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>HFT is a scourge on the world's economy I'd point out that a lot of the things that are going on in HFT, are rehashes of old trading scams, and either are or

>HFT is a scourge on the world's economy I'd point out that a lot of the things that are going on in HFT, are rehashes of old trading scams, and either are or would be illegal if there was any adult supervision. I was tempted to say something about the SEC being left behind the technology, and doesn't understand it. But for that to be true, and have this crap go on for so long, they either need to be complete fools, or they benefit from the status quo. >and it's a game only the biggest and best-connected players benefit from. That's definitely true in the case of latency arbitrage. But here again. It's the exchanges themselves that have decided that some players get an advantage over others. As an example, latency arbitrage, and a whole host of other problems could be sorted out by putting traders on exchange-hosted virtual machines. http://www.dailyfinance.com/2010/06/05/rigged-market-latency-arbitrage-3-billion/ http://www.dailyfinance.com/2010/06/05/rigged-market-latency... If not virtual machines, there are other ways to fix these problems, but first you need to get the players to acknowledge that there is a problem. http://www.zerohedge.com/article/do-it-yourself-latency-arbitrage-how-hfts-can-manipulate-nbbo-whim-courtesy-nyse-quote-stuff http://www.zerohedge.com/article/do-it-yourself-latency-arbi... Nanex has done a lot of good analysis of HFT, some of which is published here: nanex.net/FlashCrash/OngoingResearch.html

ycombobreaker 14y ago
Nanex is wonderful to read, but IMO they frequently misinterpret the data. Off the top of my head: - They only use consolidated feeds for US equities, never direct market-data feeds. The consolidated feed necessarily contains less information that direct feeds (to satisfy more stringent bandwidth requirements), which masks some "interesting" effects of how the exchanges publish their data. - They disregard that the CME feed publishes a fixed depth-of-book, and whenever they look at total liquidity in the book it can appear to flicker when deep levels fall "out" of the back of the book, even if liquidity is actually improving with the presence of a new inside level. - They make a big deal about wholesaler matching only occurring when the consolidated book is not locked. Their rationale is that subpenny prices are always wholesalers, and (erronously) therefore a lack of subpenny-priced trades must mean a lack of wholesale matching. These mistakes sound believable, but they do not hold up to any of scrutiny. Use their site to find interesting events, but be very careful about taking their conclusions at face value. Edit: bullet-list formatting
- zygomega 14y ago
  That's why I thought the DNQ iqfeed was a suitable choice - no consolidation at all. Would love to know what the "interesting" effects are (beyond the fixed book CME effect) - will be looking a bit harder at the stream to find them!

ycombobreaker 14y ago

Nanex is wonderful to read, but IMO they frequently misinterpret the data. Off the top of my head: - They only use consolidated feeds for US equities, never direct market-data feeds. The consolidated feed necessarily contains less information that direct feeds (to satisfy more stringent bandwidth requirements), which masks some "interesting" effects of how the exchanges publish their data. - They disregard that the CME feed publishes a fixed depth-of-book, and whenever they look at total liquidity in the book it can appear to flicker when deep levels fall "out" of the back of the book, even if liquidity is actually improving with the presence of a new inside level. - They make a big deal about wholesaler matching only occurring when the consolidated book is not locked. Their rationale is that subpenny prices are always wholesalers, and (erronously) therefore a lack of subpenny-priced trades must mean a lack of wholesale matching. These mistakes sound believable, but they do not hold up to any of scrutiny. Use their site to find interesting events, but be very careful about taking their conclusions at face value. Edit: bullet-list formatting

zygomega 14y ago
That's why I thought the DNQ iqfeed was a suitable choice - no consolidation at all. Would love to know what the "interesting" effects are (beyond the fixed book CME effect) - will be looking a bit harder at the stream to find them!