hft_throwaway

18 ms·

31.
by hft_throwaway 12y ago
Manipulation definitely happens where traders will show non-bona fide interest on one side of the market to provoke other traders or algos to react. It's known as layering or spoofing and like any behavior where you're placing ord
32.
by hft_throwaway 12y ago
Maybe? Most guys who are really fast are also really smart. It's hard to make money purely being fast these days. I can't speak for everyone but most "HFT" models are built around providing some kind of service to the ma
33.
by hft_throwaway 12y ago
Most exchanges are structured something like: a.) Each trader has one or more gateway processes that do the order checking/rejecting. b.) Each gateway maintains a queue of messages for the matching engine. c.) The matching engine/
34.
by hft_throwaway 12y ago
Human specialists and locals usually either had a monopoly on their product or were buddies with everyone in the pit so of course they would collude. Even on the NASDAQ screen they would collude and intimidate anyone showing tighter prices
35.
by hft_throwaway 12y ago
Sure but what if someone else is doing something in the market that perfectly lines up with the edge conditions for your place and cancel thresholds? Nothing is foolproof. If you are operating at a large enough scale this will end up happen
36.
by hft_throwaway 12y ago
http://zacharydavid.com/2014/04/on-hft-part-ii-bugs-features... This blog post details similar issues that can lead to rapidly canceled orders. Generally, firms that are smart avoid moving their prices around &quo
37.
by hft_throwaway 13y ago
Countless studies point to a lowering in bid-ask spreads (the effective "fee" impatient traders pay to trade) when electronic market-makers entered the market, and an increase in this spread when they leave or are forced out: htt
38.
by hft_throwaway 13y ago
We don't need much more than safe shelter and a shirt on our backs. We could get by with once a day call auctions or even trading stocks face-to-face without an exchange at all. We don't even need stocks or companies. That doe
39.
by hft_throwaway 13y ago
Not in a competitive market, and on-exchange liquidity provision is the most purely competitive market out there. My quote is no better than anyone else's, so anyone can undercut my price. Imagine the grocery store example I gave. Say
40.
by hft_throwaway 13y ago
How is it any different from arbitrage? If I see the price of ES move in Chicago before others and trade SPY in NY based on that, is it front-running? Somebody will make that trade, so we're really just arguing over who gets the money.
41.
by hft_throwaway 13y ago
The returns aren't that high though. Even the top firms now barely make anything after costs. The stock market is designed for traders! The primary purpose of a stock market is to let stockholders transfer risk most efficiently. The ca
42.
by hft_throwaway 13y ago
There are not many businesses you can start that cost so little. Even a McDonalds franchise would cost more to start than a small trading firm. The activity he describes is illegal. Every order you place must be because of a bona fide inter
43.
by hft_throwaway 13y ago
People have to have different information or views on a market, otherwise no trade would take place except between gamblers. HFTs have no unfair advantage. Everything that they use is available publicly for a cost. It's like saying run
44.
by hft_throwaway 13y ago
Trading is the only industry on earth where we even debate whether Joe Schmoe off the street should have a chance at competing with huge institutions, and oddly enough it's probably one of the most purely competitive things in the worl
45.
by hft_throwaway 13y ago
Can you describe in detail what "games" this enables and how often they actually happen in the data? You claim SIP slowness enables a fictional trade called "latency arb" where HFTs can trade with orders at stale prices,
46.
by hft_throwaway 13y ago
Then HFTs would still win but pricing would widen out since some liquidity is made available because of ability to hedge in another product. Think about if I'm quoting SPY because I can buy/sell the basket better than my quotes. I
47.
by hft_throwaway 13y ago
I don't know where this meme started, but it's clearly untrue. Nanex likes to make this claim, but they claim "HFT" only started with Reg NMS in 2007. Tell me this doesn't sound like the most stereotypical HFT-style
48.
by hft_throwaway 13y ago
Exchange gateways fail, network lines fail. This happens all the time. In the current system I can still trade if NASDAQ goes down.
49.
by hft_throwaway 13y ago
So you want a distributed order book with global time priority and atomic execution semantics? Can you explain the mechanics of how this would work? This sounds like a locking nightmare. I think some FX market works this way with matching e
50.
by hft_throwaway 13y ago
Are you sure you're computing the basket correctly including cash component? For major ETFs like SPY or XLF they basically never trade away from NAV, not even by 0.01. HFTs are why. Authorized Participants can create/redeem in-kin
51.
by hft_throwaway 13y ago
If you think you don't benefit from someone else providing a quote, place a limit order of your own and update it throughout the day. Buying the market-maker's quote is basically giving them your trading problem. It's special
52.
by hft_throwaway 13y ago
The HFT is taking risk though. Like everything else in markets, nothing they do happens at the same time either. They could miss on one side of the trade if another player is faster, and then they're stuck in a position they might not
53.
by hft_throwaway 13y ago
I'd be curious how much volume occurs like this. I'm in the industry and know of these issues but have never heard of a trade specifically designed to exploit it. Exchanges aren't allowed to accept quotes that would lock&#x2F
54.
by hft_throwaway 13y ago
WTF is "latency arbitrage"? All arbitrages are short-lived and latency sensitive. It's a marketing term made up by fear mongers.
55.
by hft_throwaway 13y ago
Virtu basically only does market-making which is a low risk trade. You put on small positions with a tiny statistical edge hundreds of thousands of times a day to make the bid-ask spread. It's like flipping a coin that comes up heads 5
56.
by hft_throwaway 13y ago
You could not be more wrong. Providing liquidity at a razor thin spread is one of the toughest trades out there. Think about it: every passive order I place gives someone the option to trade with me until I can update it. If my price is wro
57.
by hft_throwaway 13y ago
This guy is seriously issuing a "trigger warning" about "legislative violence" for someone not agreeing with his views? Is he a Social Justice Warrior caricature or does he really believe this stuff? I don't see why
58.
by hft_throwaway 13y ago
I think you'd have to be at least somewhat anti-gay to go out of your way to fund an anti-gay marriage measure specifically. Most people, even those who take a more traditional view on marriage, don't concern themselves with such
59.
by hft_throwaway 13y ago
You're still at a point where you require someone's reputation to be worth more than they'd gain from fraud. Say A buys from B with C as arbitrator. A can pay C to claim B never sent the goods and both A and C will be better
60.
by hft_throwaway 13y ago
The average consumer can do far better than 30 bps on currency trades, even on something like an Interactive Brokers account. Retail guys probably see tighter prices than HFTs do, to be honest, since FX is an OTC market and generally speaki

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