Red, I think people are confused here about what you are trying to say. Which instrument is so laden with HFT mosquitos that we get the triple E disease and cannot get filled on our orders?
Index Spread Traders
- Thread starter Real Money
- Start date
Red, I think people are confused here about what you are trying to say. Which instrument is so laden with HFT mosquitos that we get the triple E disease and cannot get filled on our orders?
Not really. If you really want to compare that spread to anything in equities you would have to try to go to market on something like ESU/ESZ. What if you move to Chicago and lease a seat then can you get filled at the market? Can a CME member get filled at the displayed quote on a E-Mini?
I will end this and this will be my last statement.
YOU WILL SEE LIQUIDITY PROBLEMS
1. when you do any size over a 5 lot in the nq or es on a limit order
2. when you are trying to do any size in spread
slippge, fees etc. will cost you. most of the time if you want to scalp spreads you should just come up with a much better way to scalp the outright market. that is my only point ok.
if you really want to prove your point do this trading for real. YOU CANNOT USE DEMO acct to ever test spead trading,. you understand this right? why because it fills you when you would never be filled especially mkt orders.
that was my public sfety announcement about trying to get cute and play with the big HFT in spread trading. LIVE AND LEARN but dont say i did not warn you first.
HAVE FUN wish you the very best of luck in your endeavor
YOU WILL SEE LIQUIDITY PROBLEMS
1. when you do any size over a 5 lot in the nq or es on a limit order
2. when you are trying to do any size in spread
slippge, fees etc. will cost you. most of the time if you want to scalp spreads you should just come up with a much better way to scalp the outright market. that is my only point ok.
if you really want to prove your point do this trading for real. YOU CANNOT USE DEMO acct to ever test spead trading,. you understand this right? why because it fills you when you would never be filled especially mkt orders.
that was my public sfety announcement about trying to get cute and play with the big HFT in spread trading. LIVE AND LEARN but dont say i did not warn you first.
HAVE FUN wish you the very best of luck in your endeavor
nope. memebrship has its priviledges but speed isn't really one of them unless you pay for it.
Yep you have lost your mind. You should try CQG data feed, they are insta-fills on 5 lot orders on a price ladder that has multiple tens of orders on the side you are trying to hit. Maybe they have a better link to the order book?
I tell you what though. Don't try to play the forward equity future months, they would drive you to claims of witchcraft. And we can't have that around here!
YOU WILL ALWAYS GET FILLED AT MKT!! but it wont be conducive to spread scalping or spread day trading. you are forgetting that you will not be 100% accurate on your trades and you hve the same problems you had with outright trading. you will hold losers too long and sell winners too early. that is what happens in all trading on all charts. but with spreads you really take it on the chin because you are now 2x3 so 5 commissions and 10 slippages. on mkt orders. you are trying to perfectly match a theoretical price that become relative in 2 different instruments that yes are correlated but each stock has it's own weight. HFT monitors and trades these on purpose to manipulate the limit levels in the order book. if you can control the mkt. 1 tick limit at a time then you control the entire mkt. why do you think they want those towers? it must be almost RISK FREE. do you know how long a micro second really is? 1 millionth of a second.
they fill your order and then redeploy sets of orders based on all the orders that they just filled in the last 5 or 10 second bucket of time. see they know which way to go to force you out. this makes them profitable. you only know that you are filled.. an eternity after they know you are filled! do you understand.
lets say 15 microsecodns for hft to deploy an order which is probably high.
if 1 microsecond is a day of time.. then 1 second is equal to 2,739 years!!! of time do you understand what I am saying to you now?
15 microseconds would be 15 years and your 1 second latency off of the chart and then your 1 second latency to know you are filled is over 5,000 years latent.
forget hft. imagine it is you versus me. ok. I have sophisticated and fast software. you click amouse.
i see your order on the book at es500 2905.25.. it is a limit order to buy at that price.
My computer system says.. well in the past 5 seconds I filled or matched 435 orders
80% of those were retail FCMs and they were also buying. so now I am short 435 orders. am i really going to move it up? no I am going to defend my shorts and force all those retail orders to sell so I Can buy them back lower and make hft profit.
back to your order. my computer system say ok.. match that order at 2905.25. I buy it at 2905.25 now I know you are filled right.. in 15 microseconds I know i filled you. you are still sitting there.. saying man i hope it trades below my price so I am filled. or you are watching the dom and saying why am i not filled yet! why am i always last to fill in que? well because I have multiple iceburg orders in ques before you that I can cancel and give my other orders priority. I ahve levelled the book legally. I want to get filled but the mkt changes quickly so i can cancel and replace orders. so I know after 15 YEARS of time and i have over 4000 more years of time to place new orders to mess with you and get my set up right to cost you money. I see during this period of time.. after 15 microseconds that as soon as i filled you on a 3 lot in your NQ mini that another 2 lot es mini mkt order showed up.. well i have 2905 years of time to decide what I am going to do with your order! that is a huge amount of time man. traders do not understand that wether time is in days hours minutes or seconds or milliseconds or microseconds that t computers it is the same amount of time.
it is not human time. it is time.
lets say a micro second is a second ok. hft fills you in 15 microseconds.. so 15 seconds. it takes 1 second for your fcm to forward you the fill. .so that would be 1 million seconds or 277 hours or 11 days! you do not get your fill for 11 days after you made your trade. the hft knows for that length of time they filled you. they also know during that length of time ALL the other orders they filled and what has happened during that time. THIS IS CALLED INFORMATIONAL ADVANTAGE. it should be illegal. it is not a level playing field. why do you thinkn the billionaires like virtu and citadel are all over it!!!!!! it should be fing illegal. it is cheating on a grand scale. this is why no real value can ever be given to a stock or index ever.
it is incredibly amazing that investors and traders actually put up with this racket and the SEC and cftc know all about it but they also get PAID by the trade. the more trades the more money the GOV gets.
wish you the best. at least you are thinking outside of the box but it stopped working back in 2008
they fill your order and then redeploy sets of orders based on all the orders that they just filled in the last 5 or 10 second bucket of time. see they know which way to go to force you out. this makes them profitable. you only know that you are filled.. an eternity after they know you are filled! do you understand.
lets say 15 microsecodns for hft to deploy an order which is probably high.
if 1 microsecond is a day of time.. then 1 second is equal to 2,739 years!!! of time do you understand what I am saying to you now?
15 microseconds would be 15 years and your 1 second latency off of the chart and then your 1 second latency to know you are filled is over 5,000 years latent.
forget hft. imagine it is you versus me. ok. I have sophisticated and fast software. you click amouse.
i see your order on the book at es500 2905.25.. it is a limit order to buy at that price.
My computer system says.. well in the past 5 seconds I filled or matched 435 orders
80% of those were retail FCMs and they were also buying. so now I am short 435 orders. am i really going to move it up? no I am going to defend my shorts and force all those retail orders to sell so I Can buy them back lower and make hft profit.
back to your order. my computer system say ok.. match that order at 2905.25. I buy it at 2905.25 now I know you are filled right.. in 15 microseconds I know i filled you. you are still sitting there.. saying man i hope it trades below my price so I am filled. or you are watching the dom and saying why am i not filled yet! why am i always last to fill in que? well because I have multiple iceburg orders in ques before you that I can cancel and give my other orders priority. I ahve levelled the book legally. I want to get filled but the mkt changes quickly so i can cancel and replace orders. so I know after 15 YEARS of time and i have over 4000 more years of time to place new orders to mess with you and get my set up right to cost you money. I see during this period of time.. after 15 microseconds that as soon as i filled you on a 3 lot in your NQ mini that another 2 lot es mini mkt order showed up.. well i have 2905 years of time to decide what I am going to do with your order! that is a huge amount of time man. traders do not understand that wether time is in days hours minutes or seconds or milliseconds or microseconds that t computers it is the same amount of time.
it is not human time. it is time.
lets say a micro second is a second ok. hft fills you in 15 microseconds.. so 15 seconds. it takes 1 second for your fcm to forward you the fill. .so that would be 1 million seconds or 277 hours or 11 days! you do not get your fill for 11 days after you made your trade. the hft knows for that length of time they filled you. they also know during that length of time ALL the other orders they filled and what has happened during that time. THIS IS CALLED INFORMATIONAL ADVANTAGE. it should be illegal. it is not a level playing field. why do you thinkn the billionaires like virtu and citadel are all over it!!!!!! it should be fing illegal. it is cheating on a grand scale. this is why no real value can ever be given to a stock or index ever.
it is incredibly amazing that investors and traders actually put up with this racket and the SEC and cftc know all about it but they also get PAID by the trade. the more trades the more money the GOV gets.
wish you the best. at least you are thinking outside of the box but it stopped working back in 2008
I use the cqg data feed.. they dont have any more liquidity than any other feed. liquidity is from the CME engine only or else it is illegal. quite the monopoly isn't it.
..."well because I have multiple iceburg orders in ques before you that I can cancel and give my other orders priority. I ahve levelled the book legally. I want to get filled but the mkt changes quickly so i can cancel and replace orders..."
So you are spoofing. That is illegal. It really just comes down to that.
..." I want to get filled but the mkt changes quickly so i can cancel and replace orders...."
Spoofing is illegal.
"... you do not get your fill for 11 days after you made your trade. the hft knows for that length of time they filled you. they also know during that length of time ALL the other orders they filled and what has happened during that time. THIS IS CALLED INFORMATIONAL ADVANTAGE. it should be illegal. it is not a level playing field. why do you thinkn the billionaires like virtu and citadel are all over it!!!!!! it should be fing illegal. it is cheating on a grand scale. this is why no real value can ever be given to a stock or index ever.
it is incredibly amazing that investors and traders actually put up with this racket and the SEC and cftc know all about it but they also get PAID by the trade. the more trades the more money the GOV gets..."
Spoofing is illegal, and unfair to other market participants. Please do not engage in it. As for the rest of us, we little mom-and pops? Our orders are filling just fine. LIMIT ORDERS.
Yes, we know how MARKET ORDERS work! Our LIMIT ORDERS are working just as fine as our MARKET ORDERS. Jeez, all this shoutyness.
So you are spoofing. That is illegal. It really just comes down to that.
..." I want to get filled but the mkt changes quickly so i can cancel and replace orders...."
Spoofing is illegal.
"... you do not get your fill for 11 days after you made your trade. the hft knows for that length of time they filled you. they also know during that length of time ALL the other orders they filled and what has happened during that time. THIS IS CALLED INFORMATIONAL ADVANTAGE. it should be illegal. it is not a level playing field. why do you thinkn the billionaires like virtu and citadel are all over it!!!!!! it should be fing illegal. it is cheating on a grand scale. this is why no real value can ever be given to a stock or index ever.
it is incredibly amazing that investors and traders actually put up with this racket and the SEC and cftc know all about it but they also get PAID by the trade. the more trades the more money the GOV gets..."
Spoofing is illegal, and unfair to other market participants. Please do not engage in it. As for the rest of us, we little mom-and pops? Our orders are filling just fine. LIMIT ORDERS.
Yes, we know how MARKET ORDERS work! Our LIMIT ORDERS are working just as fine as our MARKET ORDERS. Jeez, all this shoutyness.