NYSE Front-Running needs to be addressed

Don,

We all have such programs. However, on detection of change, is way too late. The order (front-run) is already done, by the time your/my program detect the change.

Unfortunately, there's no way around it, unless all order are required to "touch" the OpenBook before being executed, AND the feed is real-time.

Your software detects bid/ask changes for orders that are placed on the book. I can do that as well - it is the front-runs that are never posted that make it impossible to combat.
 
Quote from newsatten:

NSYE is obsolete system... complete cheat...
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pls cry me a river, build a bridge and get over it... what about the currency mkts, or commodities or any other mkt... everything is a scam... where theres money theres crime... bottom line...

sidenote what happend to all that hooplah about going into decimals for the investor etc. didnt change shit...
 
Quote from dgmodel:

pls cry me a river, build a bridge and get over it... what about the currency mkts, or commodities or any other mkt... everything is a scam... where theres money theres crime... bottom line...

sidenote what happend to all that hooplah about going into decimals for the investor etc. didnt change shit...
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Everyone has an angle......but nobody has a get outta jail free card like the NYSE specs do. I'd rather trade with the mafia....at least their job IS to rob!
 
Quote from hayman:

Don,

We all have such programs. However, on detection of change, is way too late. The order (front-run) is already done, by the time your/my program detect the change.

Unfortunately, there's no way around it, unless all order are required to "touch" the OpenBook before being executed, AND the feed is real-time.

Your software detects bid/ask changes for orders that are placed on the book. I can do that as well - it is the front-runs that are never posted that make it impossible to combat.
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Sure, now we are back to the brokers, with real orders (not held, or "movable limits") that are buying and selling...yes, I agree..hard to compete with....that is why it might make sense to have a broker in the crowd (a lot more room nowadays, LOL).

I try to teach my people to simply stay away from stocks that get pennied too often (lower price, tighter spreads)...and since we trade the same stocks every day...it makes all this soooo much easier. The "filtering for stocks" game has been pretty much over for a long time.

OK, it seems that we found an understanding and some middle ground. All the best...once again..!!

Don
 
Quote from MR.NBBO:

Everyone has an angle......but nobody has a get outta jail free card like the NYSE specs do. I'd rather trade with the mafia....at least their job IS to rob!
More...

even if we went to electronic trading or robotic trading or whatever the next step would be, someone somewhere would find a way to manipulate it...
 
Quote from hayman:

Hi Don,

How do automated programs penny on the NYSE ? There are no Level 1 API's to the NYSE Open Book (which is on a 5 sec delay anyway), so how are you suggesting that this is occurring, if in fact, it is ?

Thanks !
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How is it not impossible to penny a level 1 quote? Easy, you put an order in one penny better than it.
 
JMartinez,

Yes, obviously. What I'm saying is how do you penny in an automated fashion, without entering a limit order. Many market orders that come in, never make it to the book, so there is no "programmatic" way to detect it, and hence, no way to counter with a front-running pennying order.

If all order were required to hit the book, and if all books were real-time (i.e., NYSE Open Book), and there was an API to level 2 NYSE Open Book, we could automate pennying to counter.

This is largely why the rules are set up the way they are, and why this "tehcnology-based" 5 sec rule exists.

As an aside, I recently spoke with a NYSE official and asked him what the likelihood of making the NYSE OB a real-time feed was. He said "that it could happen" BUT that it would cost the
exchange $ 40 million to implement it. Yes, $ 40 MILLION !
Pretty sad, huh ??? Assuming that this is true, and that there certainly isn't any pressure from Specialists or Floor Brokers to have this feature implemented, I wouldn't hold my breath.......
Hard to believe that taking out that 5-sec "delay statement" in their code, would cost so much..........
 
Quote from hayman:

JMartinez,

Yes, obviously. What I'm saying is how do you penny in an automated fashion, without entering a limit order. Many market orders that come in, never make it to the book, so there is no "programmatic" way to detect it, and hence, no way to counter with a front-running pennying order.

If all order were required to hit the book, and if all books were real-time (i.e., NYSE Open Book), and there was an API to level 2 NYSE Open Book, we could automate pennying to counter.

This is largely why the rules are set up the way they are, and why this "tehcnology-based" 5 sec rule exists.

As an aside, I recently spoke with a NYSE official and asked him what the likelihood of making the NYSE OB a real-time feed was. He said "that it could happen" BUT that it would cost the
exchange $ 40 million to implement it. Yes, $ 40 MILLION !
Pretty sad, huh ??? Assuming that this is true, and that there certainly isn't any pressure from Specialists or Floor Brokers to have this feature implemented, I wouldn't hold my breath.......
Hard to believe that taking out that 5-sec "delay statement" in their code, would cost so much..........
More...


There is no such thing a pennying with a market order? One must penny with a limit. Your question doesn't make sense?

-----"This is largely why the rules are set up the way they are, and why this "tehcnology-based" 5 sec rule exists."-----


That doesn't make sense either? Because you answer your own question of the cost of 40 million or so. Their network can't handle the Open Book in realtime, if it did it would crash. They are not setup to display in real time and were never suppose to. Especially with all the pennying. I think their network runs at 12.2 or so. And that is Baud in like, 12.2 kb/s.
 
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