YES!!!!! The bots are tearing you a new one. Heres's HOW
- Thread starter stock777
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OK, I repeated. Can you now tell us why?
http://www.themistrading.com/article_files/0000/0535/3-18-10_Traders_Magazine_Rebuttal.pdf
some cogent arguments pro/con (mostly con) HFT from traditional MM perspective.
some cogent arguments pro/con (mostly con) HFT from traditional MM perspective.
The Themis piece is discussing iceberg-type orders, which are used by the big players on the buyside. There isn't a widows-and-orphans story here, AFAIK.
The BOTS are only tearing you up if you choose to compete with them in their domain and in the space of their business model. IMHO, most independent traders should be moving away from 'stat arb' timeframe holding periods. I have most of my clients holding relative value positions for a few minutes to a few hours or more (depending on their risk appetite and the market space). Time, even a very small amount of time, can cancel out the latency advantage. Consider a strategy that doesn't pay you strictly on speed and low execution costs.
I'm having a hard time getting amped up about this article. Neither BATS nor Nasdaq are hiding this information from the public... they post information about these data subscriptions on their websites and a quick google search of "bats multicast pitch spec" gives you the exact byte-for-byte detail of what they're doing. Same for Nasdaq Total-View ITCH. It costs more for those feeds, and less for lesser feeds, but I don't see how that's anymore fair or unfair than... anything else in a capitalist society.
Correct me if I'm wrong, but the fraction of traders / investors we're considering victims here are the ones who have enough market savvy to place hidden orders on specific exchanges... yet are not aware that those exchanges publish certain details about hidden orders after execution (yes?). Itâs unfortunate that those traders arenât âin the knowâ, but I think itâs a stretch to call it unfair. I think itâd be worse to add additional protective government regulation, which would impact a likely larger group of market participants. Obviously, anyone who knows how these hidden orders are handled and doesn't like it can simply vote with their feet and try a different exchange or stop placing hidden orders, etc.
Correct me if I'm wrong, but the fraction of traders / investors we're considering victims here are the ones who have enough market savvy to place hidden orders on specific exchanges... yet are not aware that those exchanges publish certain details about hidden orders after execution (yes?). Itâs unfortunate that those traders arenât âin the knowâ, but I think itâs a stretch to call it unfair. I think itâd be worse to add additional protective government regulation, which would impact a likely larger group of market participants. Obviously, anyone who knows how these hidden orders are handled and doesn't like it can simply vote with their feet and try a different exchange or stop placing hidden orders, etc.