HFT is Killing the EMini

[Bob111]

дык у меня нет проблем стейтменты показать и я это не раз тут делал. однако у пиплов тут есть проблемы поверить в то,что это не подделка. по этому поводу я тут хуйни разной уже наслушался.поэтому больше никого уговаривать не хочу в том что я не фокусник и фотожопом пользоваться не умею.. хотите верьте,хотите не верьте. мне все это ПО ХУЙ

 

[SnakeEYE]

Quote from Bob111:

дык у меня нет проблем стейтменты показать и я это не раз тут делал. однако у пиплов тут есть проблемы поверить в то,что это не подделка. по этому поводу я тут хуйни разной уже наслушался.поэтому больше никого уговаривать не хочу в том что я не фокусник и фотожопом пользоваться не умею.. хотите верьте,хотите не верьте. мне все это ПО ХУЙ

haha..

i was only kidding

пересматривал старое кино советское и наткнулся на твой пост потом случайно.




happy trading!

 

[TraDaToR]

Quote from Bob111:

ok then..but i'm with Clubber Lang..trade more with decent size and you will run into this issue sooner than later. i'm having such fun every single day.
as you can see it's starts with stocks long time ago. it was more noticeable on low volume stocks,less on more liquid ones, but now even futures traders note the impact of HFT..have fun with it, all HFT defenders..soon you will be in same shoes, just like stock traders..unable to buy couple contracts at the ask,even when 10 was displayed.

Bob,

Do you know the exact loophole in market centers/ orders/ MM priority/whatever ... that permits this abuse? Your problem is that for whatever reason some other participants in equities gets information about your order before it hits the marketplace. Just like they can choose to subpenny when they see an incoming market orders, they can choose to withdraw their liquidity when you can move the book.

I wouldn't ever trade in this kind of environment. On futures, only your clearing firm is aware of your orders before it hits the market place, other participants know about your order only when it is displayed on globex or printed. That's why HFT cause no problems on futures. Again speed has nothing to do with it...

 

[newtricks]

Quote from austinp:

The only few people who defend HFTs have vested interest in doing so.

Objectively speaking, it is not trading... it is vampire leaching from order flow and true open interest. Algos do not create liquidity, they drain true liquidity.

To the people who admonish others about adapting: surviving traders have already adapted to the HFT/algo world. They adapted by trading smaller size and more round turns to combat the incessant counter-swing bursts and random spikes & slams that exist only because some bot is spreading futures against shares in liquidity-drain fashion.

Remember all the guys back in 2008 who gloated about $100k days and seven-figure profits? Where are all those big gains now? Same guys are still in the game... but they cannot work same size as three years ago. The tapes are much more erratic because of the illiquidity.

It's not that anyone cannot fill 100-lot ES... the fact is, who the hell wants to? The next real flash-crash will happen again, it'll happen soon and this time it will not recover intraday. When the next algo-driven crash hits this current market, it will finish the day off -1,000 index points on the Dow.

HFT is nothing but another temporary fad in the market. It ain't trading, it's just loopholed order flow theft and nothing more. HFT guys don't know the first thing about real trading, any more than SOES bandits did.

Same game, different era, same inevitable end.

100% right

Here's an interesting article on the subject from the weekend papers.

http://www.telegraph.co.uk/finance/...s-calls-for-inquiry-on-black-box-trading.html

 

[austinp]

Quote from TraDaToR:

Bob,

Do you know the exact loophole in market centers/ orders/ MM priority/whatever ... that permits this abuse? Your problem is that for whatever reason some other participants in equities gets information about your order before it hits the marketplace. Just like they can choose to subpenny when they see an incoming market orders, they can choose to withdraw their liquidity when you can move the book.

I wouldn't ever trade in this kind of environment. On futures, only your clearing firm is aware of your orders before it hits the market place, other participants know about your order only when it is displayed on globex or printed. That's why HFT cause no problems on futures. Again speed has nothing to do with it...

HFTs are the tail that wag the proverbial futures' dog. HFTs and algos are almost all of the movement in futures markets right now. That's why you see erratic counter-swing spikes and rips in every symbol, why CL will often slip -5 to -10 cents past stops, why TF is trading 3-ticks bid/ask wide, why even the ES has become noticeably spastic.

It's a market-wide affect. Lots more noise in commodity symbols now than ever before. Gotta deal with it by being more precise with entries, quicker to exit when profits briefly accrue before they disappear, and taking more entries after being chopped out of stops that used to hold when price was smoother... back in 2007 - 2008.

 

[CrackPipe]

Quote from rosy2:

everyone has that priviledge.



what makes you think they are the fastest?

Both questions answered in 1 word -

money


considering the entry requirement is $16k per month for rack space alone, without even talking of hiring coders, specialist hardware, data feeds, software etc, the barrier to entry is simply too high for most firms and definitely the majority of 1 lot wonders here on et

just because they could, doesnt mean they can.

 

[CrackPipe]

Quote from Clubber Lang:

That is not true.

NASDAQ allows orders to be pulled AT THE SAME DECIMAL PRICE THAT YOU ARE TRYING TO HIT.

Example- NASDAQ book is showing 5 individual orders at 50.01 bid for a total of 10,000 shares.

Here is the order on the book-

100
100
100
700
9000

I send my sell order to Nasdaq for 10,000 shares at 50.01. I will get filled from the first couple of 100 share bids and maybe the 700 bid (probably not though), but there is ZERO chance that I will get the 9000 share bid unless it was a legitimate resting order (meaning NOT A HFT BID).

Nasdaq's system allows the fastest HFT algo's to pull without giving you a fill even though you were entitled to those shares. Their entire system is a pathetic joke and the farthest thing from a fair market.

This is not something new, Nasdaq has been allowing this for years (which is why I try to use EDGX and ARCA) instead of that scumbag nasdaq system.

i understand your frustration. so youre saying hft can cancel orders quicker than the exchange can fill orders.

that would imply that its quicker for an exchange to cancel an order than fill it also.

youre not the first person to complain of this

 

[SrRuthenate]

There is nothing faster than a market order. That your data lags is your problem.

 

[austinp]

Quote from SrRuthenate:

There is nothing faster than a market order. That your data lags is your problem.

It ain't about execution for most of us... that's not the problem. It's all about market disruption. The simple fact that price action is bastardized from the normal rhythms of accumulation & distribution to the order-flow stealing spasms of algos.

Make sense? Not getting filled is a peripheral issue... a non-issue to futures traders. Warped tapes is the issue at hand. End the artificial order-flow theft and price action returns to what it used to be.

 

[SrRuthenate]

Quote from Clubber Lang:

That is not true.

NASDAQ allows orders to be pulled AT THE SAME DECIMAL PRICE THAT YOU ARE TRYING TO HIT.

Example- NASDAQ book is showing 5 individual orders at 50.01 bid for a total of 10,000 shares.

Here is the order on the book-

100
100
100
700
9000

I send my sell order to Nasdaq for 10,000 shares at 50.01. I will get filled from the first couple of 100 share bids and maybe the 700 bid (probably not though), but there is ZERO chance that I will get the 9000 share bid unless it was a legitimate resting order (meaning NOT A HFT BID).

Nasdaq's system allows the fastest HFT algo's to pull without giving you a fill even though you were entitled to those shares. Their entire system is a pathetic joke and the farthest thing from a fair market.

This is not something new, Nasdaq has been allowing this for years (which is why I try to use EDGX and ARCA) instead of that scumbag nasdaq system.

That 9000 HFT order is not a normal limit order. It's probably a FOK (fill or kill) order or a variation thereof. There are ways to identify this and exploit it so that you can FOK them and they can't FOK you.:eek:

Nothing mysterious either. That 9000 bid you see is really a series of intermittently sent (fast) series of FOKs that also have a latency and a series of rules. When you find out the latency of the algo and a faint idea of the rules it runs under, you wait till it zigs and then you FOK it. In other words calculate when your bullet order is going to arrive at the exchange and syncro it with the zig of the faster algo. Then mark the market quicly against it till it pukes. Simple really.