Do you have a multi key? meaning you can send to various ECN's at once? I find that when this happens it happens because of the lag in the routing, i.e. I send to EDGX and i get all my EDGX shares but none of the shares on the other 2 NSDQ or ARCA. If you set up a multi key it will send your shares to all three at the same time, so it will go to EDGX, ARCA, and NSDQ, and they wont have time to pull, i have found that this greatly increases my chances of getting the shares which are there. You just have to be quick on the math, and risk overfills at times because if you want 2000 shares you would have to key in 700 cause its sending 700 to all three ecns. You may risk getting overfilled by 1-200 shares at times, but its better then taking a swipe at a level for 2k only to miss and post on the offer and watch it fall 5-6 ticks. you got to remember too that sometimes you actually are going to be just a millisecond or 2 late, especially when looking at punching a level with a bit of size on it, because there are probably 300 other traders looking at the exact same thing, all waiting till it gets ugly to punch the level.
never chase a fill.... market's aren't fair - they shouldn't be. market's are[should be] free, there is a difference.
Karl, I hear you and in a practical sense, I agree with you. I did adapt to all the changes on the NYSE after the specialist system was dismantled. I quit trading. I'm not going to bitch and moan about it--the markets were changing, and most of the easy $$ trades to which I was accustomed, were drying up. BTW, I would never chase fills, spent most of my time providing liquidity. That being said, it still drove me crazy when I was positioned just right, watched trades filled at my order price, and then watched the stock move exactly as I had anticipated while I sat there with an open order. Hey that's trading, there is going to be competition for good fills. My impression was that in the "good old days" of the NYSE, only the specialists were able to get an advanced peak at the order flow, in the course of doing their job. There were some pretty stringent rules regarding how the specialist could use that information. Sure, there were abuses, but now, it sounds like advanced access to order flow can be had by the highest bidders. These bidders seem to be able to do anything they damn well please with that information. I don't have a problem per se with HFT. It just sounds to me as though there are some games being played with order flow that have made the playing field more stilted than it ever was before.
Is it really illegal? Not an expert on sub-second scalping... but if once a price is displayed by the exchange it is deemed "disclosed to the public"... that someone's system is faster than another's... therefore gets the price before others and is able to act upon it in a timely fashion... seems to not be illegal.
Whatever made you think it's not happening in futures markets?? Of course it is, it's just harder to see because they are more liquid. That's all.
No, you do not understand properly what they are doing. The best way to explain it is as follows: HFT's are trading on Eurex at the same speed as those trading on CME or LIFFE. They are that much quicker ... ILLEGALLY. I do not have the option to trade Eurex that fast, it's not available to me or you. This gives them the option to see your order on their front end before 99% of market participants, including yourself, do. This enables them to illegally front run your order. To accentuate this illegal latency to give them more time to react to your orders, they order stuff and overload the exchanges order book. Simple really.
Come on, you're smarter than this. These guys aren't talking mid 1990's type of shit, this is milliseconds type of spoofing with no realistic chance of filling. I really cannot fathom why guys who have been around the block for a few years and traded when markets were real, where other participants had to honor quotes, where you could get stuffed on trades that you didn't want, but would honor your bids or offers...NOW they seem to defend programs that are the antithesis of any semblance of a functioning market. Flashing multiple thousands of bids and offers via a computer that is simply there to front run any orders should not be defended in any form by any individual who believes in the spirit of a market.
Or you've brought a knife to a gunfight and you simply don't have the execution speed needed to win the game you're playing.
I see nothing wrong with it. The spirit of the market is to take money from other people in the market, nothing more, nothing less. It fits completely.