Still on the high side.
HFT Killing Retail Traders in ES Futures - NY Times Today
- Thread starter ashantt
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Quote from NoDoji:
When you told me you're going to trade CL my first thought was, I hope he doesn't ask me how I trade it.
Hahaha... No, actually I ask myself why the hell did I spend my time trading Euro for 9-10 hours every day when can make more trading CL for two hours...
Also about to trade NQ, which is liquid enough, but not as fat (and slow) as ES. Yesterday morning was a beautiful day, one of those you don't care not only about the spread, but also some slippage doesn't hurt you at all.
Speaking on the matter of the thread, I think HFT seriously harms scalpers who exploited the smallest possible moves in the markets thus competing with HFT in the same niche.
For us, momentum traders, algos provided a lot of additional liquidity and exaggerate some moves, which is rather good than bad news.
There is a great deal of truth to this.
20 years ago, a retail trader trying to "scalp" the S&P future over the phone - even with a direct line to an arb clerk with a headset standing next to a floor broker, would have consistently gotten picked off by the local scalpers surrounding that floor broker.
These days, a retail trader trying to scalp the ES market using manual 'point and click' methods is going to get picked off by the HFTs.
Nothing has changed. The lesson for the retail trader is to stop thinking that you have an edge by scalping flat price directional instruments in a highly automated marketplace.
Same lesson in my opinion that has withstood the test of time. Same shit sandwich served on slightly different bread.
The Cal-Berkeley professor's claim ( Hendershott ) that the competition between HFTs "lowers the cost for ordinary investors" is just flat out wrong.
How can a crowd of price takers & not price makers improve spreads. HFTs are not sanctioned market makers obligated to make fair/orderly markets & provide liquidity regardless of market conditions. They collectively become a pack/flock/school of hungry mouths that nibble away at whatever is on the book. Collectively their presence will always present a potential destabilizing effect if they all decide to point in the same direction at once, whether long or short. They will only serve to amplify any fundamental or event driven market volatility and result in choppier markets where they wouldnt have been so before. That we know in turn can effect fund manager performance, which in turn affects 401k's & non-trading areas of traditional Wall Street investing. I don't know if this has been mentioned before, but it could also have an effect on option volatilities, which in turn could pump up premiums & thus, creating another distortion.
Also, even if you have just a 1/15 of a second view of a market ahead of 90% of the other market players, it's still an unfair advantage. It's front running regardless what sort of technology you call it. There is no difference between a floor broker taking a few seconds to understand he been handed a big buy block order, bid for his own acct & then begin to work the large bid behind it & selling into that bid or a computer with a line of code doing the same thing in milliseconds. It's still the same unfair advantage only faster.
It's my understanding is that most of the IB's have engaged/invested in this business model to offset losses or increased regulations in other profit centers. So, with that the dance begins between Wall Street & SEC/CFTC. So, get comfortable with them being around for awhile b/c that process is slow at best.
How can a crowd of price takers & not price makers improve spreads. HFTs are not sanctioned market makers obligated to make fair/orderly markets & provide liquidity regardless of market conditions. They collectively become a pack/flock/school of hungry mouths that nibble away at whatever is on the book. Collectively their presence will always present a potential destabilizing effect if they all decide to point in the same direction at once, whether long or short. They will only serve to amplify any fundamental or event driven market volatility and result in choppier markets where they wouldnt have been so before. That we know in turn can effect fund manager performance, which in turn affects 401k's & non-trading areas of traditional Wall Street investing. I don't know if this has been mentioned before, but it could also have an effect on option volatilities, which in turn could pump up premiums & thus, creating another distortion.
Also, even if you have just a 1/15 of a second view of a market ahead of 90% of the other market players, it's still an unfair advantage. It's front running regardless what sort of technology you call it. There is no difference between a floor broker taking a few seconds to understand he been handed a big buy block order, bid for his own acct & then begin to work the large bid behind it & selling into that bid or a computer with a line of code doing the same thing in milliseconds. It's still the same unfair advantage only faster.
It's my understanding is that most of the IB's have engaged/invested in this business model to offset losses or increased regulations in other profit centers. So, with that the dance begins between Wall Street & SEC/CFTC. So, get comfortable with them being around for awhile b/c that process is slow at best.
I'd really like to read a detailed explanation of how anyone can see a market order ahead of time, rather than these huffy assertions. Oh, and details of anyone making a living in any business, by paying the spread.
The explanation is floating around on the web. It's complicated to grasp initially as it is a multi step process happening at light speed. I have also seen pieces on Bloomberg & CNBC explaining it. It involves exploiting lags in the FIX protocols where orders get either aggregated (paused) just for a millisecond such as the case with market orders or just outright bumped out of line of pricing & end up paying up or down as a result on their orders.
These lags happen on a millisecond timeframe & that only a computer can read & execute. Plain & simple it's a high speed, electronic "pickpocket".
They are not paying the spread they are slicing it into sections & giving the investor order flow the ends of the loaf. Call my assertions huffy if you like, but if you think it thru the timeframes from nanosecond to sessions to days weeks & months. Their presence has a accentuating effect on price movement when they all clearly point in one direction. Also, given all the market linkages today via ETF's, index products, futures & options with such direct cause & effect. Yeah, that's what we need another group of thinly veiled market participants profiting for themselves at the greater marketplace's expense.
Sure? Why not?
These lags happen on a millisecond timeframe & that only a computer can read & execute. Plain & simple it's a high speed, electronic "pickpocket".
They are not paying the spread they are slicing it into sections & giving the investor order flow the ends of the loaf. Call my assertions huffy if you like, but if you think it thru the timeframes from nanosecond to sessions to days weeks & months. Their presence has a accentuating effect on price movement when they all clearly point in one direction. Also, given all the market linkages today via ETF's, index products, futures & options with such direct cause & effect. Yeah, that's what we need another group of thinly veiled market participants profiting for themselves at the greater marketplace's expense.
Sure? Why not?
I may be a bit dull in the head ( and not read any posts past this one) but I have this gut feeling that nodoji's post was largely rhetorical.....