3 ms·

without getting into the nitty gritty of how HFT works, suffice it to say that anywhere between 20 and 40% of IEX volume comes from HFT firms.

wdewind 11y ago
Can you please get into the nitty gritty? Why is anyone using IEX if there is so much HFT on it? Edit: http://blogs.wsj.com/moneybeat/2014/08/11/debate-over-high-frequency-trading-on-iex-muddied-by-trade-counting/ http://blogs.wsj.com/moneybeat/2014/08/11/debate-over-high-f... Seems like there is some debate. IEX claims 17.7% which is still higher than I expected.
- vasilipupkin 11y ago
  why not use it? if it has liquidity and an attractive fee structure, why wouldn't any trader trade on it, HFT or not ?
- deleted 11y ago
  [deleted]
- gd1 11y ago
  I believe the discrepancy comes down to whether you count opposing counterparties indivdually or not. i.e. If 6 trades involve 6 non-HFT/non electronic market-maker (referred to as 'naturals') trading against 6 other naturals, and the other 4 involve naturals trading against resting HFT liquidity, you could either count that by counterparty that is HFT - (4 out of 20 counterparties) = 20%, or the number of trades that involve someone taking HFT liquidty - (4 out of 10 trades) = 40%. So the 17.7% of HFT counterparties squares roughly with 30%+ HFT trades.
remarkEon 11y ago
Second the call to get into the nitty gritty. I've read "Flash Boys" and consider myself reasonably aware of how HFT works but I'd like to know the technical aspects more in detail (understanding that some of that is, probably, proprietary). Any good resources?
- vasilipupkin 11y ago
  Flash Boys is quite inaccurate with respect to how HFT works. Read this book instead http://www.amazon.com/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp/0122796713 http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...
zhte415 11y ago
Nitty gritty point: Volume is not equal to liquidity. Volume a low order values, provided by pinging, doesn't mean there's liquidity behind it that large block orders provide.

wdewind 11y ago

Can you please get into the nitty gritty? Why is anyone using IEX if there is so much HFT on it? Edit: http://blogs.wsj.com/moneybeat/2014/08/11/debate-over-high-frequency-trading-on-iex-muddied-by-trade-counting/ http://blogs.wsj.com/moneybeat/2014/08/11/debate-over-high-f... Seems like there is some debate. IEX claims 17.7% which is still higher than I expected.

vasilipupkin 11y ago
why not use it? if it has liquidity and an attractive fee structure, why wouldn't any trader trade on it, HFT or not ?
deleted 11y ago
[deleted]
gd1 11y ago
I believe the discrepancy comes down to whether you count opposing counterparties indivdually or not. i.e. If 6 trades involve 6 non-HFT/non electronic market-maker (referred to as 'naturals') trading against 6 other naturals, and the other 4 involve naturals trading against resting HFT liquidity, you could either count that by counterparty that is HFT - (4 out of 20 counterparties) = 20%, or the number of trades that involve someone taking HFT liquidty - (4 out of 10 trades) = 40%. So the 17.7% of HFT counterparties squares roughly with 30%+ HFT trades.

remarkEon 11y ago

Second the call to get into the nitty gritty. I've read "Flash Boys" and consider myself reasonably aware of how HFT works but I'd like to know the technical aspects more in detail (understanding that some of that is, probably, proprietary). Any good resources?

vasilipupkin 11y ago
Flash Boys is quite inaccurate with respect to how HFT works. Read this book instead http://www.amazon.com/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp/0122796713 http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...

zhte415 11y ago

Nitty gritty point: Volume is not equal to liquidity. Volume a low order values, provided by pinging, doesn't mean there's liquidity behind it that large block orders provide.