High speed trading under fire

From WSJ money and investing:

http://online.wsj.com/article/SB100...003146372804.html?mod=ITP_moneyandinvesting_0

 

It is about time. I wonder how well that will be worded - for example, it should not block

(a) automated strategies that trade rarely / based on higher timeframes by making them delay orders or stops
(b) strategies that with high frequency adjust stops for positions mostly in ONE way
(c) strategies that decide to exit fast.

It should definitely squander stuff like
* Front Running by Flash Orders
* Quote Stuffing - i.e. the idea to submit orders without any intention to execute them, up to what I personally and some country laws consider computer crime: intentionally overloading quote systems with fake orders to give most market players a wrong i.e. outdated view of the market.

Let's hope they get it right

 

I'm less sanquine than you- just remember these same lawmakers love to trumpet the economy on slow equity rallys but if the markets correct- it's "oh let's blame the traders/speculators"

a meaningful change would be to get banks to mark to market.

 

I'd guess there'll be a bigass market maker exemption.

 

There does not have to be, just sensible limits.

On the CME the order book is 10 deep on both sides, that is 20 levels.

A market maker will have a HARD time pushing 20.000 updates per second on that That is like a total order book update on every tick - makes no sense.

 

The definition the WSJ touched upon is pretty broad. There is no mention of the regulation(s) being discussed. Is a FTT one of the scenarios being considered?

 

If they're quoting index futures against the basket ..

And they're amending size down as basket component liquidity reduces ..

And they're adding a new order when basket component liquidity increases (to maintain queue priority) ..

Then there can still be a lot going on.

Multiple orders on the same price step.

 

unfortunately not on US stocks(where HFT scam is rampant)

 

That's not correct.

The book exposed on the main feed is only a 10 deep MBP - the actual MBO book can be (and often is) thousands deep.

 

High Frequency Trading is the equivalent of 'shaving', the practice of shaving a small amount from gold coins, then passing the coins on. It produces nothing, it only steals from the flow of wealth.