Tradeworx' defense of their HFT strategies
- Thread starter MGB
- Start date
all of this just sounded like a load of bollocks.
basically to sum up.
they provide loads of liquidity, are truly fantastic, and very intelligent.
yet not one person including them has an answer for the flash crash.
in their own words - we trade volatility and we provide liquidity.
apart from the other week when they turned off the machine as they did not have a clue what the fuck was happening.
basically to sum up.
they provide loads of liquidity, are truly fantastic, and very intelligent.
yet not one person including them has an answer for the flash crash.
in their own words - we trade volatility and we provide liquidity.
apart from the other week when they turned off the machine as they did not have a clue what the fuck was happening.
On one particular order:
It shows 1,200 shares were sold at the exact same time (and price) I placed a SMART hidden sell order of 5,000 shares through Interactive Brokers (IB) right at the bid price. Of the 1,200 sold only 400 were mine.
200@ARCA
100@DirectEdge
100@ISE
Kind of weird since no trading occurred in this stock within ten seconds forward/backward of my trade. Also, when I placed the sell order, around a few thousand shares were listed in IB at the best bid price. Did someone front run 800 shares on me?
I'm interested in if more people have the exact same experiences as the one listed above.
I use interactive brokers. Use both limit orders and hidden orders. During the runup last year, I placed buy orders two cents below the prevailing market in numerous stocks and got filled less than 5 percent of the time. This was the case on about 100 occasions. If I'm right = no trade. If I'm wrong = explodes in my face. The PNL cost of missing these trades were over 300% of my account worth last year.
The odds of hidden orders being shown or sniffed out must be 99.999% just given my statistics. I wonder if any one else has these same experiences.
I use interactive brokers. Use both limit orders and hidden orders. During the runup last year, I placed buy orders two cents below the prevailing market in numerous stocks and got filled less than 5 percent of the time. This was the case on about 100 occasions. If I'm right = no trade. If I'm wrong = explodes in my face. The PNL cost of missing these trades were over 300% of my account worth last year.
The odds of hidden orders being shown or sniffed out must be 99.999% just given my statistics. I wonder if any one else has these same experiences.
you know, it is theoretically possible that with the entire world's markets trading on computer systems now, the simplest explanation is most likely the truth.
there was no flash crash, or one single fund (as much as The Black Swan himself would love to be given the credit for) caused a stampede to sell.
the network crashed. a database failed. a chipset overheated.
the infamous blue screen. something stupid like that.
since when are humans actually capable of pulling off miracles intentionally?
please.
let's move on, shall we? there's money to be made in them thar decimals.
there was no flash crash, or one single fund (as much as The Black Swan himself would love to be given the credit for) caused a stampede to sell.
the network crashed. a database failed. a chipset overheated.
the infamous blue screen. something stupid like that.
since when are humans actually capable of pulling off miracles intentionally?
please.
let's move on, shall we? there's money to be made in them thar decimals.
basically, these guys that are saying this never happens to them either trade very infrequently, or trade such small amounts (say, less than 50,000$ orders) that the computers don't care about their orders.
anyone who trades at least 500 orders per year knows exactly what is happening, and I believe it is that the computer that are located closer to the actual exchange are basically frontrunning your orders. In the time it takes for your order to get accepted by etrade, or whatever, and get displayed to the exchange, another computer program can pull their fake bids or asks and keep it from filling. Typically, but not always, if you are entering into the trade and it is about to be a bad idea (i.e. the market is going tot make your position a losing one) then you will get filled in your entirety. However, if you are trying to get into a trade and about to get on the right side of it, you will be screwed out of getting a fill.
the only solution I know of to this is to call, every single time, to your broker, and they can review the time you placed your order, and what the orderbook looked like. My brother has to do this multiple times a day, and they fill him on his orders.
g
