HFTS in emini es?

Discussion in 'Index Futures' started by Lucias, Nov 17, 2011.

  1. Lucias


    I notice recently for first time that I got or rather someone following my signals got a bad fill on the ES with a market. It jumped within a few seconds 1 point. It was a small order but more then 1 lot.

    Is it possible that HFT's dropped the bid on me or is that impossible? This was during after hours.

    I've also seen the ES "dumping" and jumping like something is bad wrong/different.


    Is this due to HFTs in emini and/or is it a sign of something bad wrong with the market?

    I know during times of uncertainty the market jumps more but this time it seems different. It looks to me like the institutions have pulled out.. leaving only robots.

    Also.... on related note, is it possible for a stop to get blown past and by how much in ES? I've heard conflicting reports on this. Every price must trade, right? Any idea what the worst slippage possible would be.. say during flash crash? I'm thinking the only possible stop gaps would be on the weekend or a 10% crash (limit breaks)..
  2. Just over a year and half ago I had a long (110-120 contracts position/client's money) on the ES that all of a sudden shot downward so fast on big volume( breaking econ news data) that it moved just over 8 full points past my stop and took over 6 seconds(felt like eternity!!) before I saw the sell stop being initiated to close the position out and lick my wounds. When the market jumps like that so fast , up or down, you can only pray that your software and/or the exchange processes your order ASAP before it leads to bigger losses.

    But thats life in the trading world..... no point on getting emotional about it. Just study what happened, try to learn from it...and move on.
  3. ajcrshr


    Haven't you heard, HFTs can trade at levels before they're quoted..

    "The facts of the matter are indisputable. Based on official UQDF/UTDF exchange timestamps, there is unmistakable proof that YHOO trades were executed on quotes that didn't exist until 190 milliseconds later!"

  4. gmst


    it must have been a software issue.....the broker took that long to send your stop order to exchange. which broker and which software please ? thats not good performance from either brokers or softwares perspective....maybe you should look at changing...why not go for arbitration if they don't give your money back.....i think they should....its their mistake, they couldn't perform when they should have.
  5. ammo


    thats telling you the firm is matching up the orders with the hfts,probabaly have their own hft's in same office that the computer that takes your order is, before they even get to the market,........and to the op,no it doesn't have to trade at every price,if it's dropping and everyone cxls there orders,there will be no bid,there will be a few because realistically not every one wiil cxl
  6. he say

    "110-120 contracts position/client's money"


    "no point on getting emotional about it"

    shit, Im not emotional about the ass reaming MF Global customers are getting either.