From WSJ money and investing:
http://online.wsj.com/article/SB100...003146372804.html?mod=ITP_moneyandinvesting_0
http://online.wsj.com/article/SB100...003146372804.html?mod=ITP_moneyandinvesting_0
High speed trading under fire
- Thread starter weezy
- Start date
It is about time. I wonder how well that will be worded - for example, it should not block
(a) automated strategies that trade rarely / based on higher timeframes by making them delay orders or stops
(b) strategies that with high frequency adjust stops for positions mostly in ONE way
(c) strategies that decide to exit fast.
It should definitely squander stuff like
* Front Running by Flash Orders
* Quote Stuffing - i.e. the idea to submit orders without any intention to execute them, up to what I personally and some country laws consider computer crime: intentionally overloading quote systems with fake orders to give most market players a wrong i.e. outdated view of the market.
Let's hope they get it right
(a) automated strategies that trade rarely / based on higher timeframes by making them delay orders or stops
(b) strategies that with high frequency adjust stops for positions mostly in ONE way
(c) strategies that decide to exit fast.
It should definitely squander stuff like
* Front Running by Flash Orders
* Quote Stuffing - i.e. the idea to submit orders without any intention to execute them, up to what I personally and some country laws consider computer crime: intentionally overloading quote systems with fake orders to give most market players a wrong i.e. outdated view of the market.
Let's hope they get it right
I'd guess there'll be a bigass market maker exemption.
There does not have to be, just sensible limits.
On the CME the order book is 10 deep on both sides, that is 20 levels.
A market maker will have a HARD time pushing 20.000 updates per second on that
That is like a total order book update on every tick - makes no sense.If they're quoting index futures against the basket ..Quote from NetTecture:
There does not have to be, just sensible limits.
On the CME the order book is 10 deep on both sides, that is 20 levels.
A market maker will have a HARD time pushing 20.000 updates per second on that
And they're amending size down as basket component liquidity reduces ..
And they're adding a new order when basket component liquidity increases (to maintain queue priority) ..
Then there can still be a lot going on.
Multiple orders on the same price step.
That's not correct.
The book exposed on the main feed is only a 10 deep MBP - the actual MBO book can be (and often is) thousands deep.
High Frequency Trading is the equivalent of 'shaving', the practice of shaving a small amount from gold coins, then passing the coins on. It produces nothing, it only steals from the flow of wealth.