3 ms·

Please explain how My. HFT "intercepts" the trade in this case? How does he know your limit price? How does he know your parent quantity? Imagine an alternate

by fr0sty 13y ago

Please explain how My. HFT "intercepts" the trade in this case? How does he know your limit price? How does he know your parent quantity? Imagine an alternate scenario: You send an order "buy 100,000 shares $10.00 limit" to NYSE. Does the HFT spend $4MM buying up 200k on the off chance that you want more than the 100k you already bought? If not, why?

fsk 13y ago
The feed the HFT gets is faster than the NYSE to NASDAQ feed. That lets them trade ahead of you. You placed an ordinary 200,000 share limit order. You didn't use one of the special order types. It is riskless for the HFT to buy 100,000 from NASDAQ, knowing they can sell back to you when you buy the other half of your order. Other algos, seeing a big buy, move up the price, so the HFT (may) be able to safely buy and then sell to them.
- fr0sty 13y ago
  > The feed the HFT gets is faster than the NYSE to NASDAQ feed. Assuming for the moment that someone can see an execution from NYSE and route an order to NASDAQ in response in less time than NYSE can send their own order to that Exchange you haven't answered the rest of the question. How does the HFT even know there is an order in-flight to NASDAQ? How does the HFT know that the buyer is willing to pay $10.02? > You placed an ordinary 200,000 share limit order. You didn't use one of the special order types. Is this supposed to be an answer? 100k executed at NYSE @ $10.00, this is public information. NYSE routed the other 100k to NASDAQ. Are you saying there is some way for Mr. HFT to know the particulars of that order to NASDAQ? > knowing they can sell back to you when you buy the other half of your order. You seem to be under the impression that at some point along the line someone besides the NUSE is seeing the parent order details (buy 200k @ $10.02). Please explain how you believe this information is transmitted to third parties.
  - fsk 13y ago
    The HFTs get to see the list of orders as they come in. That's the advantage of colocating with the exchange. If a 200,000 share limit order is placed at the NYSE, the HFTs know that regulation NMS requires the NYSE to route shares to the BBO on other exchanges, before filling the order from their own book.
    - fr0sty 13y ago
      >The HFTs get to see the list of orders as they come in. No, they don't. Third parties cannot see orders "as they come in". Only orders displayed in the exchange's book and executions already completed are sent out to data consumers. In the example you created the 200k buy order is never displayed and as such is not visible to any other user. All an HFT can see is the 100k execution. Again, an HFT rushing to buy in front of this order cannot know how big it actually is, nor what the limit price is and as such whatever buying is purely speculative and not a "guaranteed win".

by fr0sty 13y ago

fsk 13y ago

The feed the HFT gets is faster than the NYSE to NASDAQ feed. That lets them trade ahead of you. You placed an ordinary 200,000 share limit order. You didn't use one of the special order types. It is riskless for the HFT to buy 100,000 from NASDAQ, knowing they can sell back to you when you buy the other half of your order. Other algos, seeing a big buy, move up the price, so the HFT (may) be able to safely buy and then sell to them.

fr0sty 13y ago
> The feed the HFT gets is faster than the NYSE to NASDAQ feed. Assuming for the moment that someone can see an execution from NYSE and route an order to NASDAQ in response in less time than NYSE can send their own order to that Exchange you haven't answered the rest of the question. How does the HFT even know there is an order in-flight to NASDAQ? How does the HFT know that the buyer is willing to pay $10.02? > You placed an ordinary 200,000 share limit order. You didn't use one of the special order types. Is this supposed to be an answer? 100k executed at NYSE @ $10.00, this is public information. NYSE routed the other 100k to NASDAQ. Are you saying there is some way for Mr. HFT to know the particulars of that order to NASDAQ? > knowing they can sell back to you when you buy the other half of your order. You seem to be under the impression that at some point along the line someone besides the NUSE is seeing the parent order details (buy 200k @ $10.02). Please explain how you believe this information is transmitted to third parties.
- fsk 13y ago
  The HFTs get to see the list of orders as they come in. That's the advantage of colocating with the exchange. If a 200,000 share limit order is placed at the NYSE, the HFTs know that regulation NMS requires the NYSE to route shares to the BBO on other exchanges, before filling the order from their own book.
  - fr0sty 13y ago
    >The HFTs get to see the list of orders as they come in. No, they don't. Third parties cannot see orders "as they come in". Only orders displayed in the exchange's book and executions already completed are sent out to data consumers. In the example you created the 200k buy order is never displayed and as such is not visible to any other user. All an HFT can see is the 100k execution. Again, an HFT rushing to buy in front of this order cannot know how big it actually is, nor what the limit price is and as such whatever buying is purely speculative and not a "guaranteed win".