HFT Orders Getting filled against market

Discussion in 'Order Execution' started by max_w, Nov 17, 2014.

  1. you are of course right (as always)


     
    #61     Nov 22, 2014
  2. Butterfly

    Butterfly

    buy-side wants discretion and liquidity, that's why they go through dark pools

    price improvement is only a side benefit,
     
    #62     Nov 22, 2014
  3. When it comes to bank fx market making, I am certainly a few notches above you. You couldn't even tell they were there. You thought you were dealing with some ECN BS who were neutral to your money. By the way, ECN stands for Electronic Communications Networks. It's just another way to say the bank is on the other end of you internet connection. See ? Using ECN is no safer for your money. So long as the bank takes the other side of your bet, you are a*se f***ed.
     
    Last edited: Nov 22, 2014
    #63     Nov 22, 2014
  4. Do you mean HotSpot (I'm interesting trade via this ECN) rejects market and limit orders often?
     
    Last edited: Apr 14, 2015
    #64     Apr 14, 2015
  5. "Often" is relative but yes they have a last look provision.

     
    #65     Apr 14, 2015
  6. I heared about possible 25-50% reject. Is it true? I'll go live soon and check myself. But this reject % and 200 ms delay for order reject do trading impossible.
     
    #66     Apr 15, 2015
  7. Got reply from the HotSpot: "We keep acceptance rates above 80% on our platform and most price takers experience much higher levels of acceptance (>95%). We cannot be sure what you will experience on our platform until you begin trading. Your experience all depends upon how the market makers are able to deal with your trading style" and it's possible ask about data feed without LL market makers. Let's see.
     
    #67     Apr 15, 2015
  8. I do not execute via Hotspot for that exact reason. It basically means if you make money most liquidity providers will tag you and just reject your offers. I can attest from own experience that this even happens at tier 1 investment banks. "Too" profitable clients are phone up and the deal has to be "re-negotiated". A few times there is a valid reason in doing so, for example in equity markets if it becomes apparent that a client is trading on insider information and the streak looks just too good to be true. But in all other cases I consider such legal but unethical.

     
    #68     Apr 15, 2015
    Occam likes this.
  9. #69     Jun 10, 2015
  10. nitro

    nitro

    8 microseconds, as measured from where to where, from what to what? Is this aggregating Top of Book, or a Depth of book. How many symbols. I challenge you to do a full book on several ECNs at 8us without ASICs on say 20 symbols.

    I am at 50 microseconds from marketdata in the NIC, to order placed back on the NIC [so it goes through trading logic, risk management etc] with tolerable jitter. And that is using state of the art C++, [03, 11 and 14] in a functional style minimizing OO and aggregating dozens of banks, ecns, etc with every trick in the book I know about software development, data structures, operating systems and networking. I wrote all of it myself so I understand it all. I can probably double that and get down to 25 microseconds with some more tricks.

    Still, I suspect that is probably about 10x to 20x too slow for pure [stat] arbitrage.
     
    Last edited: Jun 11, 2015
    #70     Jun 11, 2015
    volpunter likes this.