, process it, and respond to it in less than 1ms from when the exchange published it. Other setups, locations, exchanges, etc., alter the picture, but you get the idea.
What I'm referring to here is NOT an unfair advantage per se; anyone could finance / construct the exact same setup. I'm not making light of the fact that the barriers to entry are substantial, I'm just saying they're not regulatory or structural.
Winston is right re: using HFT as an execution overlay on other alpha buckets is quite common, and makes the "execution as its own alpha" discussion less stressful.
Right now the fastest one-way information flow from Chicago <-> NJ is ~ 7.6ms. There are some setups that can prioritize / optimize / massage certain things lower than that, but it's a more-than-adequate baseline. That number will be dropping by more than 1ms (one way) in the very near future.
The fastest systems around right now can receive a market data update, process whatever necessary logic, construct whatever orders appropriate, risk check them, and have them back on the wire in < 50us. That's 0.000050 seconds. I'll pull a load number out of my ass and say this is for "moderate" saturation, say, 500k msg/s.
Many HFT firms are very profitable in the 100-200us processing time range. It depends a lot on whether you're trying to do true arb, monetizing flow, etc.
For logic engines co-located at Carteret (the NASDAQ matcher location), it's possible to receive data, process it, and respond to it in less than 1ms from when the exchange published it. Other setups, locations, exchanges, etc., alter the picture, but you get the idea.
What I'm referring to here is NOT an unfair advantage per se; anyone could finance / construct the exact same setup. I'm not making light of the fact that the barriers to entry are substantial, I'm just saying they're not regulatory or structural.
Winston is right re: using HFT as an execution overlay on other alpha buckets is quite common, and makes the "execution as its own alpha" discussion less stressful.
Ignore the imbeciles posting here.
This just hit the wire.
Schonfeld trading just fired 50 traders saying HFT has made daytrading a buttf*ck for all but the most skilled traders.
I told you this years ago, that it was coming and getting worse.
You want to listen to the pie in the sky morons, go for it.
PS If you are truly a good trader you can still make $$$. Not disputing that. But these idiots that argue the hft issue saying its not a problem are clearly not in that class..
PSS I called the TSLA major reversal to the SECOND realtime last week (here on ET, timestamped and blessed). All you get from the noisemakers on this thread is hype and disinformation.
This just hit the wire.
Schonfeld trading just fired 50 traders saying HFT has made daytrading a buttf*ck for all but the most skilled traders.
I told you this years ago, that it was coming and getting worse.
You want to listen to the pie in the sky morons, go for it.
PS If you are truly a good trader you can still make $$$. Not disputing that. But these idiots that argue the hft issue saying its not a problem are clearly not in that class..
PSS I called the TSLA major reversal to the SECOND realtime last week (here on ET, timestamped and blessed). All you get from the noisemakers on this thread is hype and disinformation.
This thread should have never gotten past the first post.
Rant, rant, rant.
When confronted with the facts rant some more, name call and cry a little too.
Now it is chest-thumping .... I did this, you didn't nah, nah nah.
Long past the time to uncheck box for Email Notification. Better late ....
Rant, rant, rant.
When confronted with the facts rant some more, name call and cry a little too.
Now it is chest-thumping .... I did this, you didn't nah, nah nah.
Long past the time to uncheck box for Email Notification. Better late ....