Step by Step How HFT's will SCREW YOU on the payroll number

Quote from rcj:

Dont know yet what you have in mind when stating:
"... missing an enormous inconsistency...". Lets see it.
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The amount of money "HFT" could make scamming retail with bid-stuffing wouldn't even pay their colo nut - yet that nut is in fact covered. Therefore the only reasonable conclusion is that the HFTs are engaged in internicine warfare amongst themselves and don't give a damn about "the rest of us".

The net effect on anybody not stupid enough to try and wage a microsecond battle with a millisecond machine gun is roughly...zero.
 
WSJ 9/01/10

SEC Probes Canceled Trades
Regulators Looking Into Role 'Quote Stuffing' May Have Played in Flash Crash

By TOM LAURICELLA And JENNY STRASBURG

Regulators are scrutinizing what some in the stock market are calling "quote stuffing," trading in which unusually large numbers of orders to buy or sell stocks are placed in a fraction of a second, only to be canceled almost immediately.

The Securities and Exchange Commission has begun looking into whether the practice is putting some investors at a disadvantage by distorting stock prices, according to people familiar with the matter. The SEC is looking at what role, if any, quote stuffing played in the May 6 "flash crash," when the Dow Jones Industrial Average collapsed 700 points in minutes, the people say."
 
Is OP an idiot? Real traders have known for decades it's best not to place orders within 5-10 minutes of a big economic number. Yes, unpleasant fills around the numbers happened back in the pit-traded days also...
 
Quote from Rodney King:

Is OP an idiot? Real traders have known for decades it's best not to place orders within 5-10 minutes of a big economic number. Yes, unpleasant fills around the numbers happened back in the pit-traded days also...
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maybe he is an idiot..maybe not..

You will soon find that your system is too slow and because of the HFT front running you won't be able to get filled anywhere and if you do, most orders will only be 10% partly filled leaving unfilled orders all over the place.
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but this is exactly how my trading goes for last few years...
i trade stocks only btw.
 
Quote from Bob111:

i trade stocks only btw.
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I believe OP is talking about futures, since he mentions CME -- but he doesn't express himself clearly enough to be sure. Assuming he means futures -- does he think the pit crowd wasn't "frontrunning" (his word) back in the day? Does he think the locals stepped aside and let people like him in at preferred prices? What an idiot.
 
With pre-market futures so high, I wonder we're being handed a great fade-the-gap-at-resistance opportunity. Surely the upmove of the last few days priced in these fabricated employment numbers...
 
Quote from Joovenile Jatt:

Here is my prediction for what will happen tomorrow, let's see if I am correct or not.

7.30am The non farm payroll figure will be released.

Almost immediately there will be numerous orders on the bid, and I mean every bid and most probably beyond placed and cancelled within seconds as fast as the HFT nerd's nerdbox can do it. You will see scores of little bid orders placed on EVERY bid for minutes.
This is designed to slow the mere mortals, that's us the guys who trade with a mouse, system down dramatically as the exchange is overloaded with orders known as order stuffing.
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The reason you probably get crappy fills is because your broker's arrangement with the exchange is inferior. It has nothing to do with HFT. Some brokers have lots of clients sharing the same small resources, so during peak periods people get queued up somewhere along the way to the exchange. The fills start taking several milliseconds. Sometimes the brokers will put in server-side risk checks that have to happen for several people. When news comes out, unless your software is dedicated to servicing only your orders in the absence of others' orders, you're fighting the other people on your broker. Some brokers are much, much worse than others.

There's no coordinated quote stuffing going on; all the market participants are just rushing in to react to the same event. It's not just one or two guys -- at this point in 2010, there are several firms waging a war with computers and algorithms.

For the record, lots of brokers have really terrible software. Their software isn't designed to compete with HFT, and brokers have no incentive to write software capable of competing with HFT. They just need to service enough clients on as little hardware as possible to solve the function of maximizing commissions and minimizing complaints. The fact of the matter is that your 100mb pipe doesn't make a difference if you're queued up in software somewhere along the way to the exchange's matching engine -- and there are a number of places where this queueing can happen.
 
Quote from clearinghouse:

For the record, lots of brokers have really terrible software. Their software isn't designed to compete with HFT,
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OP may not understand that futures aren't subject to the sorts of trickery that make "HFT" such a bogeyman in the equities markets, such as subpennying in dark pools. In the futures markets that the OP probably trades, it's straight-ahead time/price priority. If OP has his limit order in first at a given level, that's the end of the story. He's filled first when the level trades. Now, if he's actually trying to execute <i>with market orders during a fast market</i> then "HFT" isn't his problem, lack of IQ is.
 
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