HTF alert

Quote from TheBlackHand:

I do not need to try cigarettes to understand they will be detrimental to my well being.

Indeed I have noticed the phenomena you mention. However I would disagree they are a cause of HFT. They are a cause of the psychology of participants of which we are all familiar with.

If it helps, my experience of HFT in the industry is that it is mostly used as an execution method than in a strategy per se. GetCo, Brevan Howard et al. tend to employ traditional traders and convert their ideas in to a HFT platform. The trader then monitors the strategy. Indeed many prime brokers also offer a variety of HFT algo's for execution of large buy-side flow.

The only HFT strategies that tend to used as a strategy in it's own right are market making and statistical arbitrage. Irene Aldridge has written extensively on the subject, and I'd highly recommend her texts should you have time.

The bottom line is that far too many people are 'scared' of HFT. It is becoming the scape goat of too many. It would seem the authors of this software are cashing in on this fear, uncertainty and doubt.

Just my opinion of course.
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Latency arb is huge for these guys, and often results in turning points in the market in my opinion. I suggest reading Broken Markets.
 
Just going to post this here as something interesting. The biggest hft of the day just happened. You can see the stocks they traded in this sub-second program. We'll just have to wait and see if it means anything in the longer time frame. No position.

hft.JPG
 
Fwiw that SPY trade was an intermarket sweep BUY that swept 3 levels for appx 100k shares (.88-.90). He quickly regretted that fill. It ended up being a good sell signal. Without the hft software you would have no idea that this is going on behind the scenes. Whether it would help your style of trading...who knows.
 
Quote from Dustin:

Fwiw that SPY trade was an intermarket sweep BUY that swept 3 levels for appx 100k shares (.88-.90). He quickly regretted that fill. It ended up being a good sell signal. Without the hft software you would have no idea that this is going on behind the scenes. Whether it would help your style of trading...who knows.
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how would u know to buy or sell that hft spike?
 
If your strategy includes taking the other side of big cash buy programs then you would have shorted. Otherwise, you wouldn't care...it's just information.
 
Quote from bigspeculate:

how would u know to buy or sell that hft spike?
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To elaborate on that - can you see just quotes or can you see offers and bids broken down?

I assume whenever there is an imbalance the algos would be quoting and trading so there would be a spike. Whether it is something as large as a Russell rebalance or as small as a single investor buying 100K shares of SPY it still creates an imbalance which is what most of these guys are looking for.

Would be interested to know if you could see the bids vs. offers quote ratios or if it's just a quote volume spike. If just a quote volume spike that'a a great tool for a manual trader... if it breaks down bids vs. offers I can see an edge there in the automated space.

How delayed do they deliver this to you?
 
Quote from WinstonTJ:

To elaborate on that - can you see just quotes or can you see offers and bids broken down?

I assume whenever there is an imbalance the algos would be quoting and trading so there would be a spike. Whether it is something as large as a Russell rebalance or as small as a single investor buying 100K shares of SPY it still creates an imbalance which is what most of these guys are looking for.

Would be interested to know if you could see the bids vs. offers quote ratios or if it's just a quote volume spike. If just a quote volume spike that'a a great tool for a manual trader... if it breaks down bids vs. offers I can see an edge there in the automated space.

How delayed do they deliver this to you?
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I can only see how many orders, and how many trades executed during that second. No bid/ask. The software is real-time. I never tried to ping for ms test though if that's what you're asking.

For someone with programming experience and a nanex feed you could recreate the program with much more order detail, and the ability to autotrade it.
 
Quote from Dustin:

Just going to post this here as something interesting. The biggest hft of the day just happened. You can see the stocks they traded in this sub-second program. We'll just have to wait and see if it means anything in the longer time frame. No position.

hft.JPG
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If you look back at 13:58, you'll see a decent spike without any following spikes. According to hft alert site, a lack of follow through often reverses price, which is exactly what happened.
 
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