5 ms·
What they discovered (as have others) are innumerable canceled quotes, which are the mechanism for price discovery. A bit more than wiggles on a graph.
by rrhyne 13y ago
What 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".