You forgot your link, 777, so I went and found it for you. Wasn't hard. First place I looked. http://blog.themistrading.com/?p=1227
I find it interesting that although this has been making rounds for a while now, no one has put together a simple analysis and cause->effect explanation to show you why this is costing you, as a trader, money. The reason, I believe, is that it's not. These are order book updates. An orderbook update is always sequential, unless it's a mass quote (batch quote update). And the dissemination is, unless there is an orderbook view being sent, also sequential. That's why these charts look the way they do. It sucks that people ignorant of market microstructure are painting an inaccurate picture. Please go carefully read the articles from Nanex (1, 2) that started this.
I'm sorry, I was addressing the "HFT crop circles". I agree that the May 6 flash crash cost a lot of people a lot of money.
I laughed when I saw this. Most great programmers are the types that think they know everything, even thr trading side of the business. The guys that do my programming are pure geniuses and often try to take the strategies in directions that they feel is best, typically with disasterous results. I have learned that programmers require tiny, bite-sized daily or bi-daily tasks to focusd on. Trying to explain the full picutre and hoping they create your vision doesn't work. Knowing what you don't know is just as important as knowing what you do know. A developer simply does not have the market and trading experience to understand the whole picture. Combine this with the head-strong ego of a top programmer and it is a potentially dangerous situation. It is a very rare programmer that can put it all together. I have been in the business for ten years, working in companies that are considered some of the top HFT companies around (we called ourselves market makers, but the press refers to them as HFT companies), and have yet to meet the programmer that can straddle the trading and programming world equally. (Then there is the networking/infrastructure side of the business, as well as the quantitiative side.) There is simply too much someone needs to know to be able to do it all themselves. The HTG capital guys are a prop-shop, with a few extra bells and whistles. Nothing special there. They have lines, money, and a few exchange memberships. I am very curious to see how successful these ex-Getco, GS, and Citidel programmers become. My first guess is that their ego's are too big for their britches.
ZH still harping on this major evidence of the scumminess of all things hft, http://www.zerohedge.com/article/al...the+survival+rate+for+everyone+drops+to+zero)
Your posts keep showing us how little you know about the markets. Zero Hedge is not in any way to be considered a reliable objective source for information. What they are talking about is the same old stuff that's been happening manually for years - walk the price up .05c, let the bids catch up, sell it back down - nothing new here to see, nothing different, nothing at all other than people got tired of punching hotkeys so they automated it.
HFT didn't cause or orchestrate the crash. What happened in 1987? Were the bots responsible for that too?
Hmmmm, so you understand everything and thats why you're a billionaire. Oh , wait, maybe you don't. No excuse for 1000 quote changes a second. This is bullshit. Are they freaking hummingbirds? It's all about frontrunning and you know it. Get off the high horse before you fall off.