Don't take a knife to a gunfight......
Don't hate the player, hate the game...
There's got to be at least a dozen or so more
Don't hate the player, hate the game...
There's got to be at least a dozen or so more
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HFT Killing Retail Traders in ES Futures - NY Times Today
- Thread starter ashantt
- Start date
Depends on the exchange (& I think you know this). Some funny business on certain omx based exchanges, working around OUCH to binary apis. Either way, you're not going to "see" a market order before it's matched. Pretty obvious, by definition, I would have thought.Quote from 2rosy:
if there are lags it wouldn't be in FIX protocol it would be in the network protocol itself when batching packets. Anyway, OUCH is used for most equity trading not FIX
computers closest to the order entry read it milliseconds faster than the next one further away,as simple as that.... this was in april ,12, it says 65%,i think it is larger by now... http://www.youtube.com/watch?v=V43a-KxLFcgQuote from Rationalize:
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.
Quote from J-Law:
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.
That isn't because of FIX or any other protocol issue. It's because the orders are in all likelihood going through a broker/bank SOR. Ahead of the SOR, it's your trade. After the SOR, it's their trade.
There is a great deal of plumbing between a dude staring at a screen and actual execution on an exchange.
if you look up archipelago ,the first electronic clearing firm, and its eventual selling to a handful of large houses,the research will tell you that your acct has a number like your ss #,it is in the system,it also says whether your long or short and avg size you trade,where your stops are and so on,now if the larger houses have all this data ,and they do a little research they can come up with an avg retail long or short and stops and run it to the most profitable spot,they can also differentiate between the 1 lot n 10 lot scalper and the massive positioned hedge funds in the same manner,it's not public knowledge but it's not insider info unless they sell it (i think)so they basically own the proverbally golden goose,Quote from Random.Capital:
That isn't because of FIX or any other protocol issue. It's because the orders are in all likelihood going through a broker/bank SOR. Ahead of the SOR, it's your trade. After the SOR, it's their trade.
There is a great deal of plumbing between a dude staring at a screen and actual execution on an exchange.
Quote from gmst:
90% of ET hates emg for his preaching, but there is some truth in above post. In today's world (not 1980s and 1990s), higher education, good math and computer science skills are way more important because other participants (read HFTs) are way more sophisticated.
I disagree totally, I believe cause of the computer, there are much less educated traders, all want it fast and they believe using a computer will get it that way. No one wants to study Price Action, or totally understand TA is not going to give but a little piece of information. No one will study for 1-2 years before putting on a trade. Spending all your time crunching numbers, you will learn little of the nuances of Price, Time, Reports, Cycles and People.
I have mentored for past 17 years, and always the same for each and every one of them, 10% of trading is system and 90% is game playing with one's emotions. The market displays what "IT" wants you to see in ES, it has never been a market that trends often, there are litterally over fifty patterns that reoccur that shout when you need to get out of the market cause price will change. But sitting there and having PC whirl has little chance of one seeing bar by bar.
Because the ES has so many reoccuring patterns, thats why I trade it, but I really believe that unless you have help or willing to take a couple years to discover the patterns, any other market is the way to go. HFT brings different oportunities to those who can discover them. But truly the big money is still in much longer term trading.
One has to learn to adapt then to blame.
Quote from J-Law:
& in that plumbing is where the "fun & games" takes place.
Alpha comes from inside knowledge. Either the traditional kind of insider trading, or from intimate understanding of how it's all put together.
When retailers think they've found an edge, it's almost invariably because they accidentally (and usually temporarily) stumbled across a plumbing artifact.
IMO, etc.