Do you realize that when a program submits an order for 5k, those 5k contracts can actually trade? It's liquidity. Get over it. HFT provides liquidity, albeit sometimes for short time durations. You act as if you want to see NO orders in the market. What is it you want? Time to adapt and stop complaining.
75% of this liquidity is phantom liquidity; meaning by the time you try and execute against it, most of it is not there anymore.
CME is doing this with their Aurora facility. everyone has the same cross connects. You've gotta be in the facility though, and if youre not in that facility, you will be at a disadvantage. Its technology evolving and I see nothing wrong with it. Figure out how you can make sense of the cme market data feed quicker, and then figure out how you can act on the information. This is what the "HFT" you guys speak of are doing. Theyve made an investment in technology to get the information quicker, and they can react quicker. Remember: they have made the investment to do this. You havent. You just bitch about it and expect to get the same edge you did 4 years ago trading with your shitty xtrader.
How so? I trade futures. Can't speak to what goes on with equities at all, but on CME, if i see "phantom orders" I can hit the order (even manually) and get filled. And that's manually. Automatically, I could trade with the entire order before it even shows up on a screen. Can you be more specific?
you see 2000 lot bids/offers instantly shrink to 500 or less or even worse flip from bid to offer when a 100 lot prints right?
Yes I've seen that quite often but realize that you can in fact trade all 2000 if you want. In your example, someone hit 100 of them, but that same guys could have hit 400, 800, 1500, 2000 of them if he wanted. Granted, the rest of the order would have been pulled in the same fashion but the point is, it is there to trade with if someone wants it. It's liquidity. It just comes and goes more erratically than it used to, but it IS liquidity nonetheless.
I think you are wrong. Sometimes the size IS actually there and if you wanted to wack a 2000 lot bid you can and will get filled. My guess is about 30% of the time. lately at the cash close you can bash 3000 lots or more and its mostly all real. But I think the vast majority of the time, say 70%, that 2000 lot bid is comprised of hundreds of small lots interspersed such that a superfast HFT like getco can react to size coming in and pull the rest. Im also only talking about eurex which i traded for 9 years. i havent focused much on cme fake liquidity in spoos for example.
Ah. So youre saying that if Getco comprises the entire 2000 lot bid in twenty 100-lot orders, once their first 100 lot gets filled they can pull the remaining nineteen 100-lot orders. Interesting point but I dont think it's possible. Let's assume in a fifo market, Getco had a 100 lot order in first and gets first fill. Even if an aggressing 2000 lot order comes in, I believe (not positive) that all of the orders on the bid will get filled at once. I dont think it is possible for one party in this example Getco to even be able to pull the remaining orders. And that is assuming they had the first 100 at the price. More than likely, they added liquidity to the price after the fact, and could not be privy to the first fills. With CME I really think in this example one could actually trade the full order in one clip. The algo is pulling the remaining working qty though if >x contracts trade at the price.
if HFTs are operating in time frames on the order of microseconds or less i think its more likely they can yank their stacked orders before getting filled. eurex tells me it takes about a millisecond for the exchange to process prints so in that gap lies a potential ability for HFTs to run circles. have to remember, there still is some "real" liquidity left in the market i.e. hedge funds, options market makers or whoever who say i want to get filled on 500 fesx at this price no matter if dax goes from 5 bid to 5 offer or 6e ticks down by 1 pip. and im sure HFts take down size too when they have identified an arb to instantly lay it off.