hft finding footprints

Discussion in 'Automated Trading' started by dividend, Feb 1, 2012.

  1. I do not fully understand how HFTs can identify footprints in the orderflow or an institution's algorithm. Can someone give concrete examples? Thanks.
  2. how long hv u been on markets ?

    I want it in per hours. eg. 8 hours of pm asset allocation/research/day trading = 1 day.

    No point explaining to u if u r <2 yrs
  3. Do you kids even know what proper writing looks like?

    "u if u r" ?

    You come across as an illiterate primate. Learn how to write properly before you question someone else's experience level.
  4. +1
  5. Dividend,

    Your orders can be logged in a number of ways. Predatory HFT programs will track your order as soon as it is sent to the exchange. This allows the HFT to gauge short-term supply and demand, and allows the HFT to put together "a mosaic" of short term liquidity.

    When short-term traders are primarily long, the program will try to take the stock down to shake them out, and vice-versa.

    The key is to show your hand as little as possible in this HFT world. I'm a big fan of taking liquidity, and showing the HFT programs as little as possible.

    Here is an article from CFA mag that explains some of this.

  6. the fact that his id on this forum dates back to 2004 should give you a hint that he's not exactly a rookie...
  7. It's the new generation sir. They did not learn to write with a pen but with an iPhone.
  8. JFGI.
    But if you can't:
    1-KO moves 5 cents in 10 milliseconds and PEP did not move yet. You lift PEP place a limit 2 cents higher and expect to get lifted. Refered to as correlation trading.
    2-You have a low priced stock that make a lot of volume in one day but is not volatile (C before reverse split). You place a bid at 4.10, if someone sells it to you you place a reverse order on the other side trying to make a penny + liquidity providing rebate.
    3-The famous flash orders, I let you GOOG this one.
    4-Intermarket arbitrage.
    5-Your algo detects a buying iceberg and buy before it is done and sells to the iceberg at a higher price.
  9. :) you can google my nick, search up my posts in this forum and other forums, and see what you get :)
    #10     Feb 2, 2012