4 ms·
From what I've read (which may be outdated), there was a system whereby high frequency traders could discover buyers limit prices by executing a series of small
by aliston 16y ago
From what I've read (which may be outdated), there was a system whereby high frequency traders could discover buyers limit prices by executing a series of small-volume "probe" trades at increasing dollar amounts. Then, once the limit is found, execute the trade at the buyer's limit price. Without HTF, the trade would be executed at a lower price. To me, that sort of asymetry seems unfair -- it's like knowing, in advance of a negotiation, the other person's exact willingness to pay.
- tptacek 16y agoAgain, you're describing a scheme that allows a firm to replace a series of other traders and firms in the spread. The only difference is that instead of a lot of little bites on its way to price discovery, the HFT-inhabited market takes one big one. Meanwhile, you still sell at whatever price you wanted to sell at, and buy at what you wanted to buy at.