hey HFT scum, yeah, you. Watch this
- Thread starter stock777
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Quote from Bob111:
i calculate my levels every night for hundeds of stocks then i place the basket order and leave it alone for the day. i have no ability nor desire to adjust the price during the day. then-by the end of the day i compare real results and results based on tick data. the difference is huge and it's not getting any better. still making the money,but the fill ratio is declining. according to my calculations if i can get at least 80% on my orders-i would be making around 1 M a year
reality is a bit different, but still ok
Bob, ^^^ is all of your posts in this thread (minus the news links you pasted). There are a few things that I think you need to clarify before you can start to form an opinion on HFT. First, your second and third quotes mention backtest vs. paper trading â Are you even trading? You do realize that simulation (whether it be paper or electronic) is in no way an accurate representation of the actual markets and trades/fills you would get? Your order may not be first in line, you need to have bid + ask + print + size at a minimum â 3-5 cents up/down the book with cancels, changes, etc. would be much better. Where are you getting your tick data from? Itâs probably not accurate.
Second, IBâs SMART order routing is going to prioritize IBâs internal matching first. FYI, at a direct access broker (or if you pay to send orders direct) you would get sub-pennied much less. What you are experiencing is something between yourself and your broker. As an aside â ARCAâs smart order routing system is (in my opinion) far superior to any other ECNâs. If you are taking liquidity and need to get filled try ARCA. Another thing Iâm not sure about is you mention that you feel you are always âlast in lineâ to get filled â do you adjust your orders? You arenât last in line unless you ARE last in line. If you sit at a price long enough youâll eventually be first. It just may be that your order price is a popular one but no one is jumping in front of you unless they decide to pay up/down for the price.
How would you account for latency? What would you do about traders in the pits vs. traders over fast internet vs traders over slow internet from remote locations? How exactly would you handle delaying market data to make it equal? Doesn't your proposal mean that it would make it unfair and more uneven for the remote/delayed person?
^^ those are questions... feel free to answer them
^^^ Those are unanswered questions - care to give them a try?
^^^ That is an insult which makes you look ignorant and rude. We have covered the ZH stuff - its a joke, not to be considered a reliable news source (since its a blog afterall).
^^ That was the first time I asked if you were going to attempt an answer - I guess you like name calling instead? (You can answer that yes/no if you want)
Its really sad that the moderators of this board let people behave so ignorantly. You have yet to do anything but call names and avoid the issues you bring up in your own thread. Zero Hedge is a blog, full of opinions and lacking facts. They copy and paste other's opinions as fact.
^^^ Those are more questions that remain unanswered. Care to give them a shot?
^^ LOL
I'll just leave this one there. I don't think it needs any further comment.
^^ I re-asked the same questions after you said I never asked any - Care to give it a shot?
^^^ LOL care to answer the questions I asked you?
I think that plenty of manipulative aspects of HFT/MM/Order Matching/Internalization/Flash Trading have been covered in this thread - fortunatley you have not been a part of those discussions.
^^^^ Still waiting for an answer on this.
Could you link us to your answers or quote your answers? I've just quoted just about every post of yours in this thread and I'm having a hard time finding what you say is here.
When you enter your order doesn't seem to make a difference nowadays...sure, there is supposed to be time priority, but 9 times out of 10 you're not getting filled unless it runs through your price. It sucks when you've successfully identified a top, sit on the offer for who knows how long, watch plenty of prints go off, and then watch it turn around and have to hit the bid to get out. Once any decent top or resistance level has been established algos move in and sub-penny your offer till it turns around. In stocks with penny spreads you can't lower the offer because you'll effectively just hit the bid, and in stocks with spreads the algos just follow you down and continue to sub-penny and suck up whatever few fills may be left.
Honestly can't remember the last time I've thought to myself "awesome fill there!" which used to happen from time to to time. I suspect it's algos sub-pennying...maybe it's just a crappy low volume market. Regardless, it blows.
stock777, I've been following this thread for a while. Let me be very clear: you look like a jackass. I'm surprised that the other folks in the thread have tolerated you so long -- almost every time they post a detailed response addressing your claims, you come back with a sophomoric, name-calling retort that borders on non sequitur.
Sometimes I'll read a post on ET and immediately think, "This guy's smart!" Not so with yours. You're just somebody with an ax to grind. You've made it patently obvious that you don't care about the facts.
If stock777 not going to afford others the intelligent, open discussion that they have given him, I urge everyone else to simply stop replying. On the Internet, nobody knows you're a troll, but if it talks like one, smells like one...
Sometimes I'll read a post on ET and immediately think, "This guy's smart!" Not so with yours. You're just somebody with an ax to grind. You've made it patently obvious that you don't care about the facts.
If stock777 not going to afford others the intelligent, open discussion that they have given him, I urge everyone else to simply stop replying. On the Internet, nobody knows you're a troll, but if it talks like one, smells like one...
This is a fantastic summary of exactly what is wrong with our current regulatory structure. Though...
This statement is somewhat misleading. Yes, the brokerage companies are screwing over their customers, but they are doing it by 1) siphoning off internalized trading profits and valuable order flow information to their HFT partners, and 2) filling orders prioritized on rebate fees and payment for order flow payments to the brokerage company over the best customer fill. There is simply too much money to be made selling out customer order flow rather than only focusing on a fiduciary duty to the customer's bottom line.
Interactive Brokers grew out of Timber Hill. They are owned by the same individual. Citidel owns Etrade. The Etrade customer order flow is valuable enough that Citidel shelters its internalizing engine profits (what they call their market making business) from any potential market losses from it's hedge fund.
HFT companies are screwing J6P investor, with the assistance of their side kick brokerage companies.
I couldnât disagree more â would you say that there is a difference between (any type) trading with vs. without order flow? My objection is that you seem to be placing the blame generally on HFT while not distinguishing between traders with/without order flow AND by not recognizing that computers and automated trading have taken things in a direction that has made manual traders obsolete, therefore most anything that canât be traded by hand is broadly classified as HFT.
Internal Market Making (with order flow) is a completely different type of trading than individuals/funds trading in the high frequency space without order flow. I think if we can agree on that distinction then yes, I agree with everything you posted. Can you prove that internal MMs are prioritizing orders based on fees/rebates over the order in which they were received? If thatâs the case it sounds like a perfect opportunity for a class action lawsuit.
IMO, generally hating on anyone in the automated space and classifying us all in the same group is grossly misleading.
A self-admitted troll... why do the moderators allow this? It turns the forum into a joke.