6 ms·
HFT pushes incremental buy orders, which your sell order accepts (price discovery) but are canceled before they are filled. Knowing your limit, they then fill y
by rrhyne 13y ago
HFT pushes incremental buy orders, which your sell order accepts (price discovery) but are canceled before they are filled. Knowing your limit, they then fill your order at your limit.
It's illegal for anyone to issue an order they don't intend to complete, but the HFTs get a pass for some reason or other that must end with quite a few zeros.
- yummyfajitas 13y agoHFT pushes incremental buy orders, which your sell order accepts (price discovery) but are canceled before they are filled. This is incorrect. If you place a BUY@$100 and someone has a SELL@$100, the exchange instantaneously matches the orders and a trade is issued. You can't cancel an order which was matched. The "price discovery" happens before the trade is placed. The instant the exchange receives the BUY@$100 order it is published to the world via the exchange's multicast quote stream. "Issue an order they don't intend to complete" is an anachronism related to pit trading - in the pit, it's possible to throw the "I accept" hand signal at the other guy and then change your mind after trading hours during reconciliation. The FIX and OUCH protocols do not have a similar "oops I changed my mind now I'll be a jerk after hours" message.
- crdoconnor 13y agoIt's called quote stuffing: http://www.zerohedge.com/article/its-not-market-its-hft-crop-circle-crime-scene-further-evidence-quote-stuffing-manipulation- http://www.zerohedge.com/article/its-not-market-its-hft-crop...
- yummyfajitas 13y agoNanex has discovered some wiggles in a graph. So what?
- rrhyne 13y agoWhat they discovered (as have others) are innumerable canceled quotes, which are the mechanism for price discovery. A bit more than wiggles on a graph.
- yummyfajitas 13y agoI don't understand. The order was valid and could be filled until it was canceled. Can you please explain the specific mechanics of what you think is happening, who it harms and how?
- rrhyne 13y agoThe top post in this thread did so clearly.
- yummyfajitas 13y agoThe top post is based on a completely incorrect understanding of how a matching engine works.
- crdoconnor 13y agoYou don't understand the concept of quote stuffing?
- yummyfajitas 13y agoWhat I understand. 1) Rapidly post/cancel trades, risking a fill. 2) ??? 3) Profit! The ??? represent the part I don't understand. (If you are actually interested, "quote stuffing" is typically the result of algorithms interacting in unexpected ways. It's not intentional or beneficial. I've spent weeks trying to reduce the amount of it.)
- Guvante 13y agoIIRC quote stuffing is an attempt to trip triggers to the benefit of the HFT. Basically you have a trigger that says when the market hits $X, do Y action (say sell). Since your trigger is slower than their processing, assuming a small enough market, they can "move" the market to $X but reverse before your trigger finishes. This only works because you don't actually have a "Sell at $X".