HFT robots seeing orders before the exchange ?

[Bob111]

Quote from softdown:

I asked Bob111 above for the name of the stock where he got screwed.

If anyone knows of other stocks where HFT shenanigans are obvious please post them here (or PM me if you prefer).

have to look into my records,cause it's not unusual for me to have 100-200 trades a day. i can't remember all of them. the real problem for me will be IB's new "format" for T&S window.cause it's literally sore for my eyes.

Occam-i agree,but IB aren't dummies too .they knew this and that's precisely why they have additional charge for directed orders via API.
but i'm pretty sure that 'they" would be able to pull out orders regardless to how or where i submit mine.
i've seen it all the time day for many many years.

 

[softdown]

Quote from Bob111:

have to look into my records,cause it's not unusual for me to have 100-200 trades a day. i can't remember all of them. the real problem for me will be IB's new "format" for T&S window.cause it's literally sore for my eyes.

Occam-i agree,but IB aren't dummies too .they knew this and that's precisely why they have additional charge for directed orders via API.
but i'm pretty sure that 'they" would be able to pull out orders regardless to how or where i submit mine.
i've seen it all the time day for many many years.

Bob, maybe you can check if your order was executed by the exchange by getting the historical market data the next day and looking for your trades.
In order to "recognize" your trades you will probably need the exact time you sent them and the time they were reported matched, the quantity, etc.. It should be doable except maybe for the most liquid ones.

 

[Dustin]

Anyone still using "lit" orders to remove liquidity is going to get gamed by hft. They can pull their quotes faster than you can execute. There is a simple solution to this if your broker offers it...dark books and/or ioc orders. I switched everything over to PDQ (a darkbook smart router) last year and will never go back. Even if you aren't removing liquidity the hft's are constantly flashing their quotes to see who doesn't flash (hint:dumb money) so they can get a true picture of the book and only execute if it's in their best interest. There's NO benefit to using lit orders in this market, you are the chump at the poker table.

 

[Bob111]

Quote from softdown:

Bob, maybe you can check if your order was executed by the exchange by getting the historical market data the next day and looking for your trades.
In order to "recognize" your trades you will probably need the exact time you sent them and the time they were reported matched, the quantity, etc.. It should be doable except maybe for the most liquid ones.

to be honest- i see no value doing all this to "proof" something that we all already know.
and we all know the truth-there is nothing we can do about it and it's not something unusual(as you might see from posters in this thread)
i'm not "unique" with such problems

 

[PocketChange]

Right attitude.

You have to swim with the sharks and put food on the table.

Quote from Bob111:

to be honest- i see no value doing all this to "proof" something that we all already know.
and we all know the truth-there is nothing we can do about it and it's not something unusual(as you might see from posters in this thread)
i'm not "unique" with such problems

 

[softdown]

Quote from Dustin:

Anyone still using "lit" orders to remove liquidity is going to get gamed by hft. They can pull their quotes faster than you can execute.

What do you mean by "lit" orders ?

If you send directed orders to an exchange they shouldn't be able to "pull before you execute" because they shouldn't be able to see your order before it's executed by the exchange (except for your broker who can see it).
Care to explain your point in more detail ?

 

[Occam]

Quote from Dustin:

Anyone still using "lit" orders to remove liquidity is going to get gamed by hft. They can pull their quotes faster than you can execute. There is a simple solution to this if your broker offers it...dark books and/or ioc orders. I switched everything over to PDQ (a darkbook smart router) last year and will never go back. Even if you aren't removing liquidity the hft's are constantly flashing their quotes to see who doesn't flash (hint:dumb money) so they can get a true picture of the book and only execute if it's in their best interest. There's NO benefit to using lit orders in this market, you are the chump at the poker table.

Only very rarely has anyone "pulled" the bid or ask on a lit exchange before I have been able to get a directed order to trade against it. I've had internalizing (retail) brokerages cause me to miss trades, but rarely (if ever) through a DMA account. Although I agree that IOC can be useful, if that is your intention.

But I steer clear of non-exchange dark pools -- they are generally run by firms that could conceivably have their own entities or "affiliates" trading in them. I doubt there's any limit to what they can do to your order in there -- google "pipeline" for an example of one that got caught (which I'd wager is the minority).

 

[d138]

Quote from Bob111:

5 f** times i tried to sell at bid today on one not so liquid piece of shit stock . 5 f** times! SELL AT BID. every time they withdraw it and move bid few cents lower. how about that? finally-IB picked my shares just to resell them for couple pennies more 5 seconds later. what a world we are trading in...f** this "business"..what a pathetic place US stocks markets have became..

Switch to the normal broker and stop using cheap routing strategies. There is no way HFT could be blamed for your problems. If you are using the right technology *nobody* will see you order until the trade happens.

 

[Dustin]

For guys that only trade <500 shares on average per trade the abusive hft's aren't going to be much of a problem. It's when you want multiple thousands that the hft's pull because they see your order hitting the queue so they move up a level.

Say XYZ is showing 5k offered and it's made up of 5 hft's with 1k each for simplicity. Once you get the first thousand the other guys can back away before your order routes to them. They sit a penny higher while you have 4k new bid. It happens all the time.

The fear of using abusive dark books is reasonable, but that's why I use PDQ because they are a smart darkbook router that matches many marketable orders internally with their hft partners. Example, in the case above you try to take the level, their partners have 20ms to respond with a one or two sided market without knowing your price or size. In the above example you would probably get half the order filled internally, then they ping darkbooks, and only then do they ping lit markets. They go through all this trouble to avoid the situation described above.

 

[jtrader33]

Quote from trader422:

But I've been kind of infatuated with hidden orders since IB allowed them last August

I tried hidden orders with IB once before and immediately stopped using them because they were not routing out if orders became marketable away (as IB said they should). IB claimed it was fixing this, so I've tried using them again yesterday and today. They don't work anywhere close to what IB claims. I've had stock go offered .04 through my bid today and stay that way for 5 minutes without executing.