Went Long Today But Still Feel SICK with HFT

Quote from Joovenile Jatt:

Watch it live 7.30-7.35am or any time throughout the day, but remember the faster the market move the more need to slow your systems and hence the higher rate of order stuffing
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Well I will be watching & trading at 7:30 as usual ... but I'm not expecting any slowdowns :)

BTW there is a lot more than 2-5 HFT nerds out there.
They say 70% of the volume these days is algorithmic - even the big time discretionary traders use algorithms to work orders.
 
Quote from promagma:

Well I will be watching & trading at 7:30 as usual ... but I'm not expecting any slowdowns :)

BTW there is a lot more than 2-5 HFT nerds out there.
They say 70% of the volume these days is algorithmic - even the big time discretionary traders use algorithms to work orders.
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I was talking in relation to each market. The market I trade the ES I would say there are only 2 or 3 HFT freaks that have the limits and desire to quote stuff every single bid with thousands of orders every minute. Anyhow, good luck for tomorrow, unless your a HFT yourself :( :D
 
new exchange trading rule

all bids and sell orders cannot be cancelled or get a cancellation fee


Quote from Joovenile Jatt:

What you will see tomorrow will be this "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. In the 5 minutes after the payroll number it will be so extreme it will be beyond belief. This is being done by only a number of HFT nerds, say between 2 and 5, so how can it be possible that they would have an acceptable trade to cancel ratio when they are literally putting and removing 100's of orders EVERY SECOND? Secondly, this is not a way of getting a good position in any queue, by placing and removing orders every 10 milliseconds??? Surely you need to leave the order there resting.

This is blatant order stuffing to slow normal traders systems down to extenuate latency differential to enable HFTs to front run orders.

There may also be an element of manipualtion here as you only normally see this occur on the bid side of the market so whether it is also designed to manipulate is also an accusation that could be labelled at these folks. I can only presume these HFT are, like myself, predominantly long only traders, since this action is occuring 10 times as much on the bid.

I have no problem with buying/selling in front of size, we all do it and it has been the stable food for all us small traders, but when you are deliberately creating a latency differential that allows you to not only benefit from that, and as a result give the big trader less time to react to people buying in front of him, then that my friend is nothing more than theft and is totally illegal frontrunning.

This is why the game of scalping has finished off so many traders because these HFT's are illegally stealing all the orders us small traders want and need to get by, all due to their illegal order stuffing.

Watch it live 7.30-7.35am or any time throughout the day, but remember the faster the market move the more need to slow your systems and hence the higher rate of order stuffing
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Yes, but the bots don't see the future, they don't need to. They see more buy orders coming in than sell orders, so they buy, and then sell for maybe as little as a penny of profit. So if you software can predict the future, you don't scalp but instead swing. They can scalp since they are probably getting paid for liquidity, but the retail trader normally can't make profit on a 1 penny or 1 tick trade.

So if you can predict with high probability a greater move for the day, and stay in the trade, then the bots can not affect you as much.

Maybe the bots were slowing down the market while I was long ES, but eventually all the buy orders came in and the market slowly rose higher.
 
Quote from Joovenile Jatt:

You obviously haven't been around long so let me explain something to you , you dic hed

If I'm a HFT nerd that gets access to a traders data who trades in large size and I can see as he places his orders and buy and sell in front of them then that is FRONT RUNNING ON ILLEGAL DATA.

If I then get a system that is so fast THAT IT CANT BE MATCHED BY THE OTHER GUY EVEN IF HE SITS ON TOP OF THE CME MATCHING ENGINE....... THEN THAT IS INSIDER TRADING. How they get it that fast God only knows but all the evidence points to this. Oh I guess you are one of them fools that believes that everyone is actually trading on the slight delay that is by default on the Eurex exchange?????
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Joovenile, I don't think you quite understand HFT.

There are many forms of HFT. The type of HFT you're talking about with flash orders and subpennying bids/asks is only on equities, not futures. The ticks are too wide to do this kind of strategy and the order depth is too thick, especially on the ES. CME doesn't "flash" orders, either, the way that some exchanges do, or at least did.

Getting access to other's data is flat-out illegal and way too easy to track.
 
Quote from promagma:

Ok I looked up your post.

First of all HFT is not long-biased. Most are trying to grab the spread or sniff out demand, regardless if it is long or short.

Second of all, nobody is going to see your order and jump ahead of you in the queue. They will must either get behind you, or offer a better price. In fact, the action you see far away from the NBBO is algorithms trying to game the queue, get an order early in the queue in case they want to buy when price gets down there. Even this isn't as nefarious as it sounds - Futures exchanges for the most part have reasonable limits on messaging/execution ratio (even for market makers) to cut down on the nonsense. Stock exchanges are very lax on messaging.

Gaming the queue is why it is hard buy the bid/sell the offer on ES. Put your limit orders in as early as possible.

Here are the order matching algorithms used for products on Globex
http://www.cmegroup.com/globex/files/PriceBanding.pdf

Here is how the algorithms work (switch dropdown to matching algorithms)
http://www.cmegroup.com/globex/introduction

I have this stuff bookmarked :)
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Do you have the respective links for the stock exchanges?
 
I don't know, he makes a good point when you look at the colocation, it's obvious front running from insider trading - constantly chasing flash crashes and NBBOs.

Sometimes, the latency drops and I can't stuff bids, so I have to wait for those damn HFTs to finish cycling. Frankly, it's making it hard to sniff arbitrages and I'm short demand.

...now, where did I leave my tinfoil hat.
 
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