I'm getting really tired of the allegations against HFT (No, I'm not an HFTer but I do admire their technology..)....People complaining about HFT seeing data first is analogous to me complaining that common people in New York see data before I do in Arizona. Its just physics....light can only travel so fast. As for front running... most people I hear complain about their slippage are trading on bar data and are trying to capture pip sized moves in the stock.... what do you expect? If they would model their fills during backtest using tick data, I think they would have more realistic slippage expectations.
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SEC to Congress: Nonsense, the markets are not rigged.
- Thread starter Grandluxe
- Start date
I'm getting really tired of the allegations against HFT (No, I'm not an HFTer but I do admire their technology..)....People complaining about HFT seeing data first is analogous to me complaining that common people in New York see data before I do in Arizona. Its just physics....light can only travel so fast. As for front running... most people I hear complain about their slippage are trading on bar data and are trying to capture pip sized moves in the stock.... what do you expect? If they would model their fills during backtest using tick data, I think they would have more realistic slippage expectations.
Keep trading your 1 lot and be blissfully ignorant about the cumulative amount of $ stolen due to HFT "slippage" as you called it.
In stocks, it's impossible to get size on and off without massive HFT theft.
Keep trading your 1 lot and be blissfully ignorant about the cumulative amount of $ stolen due to HFT "slippage" as you called it.
In stocks, it's impossible to get size on and off without massive HFT theft.
Tell me....what exactly are they doing that is illegal and do you have evidence to prove it? No, placing a market order and getting filled at $20.10 instead of the 20.05 that your bars indicated the offer was at is not evidence. You or I could do the exact same thing as hft if we had the smarts and were willing to invest in our strategies the way they are. Any of the exchanges would love for you to co-locate. You are not being cheated. You are being beaten by superior strategies
Tell me....what exactly are they doing that is illegal and do you have evidence to prove it? No, placing a market order and getting filled at $20.10 instead of the 20.05 that your bars indicated the offer was at is not evidence. You or I could do the exact same thing as hft if we had the smarts and were willing to invest in our strategies the way they are. Any of the exchanges would love for you to co-locate. You are not being cheated. You are being beaten by superior strategies
Superior strategies or technologies? Regardless of whether it is legal or not, the notion that you need significant technological and capital outlay for this kind of operations cannot be disputed. What is sad is that you are cheering the death of the small trader, the dream that anyone can make it big in the markets has now died with HFT. The American dream, where the notion that anybody can make it has now been drowned by big money and corporations who want to turn you into wage slaves.
Superior strategies or technologies? Regardless of whether it is legal or not, the notion that you need significant technological and capital outlay for this kind of operations cannot be disputed. What is sad is that you are cheering the death of the small trader, the dream that anyone can make it big in the markets has now died with HFT. The American dream, where the notion that anybody can make it has now been drowned by big money and corporations who want to turn you into wage slaves.
Strategies and technologies. You can have both
I most certainly am not cheering for the death of the small trader. I still believe there is plenty of money for the small trader out there. They just need to adapt to stay competitive. Those who are unwilling to adapt deserve to get eaten by the sharks
Superior strategies or technologies? Regardless of whether it is legal or not, the notion that you need significant technological and capital outlay for this kind of operations cannot be disputed. What is sad is that you are cheering the death of the small trader, the dream that anyone can make it big in the markets has now died with HFT. The American dream, where the notion that anybody can make it has now been drowned by big money and corporations who want to turn you into wage slaves.
I was going to respond, but your reply was pretty much sums it up. Well said.
Let me just add- I don't think HFT manipulating the rules is the problem. They are just doing the same "legal" things like we did as the old "SOES bandits". The real problem is the SEC. They are either too stupid to realize or are complicit in the theft. They have a broken market structure which ALLOWS and actually encourages front running on a micro second time frame, drastically skewing the playing field in favor of all but the most well capitalized firms.
They just need to adapt to stay competitive. Those who are unwilling to adapt deserve to get eaten by the sharks
Please tell me how a small trader can "adapt" when he tries to buy 3000 shares at the offer, but the offer immediately disappears as his order is sent and he gets 280 shares instead of the 3000 he was due.
Now he has 280 shares instead of 3000. He sells the 280 shares for a .30 cent gain.
Instead of making $900, he made $84.
You have no problem with this? Please tell me how he can "adapt" to that?
There is absolutely nothing that trader can do differently to get fills that he is due thanks to the broken market structure. It has nothing to do with "adapting".
I was going to respond, but your reply was pretty much sums it up. Well said.
Let me just add- I don't think HFT manipulating the rules is the problem. They are just doing the same "legal" things like we did as the old "SOES bandits". The real problem is the SEC. They are either too stupid to realize or are complicit in the theft. They have a broken market structure which ALLOWS and actually encourages front running on a micro second time frame, drastically skewing the playing field in favor of all but the most well capitalized firms.
Are people on the east coast front running those on the west coast? What is the difference? It takes light 13.6 milliseconds to travel from New York to LA, so the absolute fastest someone in LA could react to a quote is 27.2ms assuming no other latency. Someone in NY will be more than 10x faster.... front running?
Please tell me how a small trader can "adapt" when he tries to buy 3000 shares at the offer, but the offer immediately disappears as his order is sent and he gets 280 shares instead of the 3000 he was due.
Now he has 280 shares instead of 3000. He sells the 280 shares for a .30 cent gain.
Instead of making $900, he made $84.
You have no problem with this? Please tell me how he can "adapt" to that?
There is absolutely nothing that trader can do differently to get fills that he is due thanks to the broken market structure. It has nothing to do with "adapting".
Lengthen your time frame and change your expectations.
Please tell me how a small trader can "adapt" when he tries to buy 3000 shares at the offer, but the offer immediately disappears as his order is sent and he gets 280 shares instead of the 3000 he was due.
Now he has 280 shares instead of 3000. He sells the 280 shares for a .30 cent gain.
Instead of making $900, he made $84.
You have no problem with this? Please tell me how he can "adapt" to that?
There is absolutely nothing that trader can do differently to get fills that he is due thanks to the broken market structure. It has nothing to do with "adapting".
I do have a problem with the fragmented order book and the hidden orders, but this is a known problem, and it should be accounted for in your fill modeling.