Will the HFT algorithms and AI based trading software be available to retail traders ?

ElectricSavant, post: 4950797, member: 15141

I imagined that there was a battle happening in the when the price was not moving...as there was a lot going on in the ladder without movement being triggered.

Be nice now...or I can place you on ignore and blocking too! I do not like arrogant SOB's
 
ElectricSavant said:
Be nice now...or I can place you on ignore and blocking too! I do not like arrogant
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I'm not sure who that was intended for, but I didn't detect any arrogance in @IAS_LLC answer. I don't think I was arrogant in any way either, just trying to understand your question.

Blocking people is the highest form of arrogance/ego, imho.
 
IAS_LLC said:
Cme doesn't have exchange native iceberg orders on NQ (unless it's changed recently), only marketable limit and limit orders.

Of course, an iceberg can be emulated on the client side
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CME does have iceberg orders including on NQ and for quite a while now. If you set MaxShow (tag 210) then you have an iceberg order https://www.cmegroup.com/confluence/display/EPICSANDBOX/New+Order

a decent white paper on hidden liquidity on CME https://quantitativebrokers.com/wp-content/uploads/2017/05/hiddenliquidity.pdf
 
The problem with spoofing/layering is that the market participant is attempting to maximize their market impact with the initial set of orders and their following activity is conditional on that information. All other participants are attempting to minimize their market impact at pretty much all times.

Anyone taking the opposite side of the spoofer is negatively impacted since the spoofer's trades will have a positive expected return conditional on their knowledge of their non bona fide orders and therefore anyone interacting with them will have a negative expected return. The recent cases the SEC has brought has been in wide spread and/or thinly traded stocks since it's easy for a small player to have a large market impact and thus is also easily identifiable (the recent case with the chinese has some good examples of the exact mechanics). Totally possible someone could be playing games in higher liquidity names with tight spreads but it's going to be harder to identify especially since anyone doing it would have to be very well capitalized and likely has a bunch of legitimate flow to hide the activity in.

On a side note the SEC is fucking stupid. I was audited a few years ago by them. I'm all for regulation and in some sense was looking forward to the audit but was incredibly disappointed when I saw the information they were asking for. If I recall correctly it was trades only with a subset of the information necessary to glean anything truly useful from it. They didn't understand some of the basics of a limit order book and asked the most asinine questions. So I think they're identifying only the most egregious and easily identifiable behavior out there.

There is some behavior by say HFT that appears similar but I'll just state as a matter of fact that most HFT is placing and cancelling orders conditional on a short term prediction and not solely on information from interactions with the market (like a spoofer is doing that doesn't have short term alpha absent their orders). Although since a large HFT player is interacting with the market a lot they can use that information to improve their short term alpha like a spoofer, ie they are able to self identify a subset of the orders/cancels/fills to then condition their prediction on.

But to me at least the huge distinction between most HFT and a spoofer is that while HFT with a large enough footprint is likely conditioning on their activity (although I know of some that don't despite a ton of activity) they are still trying to minimize their market impact while doing so while a spoofer is explicitly trying to maximize impact.
 
dinn13 said:
they are still trying to minimize their market impact while doing so while a spoofer is explicitly trying to maximize impact.
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I'm curious ... Can you think of any legitimate reason in today's markets to place a noticeably large visible resting order?
 
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