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Schumer to SEC: Slow Down HFT, etc
- Thread starter listedguru
- Start date
Quote from krazykarl:
If you send an order to an exchange you should be obligated to fulfill it.
wat?
All orders are permanent, all the time? Is that what you are saying? Put a limit order on the books, market runs away, end up getting filled week/month/whenever later when price comes back due to an everlasting obligation?
Leave the Futures market as is. CME Globex has a fine infrastructure and a level playing field for all who want to play.
Whether 1 trader places and cancels 100 orders a second or 100 traders place and cancel 1 order a second it really makes no difference.
This is just a bunch of BS excuses...
What are they going to do> stop all trailing orders?
If you trade manually clicking a mouse off a charted trigger you are at least 200ms or substantially more behind the market.
If the games too fast... don't play.
Whether 1 trader places and cancels 100 orders a second or 100 traders place and cancel 1 order a second it really makes no difference.
This is just a bunch of BS excuses...
What are they going to do> stop all trailing orders?
If you trade manually clicking a mouse off a charted trigger you are at least 200ms or substantially more behind the market.
If the games too fast... don't play.
SEC probes "quote stuffing" practices: Schapiro
http://news.yahoo.com/s/nm/20100907/bs_nm/us_sec_trades
http://news.yahoo.com/s/nm/20100907/bs_nm/us_sec_trades
"On Tuesday, New York Senator Charles Schumer urged the SEC to consider new rules to slow the rapid trades when the market is volatile. Schumer, who sits on a committee that oversees the SEC, said the regulator should consider imposing a minimum quote duration so orders cannot be sent and canceled in a fraction of a second."
So what are they thinking here? 1000ms lock in on all orders?
They have no idea on how much easier this will be for the HFT's to pick pockets. They'll have a field day sitting back and arbitraging these "locked in" orders. They fail to realize if you freeze them you freeze everyone while they have the advantage of near zero latency access to the exchange order book.
These politicians steering these regulatory bodies should be required at minimum to have actual trading experience and a license. This is worse then the blind leading the blind...
So what are they thinking here? 1000ms lock in on all orders?
They have no idea on how much easier this will be for the HFT's to pick pockets. They'll have a field day sitting back and arbitraging these "locked in" orders. They fail to realize if you freeze them you freeze everyone while they have the advantage of near zero latency access to the exchange order book.
These politicians steering these regulatory bodies should be required at minimum to have actual trading experience and a license. This is worse then the blind leading the blind...
Quote from Bob111:
SEC probes "quote stuffing" practices: Schapiro
http://news.yahoo.com/s/nm/20100907/bs_nm/us_sec_trades
The market is clearly stating it cannot function "properly" with penny spreads - the easiest way to get past the HFT methods is to go back to the days of nickel and diming.
Why? no one forces you to trade in penny movements. Your free to trade in nickels or dimes... Simply filter your quotes.
If your trying to capture and process every bit of data without adequate infrastructure you'll experience lag.
Markets are neutral and don't care... The exchange's order matching algo dictate the rules.
Now Govt intervention / bail outs / no margin calls for the banks is another story... These manipulations effectively changed the game.
If your trying to capture and process every bit of data without adequate infrastructure you'll experience lag.
Markets are neutral and don't care... The exchange's order matching algo dictate the rules.
Now Govt intervention / bail outs / no margin calls for the banks is another story... These manipulations effectively changed the game.
Quote from Random.Capital:
The market is clearly stating it cannot function "properly" with penny spreads - the easiest way to get past the HFT methods is to go back to the days of nickel and diming.
I don't think there is a problem with HFT in general. I think there is a problem with the HFT firms that use quote stuffing to gain more advantage over the HFT competition by overloading the system with excessive quote messages, which in return threatens the whole market's structure as seen with the flash crash.
The Nanex study on the HFT quote stuffing role in the flash crash is a MUST READ. Here is a link to the zerohedge article which summarizes it well.
Unless someone comes with a better solution, I fully support their recommendations:
1.Quote and trade data must be time stamped by the exchanges at the time it is generated. This will ensure delays can be detected by everyone.
Reasoning: Changing the procedure to time stamp at the time a quote or trade is generated is a near trivial exercise. It probably comes as a surprise to many that time stamping isn't done that way now.
2.Quote-stuffing should be banned.
Reasoning: It is a manipulative device designed to overload the quotation system. Quote and trade dissemination (data feed) is a finite resource, and should be treated as such.
3.Add a simple 50 millisecond quote expiration rule: a quote must remain active until it is executed or 50ms elapses. If the quote is part of the NBBO, it may be improved (higher bid or lower offer price) at any time without waiting for the expiration period.
Reasoning: The exchanges must protect the integrity of the National Best Bid/Offer system. What is the point of having a National Best Bid/Offer, if not everyone in your nation (apologies to Alaska/Hawaii) can reasonably execute a trade against it? 50ms is approximately the time it takes light and electronic communication to travel from New York to California and back. It is impossible to transmit information any faster. This rule would not limit quote/trade rates. So long as trades are executing, quotes can update thousands of times a second. Only a small percentage of quotes today would be affected and the potential for catastrophically high rates would be eliminated.
The Nanex study on the HFT quote stuffing role in the flash crash is a MUST READ. Here is a link to the zerohedge article which summarizes it well.
Unless someone comes with a better solution, I fully support their recommendations:
1.Quote and trade data must be time stamped by the exchanges at the time it is generated. This will ensure delays can be detected by everyone.
Reasoning: Changing the procedure to time stamp at the time a quote or trade is generated is a near trivial exercise. It probably comes as a surprise to many that time stamping isn't done that way now.
2.Quote-stuffing should be banned.
Reasoning: It is a manipulative device designed to overload the quotation system. Quote and trade dissemination (data feed) is a finite resource, and should be treated as such.
3.Add a simple 50 millisecond quote expiration rule: a quote must remain active until it is executed or 50ms elapses. If the quote is part of the NBBO, it may be improved (higher bid or lower offer price) at any time without waiting for the expiration period.
Reasoning: The exchanges must protect the integrity of the National Best Bid/Offer system. What is the point of having a National Best Bid/Offer, if not everyone in your nation (apologies to Alaska/Hawaii) can reasonably execute a trade against it? 50ms is approximately the time it takes light and electronic communication to travel from New York to California and back. It is impossible to transmit information any faster. This rule would not limit quote/trade rates. So long as trades are executing, quotes can update thousands of times a second. Only a small percentage of quotes today would be affected and the potential for catastrophically high rates would be eliminated.