I do not fully understand how HFTs can identify footprints in the orderflow or an institution's algorithm. Can someone give concrete examples? Thanks.
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
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.
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. http://www.premarketinfo.com/public/files/cfm.v21.n4.16.pdf
the fact that his id on this forum dates back to 2004 should give you a hint that he's not exactly a rookie...
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. 6-...
Regarding: Footprints - see here http://www.youtube.com/watch?v=ngwpcJy7CTA&list=FLvXDkECQTi1FcTZxcmw5Ccw&index=1&feature=plpp_video Cheers,