Ok, maybe. But then these people would not be able to trade that symbol at all if they just turned off all the quotes for it. Can you tell your quote provider to filter based on some buyer or seller id associated with a quote? I didn't think that information even existed.
could they right a program that ignored their own quotes,could they be hiding their positions,or intentions ,since all orders have an id tag,someone reading the id's would be able to know the sie of longs,shorts, this is possibly hiding that info, a competitor would have to build a streamlined program to watch each whale or large hft
what can the possible be in having someone submitting 4000 quotes in a second, can you see an old floor traded quoting 4000 times in an hour? I cannot see the value of this? It should just be outlawed.
Why does it have to be malicious? What if the knife pattern is just a result of some systematic behavior in the software running the market-data engine or the matching engine? Computer software has quirks like this, with things like schedulers, acquiring locks, bottle-necks, etc. The exchange becomes a sort of filter for algo-intentions if the software can only manage data loads in a particular fashion, acquiring the usual locks (or spinning), etc. I skimmed the article, but I didn't see where he said he used exchange time-stamps. He just says milliseconds. What if his software that is time-stamping packets is being swapped in and out periodically?
Why would anyone need to quote 4000 times a second? At the end of the day markets are there to serve humans, no way something that changes its quote 4000/s is meaniful to a human.
...the evidence of a widespread (in the US) use of the liquidity holes technique by HFT bots in order to obtain price improvements at the entire spread level. Your slower bot falls into such holes whenever it believes the quote it sees, and whenever a price improvement is used without questioning, i.e. the peak of the knife is taken as bona fide persistent quote and your pricing module uses it for valuing a relative-value spread. But as soon as you believed in that excellent price, taken straight from the knife's peak, the bargain is promptly followed by a price valley... only now it is too late to cancel - you executed the other legs of your spread - you have to take the valley price at market- you have fallen into their liquidity hole. It does not follow that such traders create systemic risks. It does not follow that if speculators and funds paused only for a while, the result would be a daily flash crash (the Nanex guys committed a spectacular non-sequitur...) So I'm not saying anyone in their right mind should want to get rid of HFT, by no means - the alternative would be monopoly market makers quoting daily the maximum exchange-allowed edge (e.g. the 5% spreads we see here in Europe) and the resulting dead equities markets... No short-term trading opportunities to speak of. So I suppose you have to grin and bear your daily dose of quote stuffing, which makes your markets healthy. And it does go on daily... and it does affect futures as well... so what? The very fact you don't see it surfacing in your datafeed and have to engage in lengthy speculations to guess why it is done, is sufficient to prove that it harms no-one outside of the HFT world... their gains are at the expense of other (slower and more greedy) relative-value traders - and no regulator should need to protect those (unless sitting firmly in their pocket
Algo Wars You would be optimized to strip out your garbage... Your competitors would not (especially small players)... So you gain a few milliseconds. But this would be part of a much larger strategy... Think 2 levels beyond mere quote stuffing.