You do understand that there are many companies out there (including on the buy-side) that are involved in HFT with algos, right? You guys keep on obsessing with GS as if they control the markets with their HFT when the fact of the matter is that they are just one of MANY players out there. In fact, HFT only accounts for 1% of revenues at GS. Ever heard of Citadel???
You are right in a way. I'm a pretty small trader, around 100,000 shares per day. 25% of my trades are troppled by HTF's and alog's because they can see my orders by purchasing flash order information, then drop out their level II bid/offers when the see the orders coming in or manipulate us out of our profits with their sophisticated algo programs. The average loss on the trasactions/scam for the bid/asks being pulled alone is about 3c per share, or around $750 (25,000 x .03) per day, or $15000 per month, $180,000 per year. With all the real traders out there that are having the same issue, thousands of us, it adds up the the tune of $21 billion per year for Goldman Sachs and its' cheating customers. You probably wouln't be interested though. You sound like a pretty sophisticated guy, probably a big HTF trader yourself. Do you have your account with Goldman?
My friend , I was here complaining about the algo's when 99% of the posters here thought HFT was a new punk band out of Philly. The few that faintly comprehended claimed there was no problem and they enjoyed trading against 'stupid' computers. I suspect most of them are back tending the hot dogs at their family stand. Now Landis says I have no clue. But no elaboration.
flash or no flash, whoever is siphoning off liquidity for the last 8 mths from the small/mid cap space ought to be shot
I'm sure I've seen the effects of flash orders. Even for small lots of e.g. 500 shares I've seen a large increase in MKT orders being filled away from the bid/ask at the time of the order. I am looking forward to seeing how my average cps does in September, when it sounds like flash orders will be prohibited.
I guess I am slow with this HFT/flash controversy,( sorry, futures trader here), please tell me where I make an error. From what I understand, flash orders are limit orders placed in the book for a really short time in order to deal solely with other HFTs and spot their algos. What does it have to do with the fact that MMs get your orders data before it is matched and liquidity goes away when you submit a buy @ ask for example? Thanks for your help.
Tradator, I've been doing a bit of reading about it and I see two concrete complaints and a bunch of nebulous vauge hype. But first I think you might be a bit unclear about what they are. My understanding is that they don't go in "the" book, only the book at a specific venue where they are only visible to subscribers. They are like high speed fill-or-kill orders that go out to a limited audience. Real complaint #1 is that you can get front run if your order is flashed. This is credible but I don't think it is a problem. Flash orders are voluntary - you decide to submit a flash order you are deciding the advantages outweigh the possibility of being frontrun. You are probing a pocket of the market for liquidity without sitting there long enough to be picked off, maybe some traders think that is worth the possiblity of being frontrun. Real complaint #2 is that it takes us further away from a national market system with a virtual consolidated order book. You can submit a limit order into the book that is first in time at that price and becomes part of the NBBO. Then a flash order that would have executed against your limit order ( if it had not been a flash)can get taken by somebody else who gets a first crack at it (at your limit price) so price/time priority is violated. This is not good but also not a unique problem. The same thing happens with block trades and something similar does (or used to?) happen with NYSE specialists, but the specialists at least had to offer price improvement to take the order. So I think not getting fills on your limit orders when your price seems to be touched by a flash order may be a valid complaint. I haven't seen any of the other claims or complaints clearly explained. Maybe there is more to it but I have gotten too tired of reading through tons of uninformed bullshit to pick it out. I have seen some credible sounding stuff about payment for liquidity being wierd when flash orders are involved but I didn't really follow the arguments.