Step by Step How HFT's will SCREW YOU on the payroll number
- Thread starter Joovenile Jatt
- Start date
If you want to beat them subscribe to an algorithm news feed and you will smoke them every time.
The op strategy doesn't work no more so he's blaming it on the HFT's
I have a ThomsonOne feed at work, and I was monitoring the behavior during the news announcement this morning.
I noticed that the volume started to spike about 8:29:30, then reached its normal craziness during the 8:30-8:31 bar. Normally, the volume picks up a bit as the straddle stops get swept into the release, but in this case the volume behaved as if the release went out 30 secs early.
Is this a function of my data feed? Although if it was simply my data feed getting clogged, the price action would come AFTER 8:30.
I wonder if the news goes out a little early, and the news algos see it first.
I noticed that the volume started to spike about 8:29:30, then reached its normal craziness during the 8:30-8:31 bar. Normally, the volume picks up a bit as the straddle stops get swept into the release, but in this case the volume behaved as if the release went out 30 secs early.
Is this a function of my data feed? Although if it was simply my data feed getting clogged, the price action would come AFTER 8:30.
I wonder if the news goes out a little early, and the news algos see it first.
To add liquidity and either miss the killer moves OR get the trade you don't really want
or to take liquidity and suck up the lost penny(s).
that is the unlubricated HTF question.
if they believe in your direction, they screw you with frontrunning sub-pennies or if they don't, may take the other side or just let your order run.
where they really cornhole your execution is with all market orders, like if you put in an order to go long 5000 shares with the last price at 15.52. say there are orders on the book to sell 2000 at 15.54, 1500 at 15.57, 1500 at 15.58 and 5000 at 15.60. the exchange "flashes" them your order and they just buy the aggregate 5000 at 15.54, .56 and .58 and sell it back to you at 15.60 all done in 7 billionths of a second. from there, you say to yourself, "damn, must have pulled the offers due to my chunky order" but if you look at the time and sales, you will see exactly why there are tiny droplets of blood in your boxers.
as such, latency of your connection is most likely not the problem. if the exchange holds your order for even 1/100th of a second(can be up to half a second), there can be 10 million nanosecond orders done.
pardon my scat hole analogy but it feels like a total psychological violation and i have all but given up adding liquidity with most of my strats because of this and have totally given up what was once a fairly profitable scalping strat.
it is happening to all of us, a penny or two here and a more costly missed opportunity there. dissect the enemy with the precision of a neurosurgeon and know exactly what keeps its heart beating.
william s. burroughs quote, "sometimes paranoia is just having all the facts."
or to take liquidity and suck up the lost penny(s).
that is the unlubricated HTF question.
if they believe in your direction, they screw you with frontrunning sub-pennies or if they don't, may take the other side or just let your order run.
where they really cornhole your execution is with all market orders, like if you put in an order to go long 5000 shares with the last price at 15.52. say there are orders on the book to sell 2000 at 15.54, 1500 at 15.57, 1500 at 15.58 and 5000 at 15.60. the exchange "flashes" them your order and they just buy the aggregate 5000 at 15.54, .56 and .58 and sell it back to you at 15.60 all done in 7 billionths of a second. from there, you say to yourself, "damn, must have pulled the offers due to my chunky order" but if you look at the time and sales, you will see exactly why there are tiny droplets of blood in your boxers.
as such, latency of your connection is most likely not the problem. if the exchange holds your order for even 1/100th of a second(can be up to half a second), there can be 10 million nanosecond orders done.
pardon my scat hole analogy but it feels like a total psychological violation and i have all but given up adding liquidity with most of my strats because of this and have totally given up what was once a fairly profitable scalping strat.
it is happening to all of us, a penny or two here and a more costly missed opportunity there. dissect the enemy with the precision of a neurosurgeon and know exactly what keeps its heart beating.
william s. burroughs quote, "sometimes paranoia is just having all the facts."
Which exchanges are currently allowing flash orders to be used in the manner you've described?
Burroughs also wrote, "Like Spain, I am bound to the past."
1. Ok... if you have bitched about HFTs or algos or Goldman Sachs stealing your money in the last 6 months, raise your hand.
2. Now, pay attention because this is the important part. If you make consistent money trading... let's say pretty much every week or every month... keep your hand up. (If your hand was not already up from #1 do not put it up.)
How many hands are still raised? Very close to zero.
This is the dark side of these forums... just provides a platform for the semi-informed, not-yet-profitable traders to bitch. Winners do not do that, and winners do not focus on how THEY are screwing all the rest of us.
Winners figure out how to win. When the game changes, they adapt. Winners also figure out what has not, does not, and will not change and base their trading on those things.
That's more important than whatever you are speculating and guessing about with the "HFT's nerd's nerdbox". (Wow)
Just my three cents worth.
2. Now, pay attention because this is the important part. If you make consistent money trading... let's say pretty much every week or every month... keep your hand up. (If your hand was not already up from #1 do not put it up.)
How many hands are still raised? Very close to zero.
This is the dark side of these forums... just provides a platform for the semi-informed, not-yet-profitable traders to bitch. Winners do not do that, and winners do not focus on how THEY are screwing all the rest of us.
Winners figure out how to win. When the game changes, they adapt. Winners also figure out what has not, does not, and will not change and base their trading on those things.
That's more important than whatever you are speculating and guessing about with the "HFT's nerd's nerdbox". (Wow)
Just my three cents worth.
it is my understanding that it is happening at all of them in accordance with the SEC's NBBO rule (best bid and offer).
"if, after being exposed to a presence, you feel as if you lost a quart of plasma, avoid that presence."
