HFT is Killing the EMini

[austinp]

Quote from volente_00:

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.

The difference in ES now versus years past (I have traded SPX options or ES since late 1999) is the structure of price movement.

Before the directional turns or transitions were mostly rounded, cup & handle, 1-2-3 type sequences. That came from thicker open interest, two-way markets and deliberate accumulation => distribution behavior.

Now the general price structure is all sudden v-turns, and most true turns follow higher high or lower low swings before a sharp reversal slams the other way.

So it was easier in the past to add size on positions as the price action stepped higher or lower, and it was easier to trust what you saw because of more deliberate price action.

Now the algos strip several strikes or handles going one way, take it a few ticks beyond to trigger resting stops and then rip back the opposite direction to clear that side, too.

ES traders never really know if they are seeing a pullback against the "trend" or a complete out-of-blue reversal that's running deep the other way.

**

Goes back to what I said earlier: nobody is coming forward saying how they are killing this market, racking up huge gains like they did (with blotters) back in 2007 - 2008.

Unless a bunch of traders come forward with recent blotters showing six or seven figure days / week from the recent VIX spike to near 50, everything needed to know about then versus now is spoken within that silence

 

[austinp]

Quote from Zr1Trader:

Adapt and survive or move out of the way please

as I said before.. the survivors HAVE adapted.

they adapted by trading smaller size for smaller relative gains from more trades and harder work in the process.

that's the process of adaptation inside adverse conditions

 

[CrackPipe]

Quote from Bob111:

heh..off course it have nothing to do with HFT..when posted bid is 1000 shares and you trying to sell 500 and got fill only 5 and bid moved away 10-25 cents without any trades..yep..it's all "basic survival"..trying to sell at ask? 1000's of shares at your price-no fill, then price drop..why? ah..someone was on front of you with hidden order at 0.00001 better than yours..shit..basic survival strikes again! got more BS?..

yeah i have -

STOP BITCHING LIKE A LITTLE GIRL

if you dont like it, move to another market. it aint difficult.

there are 100's of markets all over the globe. there is no rule that says ' thy must trade rigged usa markets'. in fact, given that no one in the whole wide world (yes there is civilisation outside usa borders) is buying $, youd also benefit from fx rates with your cash denominated in another currency.

i bet with all your years of stated experience, you never thought of that!

retail piker?

you dont have to be. think big. act big. be bigger.

eg look at canada. they havent suffered much at all sinse 2008. in the last few weeks the TSX 60 only lost 4%. hardly any hft there, and a vastly different rule book to any usa market.

hope that helps genius!

 

[ogarbitrage]

Quote from Bob111:
..when posted bid is 1000 shares and you trying to sell 500 and got fill only 5 and bid moved away 10-25 cents without any trades..yep..it's all "basic survival"..trying to sell at ask? 1000's of shares at your price-no fill, then price drop..why?

Can you cite one of the stocks this happens on?

 

[newtricks]

Quote from ogarbitrage:

You have absolutely no idea what you are talking about, do you?

I've told you once nicely to basically fuck off.

I don't want to have to be abusive towards you but I will if you hassle me again.

I sincerely hope you understand this simple message.

 

[Bob111]

i'm not bitching,i'm pretty successful in what i'm doing and probably did better than 99.9% of ET members. i do understand that nothing last forever. no problem there.we talking about HFT and it's impact on trading here,right? i just provide real person,retail level trader experience. you can call it bitching,if you like...good luck with your trading career and good bye

 

[dumb_mother]

Quote from Clubber Lang:

$10,000 cash bet (let Baron hold the cash) that everything I wrote is true.

Nasdaq allows orders to be pulled AT THE SAME DECIMAL LEVEL that incoming orders should hit. It's been that way for years.

Buck up your 10k piker. Actually shocked that people don't know this. The depth of book on NAZ is the biggest spoof going. After the first 2 or 3 levels, algo's can pull without filling.

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.

maybe it is different in the stock markets- but saying that is the case in the futures is just a load of crap. i know when i click with 300 zn's and there is an offer of 297 i get all 297 and end up with a bid for 3- maybe if you try and click with 3 100 times it might not work, but one clicking into a resting bid or offer = you get all you want.

and clubber you make me laugh calling me a "piker"- i do realize most people that post here are, but if you actually think you are a good trader... please come trade the treasury futures curve so i can pick you apart like i do the rest of the world every day.

 

[rosy2]

Quote from austinp:



Now the algos strip several strikes or handles going one way, take it a few ticks beyond to trigger resting stops and then rip back the opposite direction to clear that side, too.

cool, if this is true I can write a simple algo to make moolah. thanks

 

[rosy2]

the only people complaining about HFT are the guys who have been automated out of jobs. a "trader" is now an operational role, making sure nothing is out of wack.

 

[Dustin]

Quote from austinp:

Unless a bunch of traders come forward with recent blotters showing six or seven figure days / week from the recent VIX spike to near 50, everything needed to know about then versus now is spoken within that silence

One big difference between 2008 vs. 2011 is the bots are smarter during panic moves. In 2008 a good scanner could find some outrageous moves, like shooting fish in a barrel. The main reason imo is that the algos don't panic, and nobody uses humans to execute anymore.

This is a large part of why you didn't see $500k+ days lately. Traders I know were putting up $50-100k days, but these were the same guys that would have done $100k-1M days a few years ago.

For myself the past weeks have provided a few $10-20k days but nothing to get too excited about.