3 ms·

Because of the first paragraph of the article: [..] quote stuffing by HFT algorithms in tens of stocks, in which thousands of cancelled quotes would reappe

Because of the first paragraph of the article: [..] quote stuffing by HFT algorithms in tens of stocks, in which thousands of cancelled quotes would reappear each second with a definitive periodicity and regularity, [..]. Aside from the fact that it is illegal to indicate a quote without a trade intent, this form of quote stuffing is in fact manipulative when conducted by HFT repeaters in specific "shapes" as it actually moves the NBBO actively higher or lower, in cases pushing the bid/offer range up to 10% higher without even one trade ever having occurred, [..] Incidentally, if your algorithm spams the exchanges too much (i.e., your fill rate goes way below 1%), your broker will shut you down Except that that doesn't happen if you essentially are the broker, as is the case with large enough institutions. JP Morgan's broker isn't going to shut them down.

yummyfajitas 16y ago
All quotes on an exchange have trade intent, since if the exchange fills you, a trade occurs. You don't have the ability to back out after your quote is accepted. If the NBBO moves around on a thinly traded stock and no trade occurs, so what?The bid ask spread on some thinly traded stock fluctuated for a few minutes, and no one bought or sold stocks? Oh noes, the horror! If we don't put a stop to this, someone might offer to sell a coke bottle on ebay for $10000 and no one will buy it! Also, if you are a broker, the exchange imposes similar requirements on fill rates. The matching engine gains nothing if you place lots of unfilled orders, and if they allow too much of it, customers who do make trades (i.e., the people who actually pay them) are likely to switch to other matching engines or dark pools.
- Confusion 16y ago
  You don't have the ability to back out after your quote is accepted. But you have the ability to back out on a majority of your quotes, if you submit so many that they couldn't possibly be fulfilled in the time before you cancel them. Despite the fact that they are cancelled, they still have their effect. http://www.zerohedge.com/article/how-hft-quote-stuffing-caused-market-crash-may-6-and-threatens-destroy-entire-market-any-mom http://www.zerohedge.com/article/how-hft-quote-stuffing-caus... Also, if you are a broker, the exchange imposes similar requirements on fill rates Then why aren't these algorithms being banned?

yummyfajitas 16y ago

All quotes on an exchange have trade intent, since if the exchange fills you, a trade occurs. You don't have the ability to back out after your quote is accepted. If the NBBO moves around on a thinly traded stock and no trade occurs, so what?The bid ask spread on some thinly traded stock fluctuated for a few minutes, and no one bought or sold stocks? Oh noes, the horror! If we don't put a stop to this, someone might offer to sell a coke bottle on ebay for $10000 and no one will buy it! Also, if you are a broker, the exchange imposes similar requirements on fill rates. The matching engine gains nothing if you place lots of unfilled orders, and if they allow too much of it, customers who do make trades (i.e., the people who actually pay them) are likely to switch to other matching engines or dark pools.

Confusion 16y ago
You don't have the ability to back out after your quote is accepted. But you have the ability to back out on a majority of your quotes, if you submit so many that they couldn't possibly be fulfilled in the time before you cancel them. Despite the fact that they are cancelled, they still have their effect. http://www.zerohedge.com/article/how-hft-quote-stuffing-caused-market-crash-may-6-and-threatens-destroy-entire-market-any-mom http://www.zerohedge.com/article/how-hft-quote-stuffing-caus... Also, if you are a broker, the exchange imposes similar requirements on fill rates Then why aren't these algorithms being banned?