4 ms·
And just in case it isn't entirely clear, one example of 'algo' trading (algo != HFT) is developing an algorithm to sell smaller blocks of shares over a period
by apaprocki 13y ago
And just in case it isn't entirely clear, one example of 'algo' trading (algo != HFT) is developing an algorithm to sell smaller blocks of shares over a period of time to "hide" the fact that one participant is unloading 100,000 shares so the the price is not driven down too hard, thereby reducing the overall return from selling the shares.
- kasey_junk 13y agoJust to nitpick a touch. One of the real problems with discussions about HFT is that there is no generally accepted definition of what the term means. In general it is some mix of "computers make trading decisions without human intervention", a high number of trades throughout the trading day, & low latency requirements. The reality is that electronic trading systems have different values for all of those variables. I've worked on a trading system that only traded 4 times a week, had no human operator, but extremely tight latency requirements. I've also worked on a system that did very high volume of trades every day, that was watched like a hawk by a team of human traders, and didn't much care about latency.
- wglb 13y agoOne definition I have heard is "multiple trades per day", but likely the common definition, for the liquidity-providing definition, is "multiple trades per millisecond".
- apaprocki 13y agoHFT as you read it in most stories/comments is trying to imply is what Mark Cuban is hinting at in his blog post that also made the front page. Being fast or having low-latency does not make you a bad person. Using those advantages to front-run books or other "tricks" are what people imagine when they think of HFT with a negative connotation. A firm simply unloading thousands of shares in 100 block increments in a number of milliseconds with very low latency technically would be a bunch of "high frequency" trades, but that type of activity is not what is being debated.
- wglb 13y agoHFT does not front-run trades. This is an apparently common misconception. Mark Cuban misunderstands a lot of things, including Dennis Rodman and High Frequency Trading.
- tptacek 13y agoSince you two are both personal friends of mine can I just point out that (a) you both know a bunch of stuff about markets and (b) Andrew works in R&D at Bloomberg. :)
- apaprocki 13y agoI should have said "allegedly" :) I wasn't making a statement that they do/don't, just that those actions are what are considered the evil behavior.
- wglb 13y agoAh, got it. Sorry if I was overly blunt.