HFT is Killing the EMini

Discussion in 'Automated Trading' started by Dogfish, Aug 15, 2011.

  1. Bob111

    Bob111

    дык у меня нет проблем стейтменты показать и я это не раз тут делал. однако у пиплов тут есть проблемы поверить в то,что это не подделка. по этому поводу я тут хуйни разной уже наслушался.поэтому больше никого уговаривать не хочу в том что я не фокусник и фотожопом пользоваться не умею.. хотите верьте,хотите не верьте. мне все это ПО ХУЙ :cool:
     
    #41     Aug 16, 2011
  2. haha..

    i was only kidding

    пересматривал старое кино советское и наткнулся на твой пост потом случайно.


    :D

    happy trading!
     
    #42     Aug 16, 2011
  3. TraDaToR

    TraDaToR

    Bob,

    Do you know the exact loophole in market centers/ orders/ MM priority/whatever ... that permits this abuse? Your problem is that for whatever reason some other participants in equities gets information about your order before it hits the marketplace. Just like they can choose to subpenny when they see an incoming market orders, they can choose to withdraw their liquidity when you can move the book.

    I wouldn't ever trade in this kind of environment. On futures, only your clearing firm is aware of your orders before it hits the market place, other participants know about your order only when it is displayed on globex or printed. That's why HFT cause no problems on futures. Again speed has nothing to do with it...
     
    #43     Aug 16, 2011
  4. 100% right

    Here's an interesting article on the subject from the weekend papers.

    http://www.telegraph.co.uk/finance/...s-calls-for-inquiry-on-black-box-trading.html
     
    #44     Aug 16, 2011
  5. HFTs are the tail that wag the proverbial futures' dog. HFTs and algos are almost all of the movement in futures markets right now. That's why you see erratic counter-swing spikes and rips in every symbol, why CL will often slip -5 to -10 cents past stops, why TF is trading 3-ticks bid/ask wide, why even the ES has become noticeably spastic.

    It's a market-wide affect. Lots more noise in commodity symbols now than ever before. Gotta deal with it by being more precise with entries, quicker to exit when profits briefly accrue before they disappear, and taking more entries after being chopped out of stops that used to hold when price was smoother... back in 2007 - 2008.
     
    #45     Aug 16, 2011
  6. CrackPipe

    CrackPipe Guest

    Both questions answered in 1 word -

    money


    considering the entry requirement is $16k per month for rack space alone, without even talking of hiring coders, specialist hardware, data feeds, software etc, the barrier to entry is simply too high for most firms and definitely the majority of 1 lot wonders here on et

    just because they could, doesnt mean they can.
     
    #46     Aug 16, 2011
  7. CrackPipe

    CrackPipe Guest

    i understand your frustration. so youre saying hft can cancel orders quicker than the exchange can fill orders.

    that would imply that its quicker for an exchange to cancel an order than fill it also.

    youre not the first person to complain of this
     
    #47     Aug 16, 2011
  8. There is nothing faster than a market order. That your data lags is your problem.
     
    #48     Aug 16, 2011
  9. It ain't about execution for most of us... that's not the problem. It's all about market disruption. The simple fact that price action is bastardized from the normal rhythms of accumulation & distribution to the order-flow stealing spasms of algos.

    Make sense? Not getting filled is a peripheral issue... a non-issue to futures traders. Warped tapes is the issue at hand. End the artificial order-flow theft and price action returns to what it used to be.
     
    #49     Aug 16, 2011
  10. That 9000 HFT order is not a normal limit order. It's probably a FOK (fill or kill) order or a variation thereof. There are ways to identify this and exploit it so that you can FOK them and they can't FOK you.:eek:

    Nothing mysterious either. That 9000 bid you see is really a series of intermittently sent (fast) series of FOKs that also have a latency and a series of rules. When you find out the latency of the algo and a faint idea of the rules it runs under, you wait till it zigs and then you FOK it. In other words calculate when your bullet order is going to arrive at the exchange and syncro it with the zig of the faster algo. Then mark the market quicly against it till it pukes. Simple really.
     
    #50     Aug 16, 2011