The 5000 shares is a bait. This is trading. Nobody will show their hand. You can only try to discover liquidity by hitting the posted quotes. Market reacts to each and every trade. Please leave your WalMart psychology behind when coming to trade. This is exchange and taking any side of the trade is voluntary. Nobody has any obligation to buy it from you at the price you desire. HFT has nothing to do with it. It was always like that and always be regardless of the speed of the market.
Is this HFT?
- Thread starter bonds
- Start date
The 5000 shares is a bait. This is trading. Nobody will show their hand. You can only try to discover liquidity by hitting the posted quotes. Market reacts to each and every trade. Please leave your WalMart psychology behind when coming to trade. This is exchange and taking any side of the trade is voluntary. Nobody has any obligation to buy it from you at the price you desire. HFT has nothing to do with it. It was always like that and always be regardless of the speed of the market.
I generally get my executions, but if it's a race between HFT and you to get the last set of shares, good luck. Someone will come in, sweep the market, and you will be too late.
Is there HFT in forex too? How do you get started...what are some first questions you ask when you want to start HFT? This is fascinating to me..how many are doing it?
5000 may have been there, it may not have. But 5k is the maximum size the market makers are showing when I look at it now, meaning if some other guy came in and hit the book when Bonds did, he likely waited too long because they were reacting to other trades around the time bonds tried to get his execution.
Bonds, do you mind sending me the time you attempted the fill? I'd like to look more closely at what happened. Private message is fine.
What I dont understand is how can the HFT firms see your order and then decide to cancel. By that point isnt it too late?How can an order to buy just sit around until the order to cancel comes in from the HFT computer? Doesnt the response time take longer (ie the speed of light).
Also isn't it in the exchange's best interest to not let that happen.
Also isn't it in the exchange's best interest to not let that happen.
That doesn't look like HFT, that looks like an aggressive internalizer. What firm are you at?
its not rare case.
Believe me or not i had some example
bid/ask 5.24 5.30 bid/ask both around few thousand shares
i have 100shares!!!
i put 5.29 large size went 5.28. I put 5.27, large size went 5.26
i put 5.25. Instantly was fill 5.24
and next stop was 5.20/5.23....
i sold 5.20...
so i needed only 100 shares to move market 0.1 altough there were visible k-s blocks and it was impossible to do damage with 100 shares...
Believe me or not i had some example
bid/ask 5.24 5.30 bid/ask both around few thousand shares
i have 100shares!!!
i put 5.29 large size went 5.28. I put 5.27, large size went 5.26
i put 5.25. Instantly was fill 5.24
and next stop was 5.20/5.23....
i sold 5.20...
so i needed only 100 shares to move market 0.1 altough there were visible k-s blocks and it was impossible to do damage with 100 shares...
you had an order to sell at 5.25 and it was filled at 5.24?