COF Yesterday day, personally hate the BOTS/HFT/ALGOS, but if you catch them early enough in the day it can be sweet Or was it the fundamentals ?
This is a subtle point, but my problem with this issue is that there are market participants who are being routed the data before it is placed in the market. It's not even market data at this point, it's future data. So they are able to step in front of orders that don't exist in the market yet. Try doing that with live data. Do you see my point, they don't have to react to the market like people with live data or even delayed data do, they know the market before it happens. Actually, put this way I don't think it is subtle, it's blatantly obvious! ;-) And just to be clear, if exchanges made it aware that their "live" data isn't actually live but is also delayed and then disclosed that you could get access to the real live data at x dollars, then problem solved... as long as the new live data went into the market before being routed to the premium live market participants or the problem still exists. Like Shreddog says, you can then choose not to route to a these exchanges. BTW Shreddog, time on ET doesn't equate to time in the markets. It's another subtle point. I'm full of ... subtlety today.
They don't know "the market", they know what is essentially a block trade happening off market. Which means they don't actually know if the trade is real (in the sense of "market representative") because they only have 2 milliseconds or whatever to make a decision. Which means for all they know they're being set up for a kill shot from an even smarter bot. This happened all the time when trading was all-human, all-the-time, and it would be naive IMO to think it doesn't happen with the automated crowd. In the end - if it hasn't happened already - whatever hypothetical advantage may exist will be arbed out by an increase in number of participants. In the end it's the same market it's always been - some people know things sooner than others. That's always been true, and always will be true. The solution is simple: don't trade at speeds or with a style where the lack of knowledge is a problem.
It may or may not be arbed out. What if only one or two market participants have access to this information. The exchange can work out as well as you or I that if this is available to everyone then the advantage is gone and so is their income stream. Anyway, the argument seems moot to me. I don't think allowing backroom dealings between exchanges and market participants adds integrity to the markets.
Maybe I'm a sore loser but markets have lost their integrity some time ago... specially the stock markets which in my mind are more prone to manipulation. But I doubt anything will change in the US since Goldman Sachs spends millions on lobbying.
Schumer Presses SEC for Ban on âUnfairâ High-Frequency Trades http://www.bloomberg.com/apps/news?pid=20601087&sid=aO8DoToaITO8
The date is old and maybe the release times are different but the premise of the artical still os correct. Gee!!! How long before the gov decides to sell their econ data for a profit? Do i hear a bid for 5 minute early release of employment number? http://www.michigandaily.com/content/isr-under-fire-methods-releasing-data
this type of edge is nothing new! I've seen this live already in the 90ies, only of course it was a well-kept secret (and GS would have loved it to remain one).. the truth has always been the same, and retail traders always make the same nonsense mistakes: you cannot consistently make money daytrading. it' s not possible because "a good profitable run" will be wiped out by a "bad losing run". also: we ran a highly sophisticated backtest a couple of years ago, and guess what: daytrading trend systems would be profitable if there was no broker commissions (taking 1$ / 100 shares). the same system with that commission is..of course unprofitable. also: market makers of course make great money on the backs of retail traders. we ran another interesting backtest: "playing" market maker for a year in stocks like GOOG/BIDU would have gotten us an annual return of >3000%! so now you can figure HOW CRASS the disadvantage is to retail traders
Hi, I'm not disputing your findings, but rather, was wondering if you would care to explain the tests you used to end up with these results. Thank you for your time. Regards Johno
sure, at least briefly: in terms of daytrading intraday trends without commission backtest, the setup was clear, and as such used by a lot of traders: I.we bought in intraday uptrends at the Low (ma, 20)when the price was > MA(20); stop loss (-0.5%), profit +0.75% on high ATR stocks where "squeezing" out a 1% gain per day shouldn' t be a problem II. the second test was more complex depending on first-hour volume and then doldrums volume, and final hour volume, but in essence we simulated getting filled at the bid(of last) whilst always selling at the ask if it held longer than 2 seconds...