this is true, but the fed, winding down of prop shops at banks is also creating a huge mess.
HFT is Killing the EMini
- Thread starter Dogfish
- Start date
this is true, but the fed, winding down of prop shops at banks is also creating a huge mess.
Agree with everything except the above quote.
Only trade futures and i'm struggling to get fills all day long.
In liffe and cme stirs the bid/offer is always in crazy amounts so the pro-rata matching is manipulated.
In eurex and cbot bonds the market either stops short by 1 tick or worse misses me out when i'm on the market,after entering that order 30-60 mins prior.
Also in eurex bonds especially as soon as i enter an order the market chases away.On the first day of the craziness a few weeks back i tried to buy some bunds to cover a short i had lost faith in only for bunds to jump 50 ticks in 10 seconds.Coincidence,I think not,happens too frequently.
Do you guys have multicast data showing the adds/removes that demonstrates this phenomenon?
If I look at the BATS data closely, when a large order hits, they all get printed off as order executions in the same timestamp. I've never seen one on BATS where the back end just cancels off, or maybe I never noticed. In short, I've never had this problem and didn't realize it was a real problem for anyone.
I have a little algo that tells me how much % of the limits in the ladder are likely FOKs, but really they don't affect my trading at all. I also have one that have not implemented that is basically a FOK noise generator to sned orders to the ladder and cancel them inmediately, used to disrupt the data the others get. I doubt it is anything new that hasn't been used in warfare before.
i've been saying this for many years,but i can repeat this statement one more time: it's seems to me that there is some relationship between entry point and winning rate. mean-hard to get into a trade-easier to win. easy to enter-not easy to make any profit. i have no system for futures,but i have plenty of tricks in my goodies bag to walk away with money every week trading stocks. having said that i have to admit that current market micro structure(HFT,internationalization,subpenny whatever) did reduce my profits(compared to previous years) roughly x5.. yes, 5 times...(confirming statement above)
on top of that for whatever reason i'm starting to lose interest in markets and believe it or not-making the money in general.the game is not that exiting anymore. maybe it's a midlife crisis or something..i don't know. i have tons of ideas,observations(including how to play the games with HFT's),but can't push myself to test them and make another system. my business is dying along with my interest in it. daytrading is exhausting and not a healthy hobby
Fwiw I have actively traded ES since 2006 and each and every year has been more profitable than the previous. I have no problem with fills and the footprints are still there if you look for them. The only differences I have noticed since I started is more spoofing in the dom with size and that it is easier to trip buy and sell programs. To blame HFT on not getting filled is ridiculous. Unless you are trading huge size then this is a non event. Even if you are trading size you break the order up on entry or you pay up to get your fill. If you want in you can get in. I never show my hand when trading on entry unless I am away and have left a resting oco active. If I want in I nail the ask. Want out I nail the bid. Too many people are cheap and want to sit on the bid to try to get long. The spread is just the cost of doing business for me. If the market is moving fast I click price a few ticks out to front run. The goal is to front run on entry and exit, I do it manually, they do it with algos. Maybe HFT has disrupted other's edge but it has not affected my profitability.
Nanex doesn't even come close to supplying HFTs. Of course, that word is so thrown around to mean so many things it is hard to know what people mean. To me, HFT means beating someone at the millisecond or even micro-second level, much of it for rebates an such. Nanex pipes are not able to do that.
If you put up a picture of a person and say, this is HFT, they don't know what they are talking about. All a human would do is calibrate a model, decide on symbols, etc, but the rest is all computer.
You are probably right about nanex and their data feeds I meant they supply the back dated data for analysis but I'm only guessing. Any programmer or normal trader will find this article on a Nat Gas algo interesting, check out the charts with it
http://www.nanex.net/StrangeDays/06082011.html
..."On June 8, 2011, starting at 19:39 Eastern Time, trade prices began oscillating almost harmonically along with the depth of book. However, prices rose as bid were executed, and prices declined when offers were executed -- the exact opposite of a market based on supply and demand. Notice that when the prices go up, the color on the ask side remains mostly unchanged, but the color on the bid side goes from red to violet. When prices go down, the color on the bid side remains mostly unchanged, but the color on the ask side goes from red to violet. This is highly unusual.
Upon closer inspection, we find that price oscillates from low to high when trades are executing against the highest bid price level. After reaching a peak, prices then move down as trades execute against the highest ask price level. This is completely opposite of normal market behavior....cont."
http://www.nanex.net/StrangeDays/06082011.html
..."On June 8, 2011, starting at 19:39 Eastern Time, trade prices began oscillating almost harmonically along with the depth of book. However, prices rose as bid were executed, and prices declined when offers were executed -- the exact opposite of a market based on supply and demand. Notice that when the prices go up, the color on the ask side remains mostly unchanged, but the color on the bid side goes from red to violet. When prices go down, the color on the bid side remains mostly unchanged, but the color on the ask side goes from red to violet. This is highly unusual.
Upon closer inspection, we find that price oscillates from low to high when trades are executing against the highest bid price level. After reaching a peak, prices then move down as trades execute against the highest ask price level. This is completely opposite of normal market behavior....cont."