New book on how traders are beating the HFT guys

[xelite777]

Drownpruf, here is the weekly chart of the Dow Jones for the last 5 years, for example.

Look at it and tell me if the "HFT monsters" could have prevented you from taking a long position and making a killing with just a couple of moving averages (or with ANY simple trend following technique for that matter):

 

[wwatson1]

You can't make money from automated trading, so what are you back testing?

 

[Alpha Trader]

Going back to the title of this thread, I'm just wondering what I have to beat, since I get pretty much filled all the time. I trade equities in the price range of $10-150 and trade a couple of hundred to a few thousand shares (rarely over 5000).

In a stock that has good liquidity, I always get filled. If my lot is big (over 2000), then I may only get filled partially and sometimes all. This happens with 1 in 20-25 trades. It is frustrating when you have such a sweet entry point in terms of R:R, but on the other hand, I know that the spread that I get is way better than if these HFTers were not around. If they were not there, my R:R would be less attractive.

So in the end, I guess it all balances out.........or maybe they actually did make the grass greener on the other side.

 

[xelite777]

Going back to the title of this thread, I'm just wondering what I have to beat, since I get pretty much filled all the time.

I am also wondering the same thing, as this HFT thing has had exactly zero impact on the profitability of my trading activities.

 

[drownpruf]

I am also wondering the same thing, as this HFT thing has had exactly zero impact on the profitability of my trading activities.

Yeah, I imagine. A loss is a loss.

 

[austinp]

Interviews are fine but I am still looking for an HFT book that says something like this :
- "See this profitable trading system here? Well it's no longer profitable due to HFT activity and here is the proof".

I mean could anybody name just one?

and what would motivate anyone to write such a pointless book which nobody would buy to read?

I've been trading Russell 2000 emini futures since 2004 and crude oil futures since 2010. Anyone who has traded either / both markets can assure you without question that HFTs have rendered them mere shells of what they once were.

True liquidity, as in click a 10-lot or 20-lot and get filled on all with nil slippage was once a given but now an impossibility more than not. The way Russell futures blow thru 30 - 40 tick sideways whip moves inside of a 50-tick total range is at blinding rates of speed.

Same goes for CL churning inside a 30-tick chop zone for two hours, only to spike up or surge down 50 ticks in a few minutes flat. There is HFT movement and there is nothing else in between. They did not add or create liquidity... they cannibalized true liquidity in times past, since replaced by spoofed quotes and ladder runs.

If I'm not mistaken, Dustin's best year of trading was seven figures or damn close. I wouldn't be arguing with or ridiculing his veteran observations... I'd be heeding and taking notes.

As for HFTs changing ALL markets' landscape dramatically, there is no question about it. Not even possible to disagree or debate.

 

[Daal]

Interviews are fine but I am still looking for an HFT book that says something like this :
- "See this profitable trading system here? Well it's no longer profitable due to HFT activity and here is the proof".

I mean could anybody name just one?

One thing is for sure though, unsuccessful traders can know blame HFT for their own failure.

-Market making style scalping, buying the bid and selling the offer. The HFTs have monopolized the spread for the most part and this strategy doesn't work for human traders anymore
-News repricing. By the time you look at the news and check the chart you frequently will see a huge bar in one direction or another. The easy part of the move is now captured by the HFTs for the most part. You can bet on continuation or reversal but its a harder strategy with a worse sharpe ratio
-Share-class/ADR arbitrage, they took over that too.
-Repricing stocks when a big buyer/seller is detected. HFTs extract extra $ from these big players, in the past a lot of that $ went to day traders. It is still profitable but not as used to be because they are good at that

 

[actionzip54]

Yeah, I imagine. A loss is a loss.

Hahaha, that was sharp.

 

[xelite777]

Debunking myths about high-frequency trading:
http://www.smh.com.au/business/debunking-myths-about-highfrequency-trading-20121001-26uwo.html

5 Myths About High-Frequency Trading
http://www.huffingtonpost.com/bob-swarup/high-frequency-trading-myths_b_5133949.html

 

[Grandluxe]

and what would motivate anyone to write such a pointless book which nobody would buy to read?

I've been trading Russell 2000 emini futures since 2004 and crude oil futures since 2010. Anyone who has traded either / both markets can assure you without question that HFTs have rendered them mere shells of what they once were.

True liquidity, as in click a 10-lot or 20-lot and get filled on all with nil slippage was once a given but now an impossibility more than not. The way Russell futures blow thru 30 - 40 tick sideways whip moves inside of a 50-tick total range is at blinding rates of speed.

Same goes for CL churning inside a 30-tick chop zone for two hours, only to spike up or surge down 50 ticks in a few minutes flat. There is HFT movement and there is nothing else in between. They did not add or create liquidity... they cannibalized true liquidity in times past, since replaced by spoofed quotes and ladder runs.

If I'm not mistaken, Dustin's best year of trading was seven figures or damn close. I wouldn't be arguing with or ridiculing his veteran observations... I'd be heeding and taking notes.

As for HFTs changing ALL markets' landscape dramatically, there is no question about it. Not even possible to disagree or debate.

No choice, as Baron always tells us, we have to adapt.