4 ms·

The behavior of other participants is itself a first-class signal. Rule 611 compresses that signal. By forcing everything to orbit a size-agnostic NBBO, it col

The behavior of other participants is itself a first-class signal. Rule 611 compresses that signal. By forcing everything to orbit a size-agnostic NBBO, it collapses a lot of the “behavioral bandwidth” (depth, imbalance, sweep patterns, replenishment, cancel/replace cadence) into a single top-of-book tick. Less resolution, less information. High-resolution flow tells you who wants what, at what size, and how urgently. When we gate execution through protected quotes, we encourage tactics that flick the top-of-book with tiny size and discourage truthful size revelation. That’s signal destruction dressed up as protection. Letting informed counterparties print away from the protected price (to reflect size or information) increases informational content. You get cleaner read-through from actual willingness to trade, instead of a compliance-driven dance around a fragile benchmark. So yes: other people’s actions are the best data feed. The more of that behavior we can see—in size, time, and venue—the better our discovery gets. 611 reduces that visibility by design.

CyberDildonics 1y ago
the better our discovery gets The better the computers hooked directly into the exchange get you mean.
- resters 1y ago
  All participants contribute to price discovery. A nanosecond order book helps with price discovery the deeper it is, regardless of whether orders clear. > The better the computers hooked directly into the exchange get you mean. I think you're trolling with this one. But you had an advantage typing your comment into a web browser compared to all the people who wrote theirs on paper and put it in an envelope with a stamp.
  - CyberDildonics 1y ago
    A nanosecond order book helps with price discovery the deeper it is, regardless of whether orders clear. This is a claim, it is not being backed up by evidence. I think you're trolling with this one. But you had an advantage typing your comment into a web browser compared to all the people who wrote theirs on paper and put it in an envelope with a stamp. This analogy doesn't make any sense. Why would a person care about nanosecond price discovery? The only benefit is for whoever controls the computers that are able to do it and profit off of it. If that's not true then why are these firms paying so much money to have nanosecond advantages? Why do people doing normal trading want to avoid the exchanges that have HFT computers skimming money off their trades? There is no mutual benefit here. If there was you would be able to explain it clearly and with evidence instead of just making claims about 'price discovery'. The price is going to get discovered either way just as it has for hundreds of years, it happening a billion times per second does normal traders no good.
    - growse 1y ago
      > Why do people doing normal trading want to avoid the exchanges that have HFT computers skimming money off their trades? What's "normal trading"? A prop desk at an investment bank? A hedge fund? A pension fund? Someone who's just installed Robin Hood on their phone? Most rational participants want lower trading costs and overheads, smaller spreads etc. HFT provides that - the evidence being "look at what the spreads are today, compared with what they were pre computerised trading". And you don't have to take my word for it, Vanguard thinks this too. https://www.cnbc.com/2014/04/25/vanguard-chief-defends-high-frequency-trading-firms.html https://www.cnbc.com/2014/04/25/vanguard-chief-defends-high-... > The price is going to get discovered either way just as it has for hundreds of years, it happening a billion times per second does normal traders no good. Could you explain how a market participant who makes one trade a day is negatively impacted by high resolution price discovery?
      - zmgsabst 1y ago
        > Could you explain how a market participant who makes one trade a day is negatively impacted by high resolution price discovery? They’re negatively impacted because the SNR drops when the gain is turned up and causes algorithmic ringing to perturb the price that would be generated by high quality signal. People who extract money by injecting algorithmic ringing into financial markets are a social parasite.
        resters 1y ago
        I'm curious which tradition inspires your view... a) https://www.sefaria.org/Bava_Batra.90b.1?lang=bi&with=Introductions%20to%20the%20Babylonian%20Talmud&lang2=en https://www.sefaria.org/Bava_Batra.90b.1?lang=bi&with=Introd... b) https://sunnah.com/nasai/44 https://sunnah.com/nasai/44
      - UltraSane 1y ago
        Computers buying and selling shares in microseconds is NOT normal trading.
- KPGv2 1y ago
  > The better the computers hooked directly into the exchange get you mean. I need you to understand that HFT makes decisions based on human-defined parameters. It's not AI-driven. What's the difference between a human saying "these are my parameters, now CPU, go trade based off those" versus "these are my parameters, now underling, go trade based off those" the only difference is speed, plus i suppose those underlings might suck at following their boss's directives compared to a computer
  - CyberDildonics 1y ago
    I need you to understand that HFT makes decisions based on human-defined parameters. It's not AI-driven. You need me to understand something I never said anything about? No one said AI.
    - KPGv2 1y ago
      You wrote: > > the better our discovery gets > The better the computers hooked directly into the exchange get you mean. This implies a distinction between "our" (i.e., humans) and "the computers." Can you explain what distinction you meant if it wasn't AI? After all, everything computers do outside AI is done pursuant to knowable, describable human control, no different from pressing keys on a keyboard. So if you didn't mean AI, I think it's worse for your argument, not better.
      - CyberDildonics 1y ago
        I think it's better for my argument, not worse. The difference is that I will actually explain what I mean instead of just making claims with no evidence. Can you explain what distinction you meant The distinction is that the computers making millions of trades per second are owned by few people and have a huge advantage. They don't lose money and they don't hold anything. They aren't wanted by actual people making decisions, they are there in spite of what traders buying stocks to own them actually want. They are there because they make money and from the exchange and make money for the exchange. Retail traders are the product even though they don't want to be.
ForHackernews 1y ago
It's pretty funny that there are people in this thread pretending like "price discovery" is a real thing that happens in markets based on information. We've all seen Dogecoin and BBBYQ. The emperor has no clothes.
- abm53 1y ago
  We could make the distinction between price discovery, i.e. what price are people currently willing to buy and sell at (short-term) vs value discovery (long-term).
  - ForHackernews 1y ago
    In the short term the market is a blockchain-enabled voting machine but in the long term it's an Elon Musk tweet-weighing machine.
UltraSane 1y ago
If HFT was genuinely good for the entire market than absolute latency would be what matters but it is only relative latency between HFT firms that matter because they are all competing against each other using the same tactics where whoever is fastest wins.

CyberDildonics 1y ago

the better our discovery gets The better the computers hooked directly into the exchange get you mean.

resters 1y ago
All participants contribute to price discovery. A nanosecond order book helps with price discovery the deeper it is, regardless of whether orders clear. > The better the computers hooked directly into the exchange get you mean. I think you're trolling with this one. But you had an advantage typing your comment into a web browser compared to all the people who wrote theirs on paper and put it in an envelope with a stamp.
- CyberDildonics 1y ago
  A nanosecond order book helps with price discovery the deeper it is, regardless of whether orders clear. This is a claim, it is not being backed up by evidence. I think you're trolling with this one. But you had an advantage typing your comment into a web browser compared to all the people who wrote theirs on paper and put it in an envelope with a stamp. This analogy doesn't make any sense. Why would a person care about nanosecond price discovery? The only benefit is for whoever controls the computers that are able to do it and profit off of it. If that's not true then why are these firms paying so much money to have nanosecond advantages? Why do people doing normal trading want to avoid the exchanges that have HFT computers skimming money off their trades? There is no mutual benefit here. If there was you would be able to explain it clearly and with evidence instead of just making claims about 'price discovery'. The price is going to get discovered either way just as it has for hundreds of years, it happening a billion times per second does normal traders no good.
  - growse 1y ago
    > Why do people doing normal trading want to avoid the exchanges that have HFT computers skimming money off their trades? What's "normal trading"? A prop desk at an investment bank? A hedge fund? A pension fund? Someone who's just installed Robin Hood on their phone? Most rational participants want lower trading costs and overheads, smaller spreads etc. HFT provides that - the evidence being "look at what the spreads are today, compared with what they were pre computerised trading". And you don't have to take my word for it, Vanguard thinks this too. https://www.cnbc.com/2014/04/25/vanguard-chief-defends-high-frequency-trading-firms.html https://www.cnbc.com/2014/04/25/vanguard-chief-defends-high-... > The price is going to get discovered either way just as it has for hundreds of years, it happening a billion times per second does normal traders no good. Could you explain how a market participant who makes one trade a day is negatively impacted by high resolution price discovery?
    - zmgsabst 1y ago
      > Could you explain how a market participant who makes one trade a day is negatively impacted by high resolution price discovery? They’re negatively impacted because the SNR drops when the gain is turned up and causes algorithmic ringing to perturb the price that would be generated by high quality signal. People who extract money by injecting algorithmic ringing into financial markets are a social parasite.
      - resters 1y ago
        I'm curious which tradition inspires your view... a) https://www.sefaria.org/Bava_Batra.90b.1?lang=bi&with=Introductions%20to%20the%20Babylonian%20Talmud&lang2=en https://www.sefaria.org/Bava_Batra.90b.1?lang=bi&with=Introd... b) https://sunnah.com/nasai/44 https://sunnah.com/nasai/44
    - UltraSane 1y ago
      Computers buying and selling shares in microseconds is NOT normal trading.
KPGv2 1y ago
> The better the computers hooked directly into the exchange get you mean. I need you to understand that HFT makes decisions based on human-defined parameters. It's not AI-driven. What's the difference between a human saying "these are my parameters, now CPU, go trade based off those" versus "these are my parameters, now underling, go trade based off those" the only difference is speed, plus i suppose those underlings might suck at following their boss's directives compared to a computer
- CyberDildonics 1y ago
  I need you to understand that HFT makes decisions based on human-defined parameters. It's not AI-driven. You need me to understand something I never said anything about? No one said AI.
  - KPGv2 1y ago
    You wrote: > > the better our discovery gets > The better the computers hooked directly into the exchange get you mean. This implies a distinction between "our" (i.e., humans) and "the computers." Can you explain what distinction you meant if it wasn't AI? After all, everything computers do outside AI is done pursuant to knowable, describable human control, no different from pressing keys on a keyboard. So if you didn't mean AI, I think it's worse for your argument, not better.
    - CyberDildonics 1y ago
      I think it's better for my argument, not worse. The difference is that I will actually explain what I mean instead of just making claims with no evidence. Can you explain what distinction you meant The distinction is that the computers making millions of trades per second are owned by few people and have a huge advantage. They don't lose money and they don't hold anything. They aren't wanted by actual people making decisions, they are there in spite of what traders buying stocks to own them actually want. They are there because they make money and from the exchange and make money for the exchange. Retail traders are the product even though they don't want to be.

ForHackernews 1y ago

It's pretty funny that there are people in this thread pretending like "price discovery" is a real thing that happens in markets based on information. We've all seen Dogecoin and BBBYQ. The emperor has no clothes.

abm53 1y ago
We could make the distinction between price discovery, i.e. what price are people currently willing to buy and sell at (short-term) vs value discovery (long-term).
- ForHackernews 1y ago
  In the short term the market is a blockchain-enabled voting machine but in the long term it's an Elon Musk tweet-weighing machine.

UltraSane 1y ago

If HFT was genuinely good for the entire market than absolute latency would be what matters but it is only relative latency between HFT firms that matter because they are all competing against each other using the same tactics where whoever is fastest wins.