hey HFT scum, yeah, you. Watch this

stock777 · Sep 8, 2010

Quote stuffing. A little like message board stuffing, where shills for a criminal enterprise post disinformation.

WinstonTJ · Sep 9, 2010

Quote from stock777:

Quote stuffing. A little like message board stuffing, where shills for a criminal enterprise post disinformation.

Since you have not once answered any of my questions I'll assume you won't answer this:

How do you propose they impliment the speed bumps and throttling orders so that everything across the board is equal? Is it possible that everything could be equal? If so how?

sprstpd · Sep 9, 2010

How about once you transmit an order, you cannot cancel or move your order for "n" milliseconds. I would guess a value of n = 1000 would almost eliminate any problems caused by HFTs. Colocation could still be employed and there would be no throttling of quote data.

johnnyqpublic · Sep 9, 2010

Quote from sprstpd:

How about once you transmit an order, you cannot cancel or move your order for "n" milliseconds. I would guess a value of n = 1000 would almost eliminate any problems caused by HFTs. Colocation could still be employed and there would be no throttling of quote data.

Would this also be applied to market makers?

stock777 · Sep 9, 2010

Quote from WinstonTJ:

Since you have not once answered any of my questions I'll assume you won't answer this:

How do you propose they impliment the speed bumps and throttling orders so that everything across the board is equal? Is it possible that everything could be equal? If so how?

You are a lying swine.

johnnyqpublic · Sep 9, 2010

Quote from WinstonTJ:

Since you have not once answered any of my questions I'll assume you won't answer this:

How do you propose they impliment the speed bumps and throttling orders so that everything across the board is equal? Is it possible that everything could be equal? If so how?

Quote from stock777:

You are a lying swine.

/thread

sprstpd · Sep 9, 2010

Quote from johnnyqpublic:

Would this also be applied to market makers?

Sure.

stock777 · Sep 10, 2010

for the very few of you here that have a clue, I suggest reading this twice

http://blog.themistrading.com/?p=1372

lurefo · Sep 10, 2010

Quote from sprstpd:

How about once you transmit an order, you cannot cancel or move your order for "n" milliseconds. I would guess a value of n = 1000 would almost eliminate any problems caused by HFTs. Colocation could still be employed and there would be no throttling of quote data.

Nanex published an interesting study on the flash crash and how quote stuffing is linked to the drop. They recommend a 50 ms quote expiration rule.

I see some people here like WinstonTJ are well versed in networking and equity markets, I would appreciate if you guys could comment on the Nanex study, especially regarding the threat it seems to be to the market structure. Besides that, I have no problem with HFT. Market still goes up and down, same as before HFT.

Here is the Nanex study : http://www.nanex.net/20100506/FlashCrashAnalysis_CompleteText.html

johnnyqpublic · Sep 10, 2010

Quote from lurefo:

I see some people here like WinstonTJ are well versed in networking and equity markets, I would appreciate if you guys could comment on the Nanex study, especially regarding the threat it seems to be to the market structure. Besides that, I have no problem with HFT. Market still goes up and down, same as before HFT.

Here is the Nanex study : http://www.nanex.net/20100506/FlashCrashAnalysis_CompleteText.html

Winston could probably give a more thorough answer than myself, but I did make some comments in this very thread after the Nanex study was released: http://www.elitetrader.com/vb/showthread.php?s=&postid=2917845#post2917845

Now, as to why they need to update that fast, good question. Doesn't automatically make it quote stuffing or highway robbery though.