Spot on. Not only that, no clue as to how HFT traders get paid. They are paid for filled resting orders. That is they make mean reversion trades which dampens noise and adds great liquidity. Daily range is up, average volume is up and volatility is up - doesn't sound like a dying anything to me - more like a traders dream. I trade order flow with spikes that detect surges in commercial trade velocity and have seldom seen such a favorable enviornment for short term, intra-session trend following trades. Big legs, more volume and someone is bitching? If HFT is the cause of this - I say bring more of it. Attached is a chart from Friday's trade (09/09 Time PST) with just such a situation. There was a topping spike in commercial trade velocity and obvious negative divergence between price and a moving window of order flow. In the 40 monutes following the spike and the divergence ES dropped 20+ points. Not bad for a market that is being killed by HFT.
-------------------------------------------------------------------------------- Quote from syswizard: Exactly. Most of the complaints about HFT come from those who can't program and don't have a clue about how an algo is constructed and tested. -------------------------------------------------------------------------------- Greetings, I don't have much of a clue as to what algos do, or how they are constructed. And, I do very much agree with Spiker and Austinp on their market views on algos. This conclusion is based on my market experience and what I have witnessed on the charts through more screen hours then I care to mention. However, since you appear to have some expert insight as to how an algo is "constructed and tested". And, I'd be very much interested in learning your opinions on these topic areas, or any other insights you have. I would like to learn and know "your specific" conclusions as to how algos are constructed and tested, and not some book definition or reference. I would like to learn, what a person who has mastered these concepts knows, at least in general. Could you please share some of your insights on these two topic areas. My basic questions are: 1. What specifically are these algos constructed to do? 2. What specific conditions are the algos looking for in the market? 3. What procedures do they use to accomplish this task? 4. How do they test for efficacy? 5. In your opinion, how would one go about protecting themselves from an algo strike? 6. In your opinion, how would one go about taking advantage of a potential algo strike? I would like to learn how to better coexist with these algos, since they appear to be here to stay......at least for the foreseeable future. Big Thanks!
While I understand now HFT take advantage of collocation to trade equities, and make money from rebates, sub penning, flash orders and etc, I still find it hard to understand how these strategies can be transferred to ES. If anyone can shed any light, that would be great. Thanks
Whats ruined the mini's is the bad economy and bad Fed policy coupled with the wipeout of many market participants two years ago. HFT would have been great in 08, but look at the returns today. They arent that great. They need retail and institutions to make a living and they are gone.
yeah, there is a relative news blackout [as much as there can be one in this internet age] about quantum computing.. I thought it was about "National Security" but maybe it's about "Hedge Fund Security"...
Very nice analytics you've got going on here. Trading on volume bars of 1000 contracts, eh ? Very interesting.
Dude - I buy all of the HFT books and COMBINED they wouldn't answer ANY of these.....not that they couldn't ! Everything is "hush, hush" in the HFT trading arena.