Decimation changed market dynamics quite a bit, though I think the end result (bid/ask spread and liquidity) is negligible now that they're back...
Thinking back, I probably mis-construed it, but I use the term to refer to orders that hedge/offset a position. So if I get filled on the bid, a...
Futures trading consolidation isn't due to regulation. For example, you can trade currency futures on CME as well as ICE and others, but people...
This was in reference to quoting directly to big banks (GS/JPM/etc) through an ECN like Currenex. The bank would get my feed as a stand-alone...
Yeah that's pretty common. Try to get in front of the line, if you don't like your fill then just flatten at the same price you were just filled at.
It's almost always a combination of both ML and human-driven adjustments ("gray box"). Never truly static - the only static parameters are really...
Not personally, though I'm not as heavily into the pure quant-driven side of HFT.
Fully agree, about both the taxes and equity market fragmentation. Bid/ask spreads would actually probably get smaller since MM'ers would have way...
I've actually been requested to make wider, "more hittable" quotes on some exchanges (think FX with last-look). Retail traders complained to the...
One more note I'd add that is very very important that most people leave out, intentionally or not. When HFT "sees a print", everyone subscribing...
Non-public is the key word here. People miss a key point about "non-public order info". In the 60 minutes example, they stated that HFT firms...
I don't know of a clear-cut way to do it. One possibility would be to look into situations where the market ticks towards a round number with...
1) Yes I care about Q Spot. Queue position is a signal in and of itself. 2) Arbitrarily pick a spread to ask for, adjust it up if you're getting...
I read the intro section. Makes sense. Their conclusion is: "...adoption of any speciï¬c metric for order ï¬ow toxicity should be contingent...
I don't use 'VPIN' strictly as it's defined in some articles, but yes I use Last Trade information from the exchange to formulate a short-term...
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