HFT is Killing the EMini
- Thread starter Dogfish
- Start date
If you don't want HFT "manipulations", just bring back nickel spreads.
That's all it takes.
HFT doesn't add "real" liquidity. The fact that "real" liquidity is low when you factor out HFT isn't the fault of HFT, it's a fault of the markets having driven away potential participants.
That's all it takes.
HFT doesn't add "real" liquidity. The fact that "real" liquidity is low when you factor out HFT isn't the fault of HFT, it's a fault of the markets having driven away potential participants.
HFTs don't add volatility... they add violence. The rapid v-turns and counter-direction pops in this period of time make it tough to hit entries and/or hold positions from point A to B.
The period of 2001 - 2002 and again from 2007 - early 2009 were much "easier" to trade for catching big moves with size... the term "easy" being relative.
Hmmm, late to the discussion, again. I have been involved with a rather length discussion via e-mail on the macro trends of global economy.
Disclosure: For the record, I have a HFT system running in E-mini S&P 500 and other E-mini products.
Actually I "know" the Disruptor rather well, I personally a different term for it. For those in know, this guy would behave quite similar to the Flipper, doing 950 (yep, that was a long time ago), and then mix it up. And by my estimates, this entity accounts for perhaps 5-10%-ish of daily volume in the ES. I have calibrated my system to be sensitive to this "Disruptor" and their "likelihood" of actions, for me, it is a part of life of making a living from trading. There is absolutely no need to be all alarmist about it.
The reality here is, the Exchanges would listen to their biggest customers, and for the past 10 years, the biggest customers tend to be the HFT firms. Take myself as an example, for very small operation, I trade a noticeable daily volume. So of cos when requests from these biggest customers come, the exchanges would listen within realms of reason.
For instance, increasing maximum size, better co-lo facilities, faster quote dissemination. All of these were done to accommodate these customers. I mean, if you were running a business, won't you try to be fair, and yet to be sensitive to the needs of the guys who are essentially writing your paycheck?
Fact is, if ppl can form an "manual trader united" alliance, that vote with their trades, and suddenly ES volume drops by 30/40/50%, I am sure the alliance would get a call from Scott or whomever from CME, "what do you need? let's sit down and talk about it.".
Look at Eurex, they reduced the tick size, much to the disliking of HFT market making systems, so the volume dropped off by 50%, so Eurex had to reverse the tick size decision to try to recover the lost trading volume.
Frankly i don't see what the fuss is all about.
Disclosure: For the record, I have a HFT system running in E-mini S&P 500 and other E-mini products.
Actually I "know" the Disruptor rather well, I personally a different term for it. For those in know, this guy would behave quite similar to the Flipper, doing 950 (yep, that was a long time ago), and then mix it up. And by my estimates, this entity accounts for perhaps 5-10%-ish of daily volume in the ES. I have calibrated my system to be sensitive to this "Disruptor" and their "likelihood" of actions, for me, it is a part of life of making a living from trading. There is absolutely no need to be all alarmist about it.
The reality here is, the Exchanges would listen to their biggest customers, and for the past 10 years, the biggest customers tend to be the HFT firms. Take myself as an example, for very small operation, I trade a noticeable daily volume. So of cos when requests from these biggest customers come, the exchanges would listen within realms of reason.
For instance, increasing maximum size, better co-lo facilities, faster quote dissemination. All of these were done to accommodate these customers. I mean, if you were running a business, won't you try to be fair, and yet to be sensitive to the needs of the guys who are essentially writing your paycheck?
Fact is, if ppl can form an "manual trader united" alliance, that vote with their trades, and suddenly ES volume drops by 30/40/50%, I am sure the alliance would get a call from Scott or whomever from CME, "what do you need? let's sit down and talk about it.".
Look at Eurex, they reduced the tick size, much to the disliking of HFT market making systems, so the volume dropped off by 50%, so Eurex had to reverse the tick size decision to try to recover the lost trading volume.
Frankly i don't see what the fuss is all about.
This was actually done at the request of bank traders to get a more defined fills on the bond auctions. It got rid of the manual prop traders. I was part of the lobby group that got eurex to return the bobl back to full ticks and hence the manual traders returned to it in some form but most just went to eurostoxx and stayed there.
My heart bleeds for these programmers having to give away their "secrets" good thing you can't copy and paste experience.
http://newsandinsight.thomsonreuter..._regulators_seek_high-frequency_secret_sauce/
