If your strategy doesn't work on an EOD basis, then you're front-running someone, and aren't in any way shape or form "investing". Daytraders are no different than HFT, they just have slower technology. That, and they whine a lot more.
no competition among them?? there is only ONE HFT ? always thought there were plenty of them..but what do I know ..
The other trader is using a specific order type. Either a Hide Not Slide or a PIP order type. PIP stands for price improvement peg. Theses order types are hidden orders that have the capability of intercepting any order trying to hit yours at a small price improvement. $0.01 for stocks over a dollar and $0.001 for stocks under a dollar. Essentially these orders peg to your order at the same price but have a limit window where they will accept orders. For example. Your buy order is at 12.00 and I set a PIP order at a display price of 12.00 but with a condition I will pay up to 12.05. So on the level 2 it appears our orders are at the same price but with my PIP order I will get filled first at a small price increment above 12.00 say 12.01. I suggest going to each exchanges website to learn and understand the various order routes/types available. HFT's arent stealing your fill. The programmers behind it are well aware of all the order types available. Every trader should do their research and know all available order routing strategies. Here is just one example EDGX offers: EDGXHNS - order route If, upon entry, a Hide Not Slide order is locking or crossing the NBBO, it will be ranked at the locking price and displayed 1 tick worse than the contra quote. This order retains its book priority until filled, cancelled or expired. Alternative posting options to Hide Not Slide are: Price Adjust (new book priority), Single Re-Price, or Cancel. The order will only add liquidity if it execute at full pennies. However it might remove liquidity if it fills you midpoint with price improvement. Example: NBBO on EDGX is 3.14 offer 3.15. you bid EDGXHNS at 3.15 you show in the book at 14, if routable offer comes it at 15 you get filled with the full rebate. If upon sending your bid you could get fill at 3.145 then you will remove liquidity at midpoint
Sorry, that's a complete b**t. PIP order can't give subpenny improvement. The order was stolen by retail order flow internalizers.
Not correct. Buying at the bid/selling at the offer is perfectly legitimate. What needs to be abolished is sub-pennying, simple as that. In order to restore fair and equitable markets the following has to be re-instated: 1) There is a minimum tick size for every stock and nobody can get filled or trade or show prices at tick sizes smaller than the official tick size. I am of course in favor of removing minimum tick sizes altogether but then everybody must be able to show prices at sub penny price levels, not just limited market participants. 2) Any and all orders that are filled in an official market need to be shown to the market at large. It cannot be that an order is filled that has never been shown to the general market. If The market is 100.01/100.04 then the tape should NEVER print anything in between unless such order was shown to the market at large, even if it was shown just for milliseconds and another algo took the other side of the order. Optimally no dark pools or OTC markets in listed and regulated securities should even exist, but if they exist (and obviously they do exist) then market participants there can play the way they want but if they trade at the official exchange then they must adhere to point 1 and 2 above. If that was guaranteed then we would have again fair markets that afford equal opportunities to every investor/trader. The current market should not even pride itself to call itself market because its a rigged game controlled by powerful lobbyists. I think we will get there for three reasons: a) The hft algo market is getting so overcrowded that most strategies witness huge performance degradation (I get 1-2 phone calls a day from head hunters and hedge funds who are very "keen" on getting into fx hft space simply for the above reasons, most are highly dishonest in masking their intention to only harvest trading strategies by telling prospective PMs they want to hire and diversify their investments). Soon hft will not be profitable enough anymore to justify the risk taken. b) The regulatory pendulum is swinging in more and more markets towards implementing transaction "taxes", in many markets they already exist for a long time, such as in most Asian markets (HK, Korea, Singapore,...), UK, and others. c) Retail short term traders are getting crowded out of stock markets. Those are the bread and butter for many smaller brokerages and they realize that hft diminishes their business model from both ends, b) and c). We have already witnessed a huge push into fx and futures markets by retail over the past 10 years and it will only continue until those who feed off retail the most are willing to switch camps. Until then there is not much you can do about it, because this world is simply controlled by money and greed, and as long as politicians can stuff their pockets with campaign contributions (aka, bribes) by powerful lobby groups nothing is gonna change. Nobody wants to cut off their own hands. Sad but this is just the way life works.
bs, you could argue the same about EOD traders front-running pension funds who sometimes hold for months/years. Front-running is an illegal activity defined as placing an order with the knowledge another order is to be placed subsequently with the intent to benefit from the market moving capability of the to-be-placed order. If such order has already been placed in the market and you subsequently submit an order in whatever way then that is not front running. Let's stick to facts not anecdotes or opinions/feelings/emotions.
...which by your definition should be against any and every exchange law (it should be the job of every single regulator world-wide to enforce such rule at any venue that offers an exchange of listed securities rather than have their employees watch porn). Price then time. A price is shown so if an order at price x arrives in the market another subsequent order that shows identical price x should NEVER be given priority (at least not if the intent of the subsequent order to pay x+delta is not made public for everyone to see). I am not arguing that what you describe does not happen at certain exchanges but I argue it should strictly be forbidden because it goes against the very basic nature of a price/time priority market which most exchanges openly advertise they adhere to.
He had a bid at 17.00 on Nasdaq and someone wanted to trade against it. However the incoming order never reached to Nasdaq, but was "stolen" by internalizer that got a look at the incoming order, saw a bid at 17.00 and improved it by 0.0001