I've been telling you clods this for years
- Thread starter stock777
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I agree, this business is so competitive and the barriers to entry are so small that no way can these so called HFT's have their way with the market like people think. Sorry, not gonna happen. These are conspiracy theories.
Do you really think that a couple HFT's are going to corner the market and just print money as if they own the market? Fuck no.
You would have hundreds of players like, screw you we're getting in on this and so they all get squeezed and you get the point.
Now take off your aluminum foil hats.
something like this goes on in the futures markets
size shown ... sometimes for a millisecond or a second
then "poof"
also .... there have been "fat finger" spikes up and down
( or at least it looks that way on a multi time frame chart )
almost weekly in every commodity I follow and trade
sad time indeed ...
size shown ... sometimes for a millisecond or a second
then "poof"
also .... there have been "fat finger" spikes up and down
( or at least it looks that way on a multi time frame chart )
almost weekly in every commodity I follow and trade
sad time indeed ...
Quote from SethArb:
something like this goes on in the futures markets
size shown ... sometimes for a millisecond or a second
then "poof"
also .... there have been "fat finger" spikes up and down
( or at least it looks that way on a multi time frame chart )
almost weekly in every commodity I follow and trade
sad time indeed ...
why would you even bother looking at size on the book?
To me thats just retarded. A bot can cancel an order in a nano second so who gives a shit about size.
There have been numerous threads on ET about "fake" limit orders, but I have never seen anybody ever do any sort of study of it. Just constant complaining.
It's really not that hard. Just write some code and quantify it or find somebody else to write the code. You can do it with the TWS API - just look at the changes in the book and compare with the traded volume. The difference will be the cancels. Not exactly rocket science. Other APIs that provide explicit book cancel events would be even easier to use.
No doubt some instruments will have a larger ratio of cancels to trades than others. If this bothers you, then trade the instruments with lower levels of "faking".
Advocacy for more regulation would carry more weight if supported by hard data.
It's really not that hard. Just write some code and quantify it or find somebody else to write the code. You can do it with the TWS API - just look at the changes in the book and compare with the traded volume. The difference will be the cancels. Not exactly rocket science. Other APIs that provide explicit book cancel events would be even easier to use.
No doubt some instruments will have a larger ratio of cancels to trades than others. If this bothers you, then trade the instruments with lower levels of "faking".
Advocacy for more regulation would carry more weight if supported by hard data.
most people complaining about this type of thing are single product directional traders. if they do trade multiple products, they're still looking at each as single entities for directional type plays ignoring the multi-dimensionality of most stocks/products and markets in general. if a non-directional mindset is applied though, a lot of the 'fake' stuff isn't that hard to explain.
put yourself in the position of a market maker with a large book of inventory over multiple products who's trying to keep neutral exposure with hundreds of hedges (some more exotic - multiple asset classes - than others). at any given moment, you may get lobsided requiring multiple market cancellations or liquidity additions, or a liquidity opportunity may show up giving you an opportunity to position yourself in an illiquid market requiring you to search for an offset. as these events come and go your orders are updating to reflect these changes and some of these changes may last for only short periods of time. now multiply this by the many market making firms, hedge funds, brokers, and banks who are all doing similar things. none of this is anything new and nothing has really changed in how markets work. it's just with automation and the advancements in thechnology, it's all happening at blazing speeds and at much higher turnover than ever before.
that's not to say there isn't 'fake' liquidity that gets flashed around, but a lot of the quick updates of liquidity out there that i see, the majority of times is correlated to some other product or event not related to the product in question. also, i think this whole concept of 'fake' this or that is a very limiting belief, because there's information in everything: if it's live, it can get stuffed, if it gets stuffed, someone is either happy or in a lot of pain... with a good eye, you can detect which one pretty quickly.
also, re: fairness: it is, and always has been, the battle cry of the weak. you either adapt or lay down. that's life.
put yourself in the position of a market maker with a large book of inventory over multiple products who's trying to keep neutral exposure with hundreds of hedges (some more exotic - multiple asset classes - than others). at any given moment, you may get lobsided requiring multiple market cancellations or liquidity additions, or a liquidity opportunity may show up giving you an opportunity to position yourself in an illiquid market requiring you to search for an offset. as these events come and go your orders are updating to reflect these changes and some of these changes may last for only short periods of time. now multiply this by the many market making firms, hedge funds, brokers, and banks who are all doing similar things. none of this is anything new and nothing has really changed in how markets work. it's just with automation and the advancements in thechnology, it's all happening at blazing speeds and at much higher turnover than ever before.
that's not to say there isn't 'fake' liquidity that gets flashed around, but a lot of the quick updates of liquidity out there that i see, the majority of times is correlated to some other product or event not related to the product in question. also, i think this whole concept of 'fake' this or that is a very limiting belief, because there's information in everything: if it's live, it can get stuffed, if it gets stuffed, someone is either happy or in a lot of pain... with a good eye, you can detect which one pretty quickly.
also, re: fairness: it is, and always has been, the battle cry of the weak. you either adapt or lay down. that's life.
Isn't this sentence a contradiction?
"Fakeness is due to actual trading"
What is the criteria for marking something as fake? or even as actual?
As soon as you establish criteria, the game is rigged, only then. I give you an example:
100 girls for a beauty contest. No criteria for their entry. They paid $100 each.
Then, someone says that silicon implants are not accepted. Immediately, 95 drop out. The game was rigged. They lost $100 each. Nobody can prove whether the remaing 5 knew about the coming rule.
IMO, markets must be free and NO rules must be changed along the way. When you see a rule change (like the short selling ban) it means that the game is rigged, not the other way around.
Anyway, HFT is just a buzzword. Transanction costs are still there, although small, and its viability is weighted against that. Brokers push it with the hope that some bite the bate and they can make commissions.