What are the HFT scum up to?

[PARACLESE]

Quote from WinstonTJ:

what happened in the old days when the phones rang off the hook?

anyone make pretty graphs about that?

Like when they played Godzilla over the radio and people really thought the world was about to end - did someone make a pretty graph of the phone lines or the stock market?

sounds like the old days when i was in retail, I had some old clients acting like day traders would stop the market from moving in their direction.... what idiots. doesnt mean they werent nice good people as i am sure most these twerps on et are.

 

[Dustin]

Quote from PARACLESE:

Look, I think i told you this back in 05. the reason you arent making money trading has nothing to do with the specialist, and now that the specialist is gone, I will tell you the same thing. It has NOTHING to do with HFTs. As a matter of fact , with HFTs and all of the volume they have brought in, it is actually easier to get filled, and stocks that are thick are plowing through levels instead of floating slowly, which equals more money, maybe with more risk but the game has definitely changed for the better. stop making excuses, and start making money. find what you are doing wrong and the problems with your strategy, along with the characteristics of the machines and adjust in order to use this volume to make yourself money.

I have to disagree. Trading has clearly changed, although most <5 year traders here wouldn't know it. I can guarantee if you bring back fractions and Grasso we would all make more money. These algo's take all the low lying fruit. Of course there's ways to make money still, but the golden days are gone forever.

 

[achilles28]

Quote from vikana:

I think it is similar to a denial of service attack. If you choose a symbol on an exchange and pump in 50k orders/sec you know ahead of time to ignore incoming quotes from that symbol and exchange. Everyone else has to process the quotes as they appear real. This gives the instigator a small advantage by skipping the processing, and if he further can deduce which other symbols are located and process by the same line/cpu at the exchange, he will have advantage in those other symbols for a brief period of time.

This should be illegal. It's like spewing pollution into the market to choke out real traders.

 

[zdreg]

Quote from ChkitOut:

Last month, both Direct Edge and Nasdaq OMX announced policies to curb what they consider to be excessive messaging by fining firms that don't produce enough trades relative to the messages they send in.

Direct Edge will reduce its rebate by $0.0001 per share for firms that trade only once for every 100 messages they transmit. Nasdaq will charge its members at least $0.001 per order if their non-marketable order-to-trade ratio exceeds 100-to-1. The policy affects only non-marketable orders, or those posted outside the national best bid and offer.

Both exchange operators say their new policies will result in a more efficient marketplace and reduce their members' message-processing burden. Both policies are aimed at heavy quoters, such as high-frequency trading firms

http://www.tradersmagazine.com/issues/25_335/Exchanges-Set-to-Tax-Heavy-Quoters-109941-1.html

it better to have a private free market solution than the heavy hand of an imposed government solution.

 

[zdreg]

Quote from Dustin:

I have to disagree. Trading has clearly changed, although most <5 year traders here wouldn't know it. I can guarantee if you bring back fractions and Grasso we would all make more money. These algo's take all the low lying fruit. Of course there's ways to make money still, but the golden days are gone forever.

the reality is that you have been unable to develop new niches for yourself.

in the good ole days most traders were also losers. it is the way of markets to turn most traders into losers.

 

[Dustin]

Quote from zdreg:

the reality is that you have been unable to develop new niches for yourself.

in the good ole days most traders were also losers. it is the way of markets to turn most traders into losers.

I'm finding new niches all the time, but find they come and go quicker. Like I said, there's ways to make money, but overall we'd all be better off in the market of the 90's.

 

[Grandluxe]

Quote from Dustin:

I have to disagree. Trading has clearly changed, although most <5 year traders here wouldn't know it. I can guarantee if you bring back fractions and Grasso we would all make more money. These algo's take all the low lying fruit. Of course there's ways to make money still, but the golden days are gone forever.

Very true bro, even early to mid 2000's were pretty OK. Although I do think a large part of it is lack of retail order flow since the financial crisis.

I can't really scalp anymore, not the back and forth, bring the bid up and just whack it on a different ECN kind of shit anyway, have since switched to swing trading...

I hope those days come back though, that was easy money

 

[Tsing Tao]

Quote from WinstonTJ:

How do you know that a billion manual traders didn't get that news off Kramer and all decide to trade that name?

1/9th of the world's population just decided to trade PSSI?

 

[Tsing Tao]

Quote from WinstonTJ:

what happened in the old days when the phones rang off the hook?

anyone make pretty graphs about that?

Like when they played Godzilla over the radio and people really thought the world was about to end - did someone make a pretty graph of the phone lines or the stock market?

Dude, I get that you have an agenda to push. But can you clearly not see the difference between phones ringing off the hook and pinging a server with tens of thousands of quotes?

A more similar analogy would be 48,000 people all storming one single Burger King or McDonald's to place a (fake) order at the exact same time. There would clearly be an unfavorable event.

 

[monstimal]

Quote from vikana:

I think it is similar to a denial of service attack. If you choose a symbol on an exchange and pump in 50k orders/sec you know ahead of time to ignore incoming quotes from that symbol and exchange. Everyone else has to process the quotes as they appear real. This gives the instigator a small advantage by skipping the processing, and if he further can deduce which other symbols are located and process by the same line/cpu at the exchange, he will have advantage in those other symbols for a brief period of time.

Processing the message to see that it is one you want to ignore should take the same effort as processing it to record the quote change. It's not like you can prevent the message from coming down your pipe. So if you deny service to one person, you deny it to yourself as well.

For all Nanex's pretty graphs and doomsday language, they've never articulated how this stuff could be used by anyone for profit. They're just running around saying a conclusion lots of people want to believe ("the evil computer is stealing from you") with no evidence.

To me this looks like to one or two people had programs that got caught in a loop. If their traffic was harmful to the exchange, the exchange has the ability to cut them off. As another poster pointed out NASDAQ and EDGE are going to try to curb the amount of messages they receive starting May 1 (although EDGE's rules don't apply to their market-makers) . Also, strangely, for EDGE if you send a billion messages but don't execute ANY shares, you won't be charged.