Here is my prediction for what will happen tomorrow, let's see if I am correct or not. 7.30am The non farm payroll figure will be released. Almost immediately there will be numerous orders on the bid, and I mean every bid and most probably beyond placed and cancelled within seconds as fast as the HFT nerd's nerdbox can do it. You will see scores of little bid orders placed on EVERY bid for minutes. This is designed to slow the mere mortals, that's us the guys who trade with a mouse, system down dramatically as the exchange is overloaded with orders known as order stuffing. As you experience slowdowns this will create a stark difference in the latency between your system and HFT nerds system. The HFT nerd will then use this latency to see your orders on his front end before you have the chance to see your own order on your front end and if your order is of any size he will front run it, all done in milliseconds by his nerdbox. You on the other hand will notice not only that the price keeps running away from your orders but also the severe slowdowns your system is having. You will query this with your IT support. You will ask why 5 years ago you traded the non farm payroll figure and never experienced the kind of slowdowns you are experiencing now. You will be told it is due to higher volume going through now than back then. This will be a lie because only the other day there was a record low in volume on the NYSE and the NYSE's volume is closely related to that of the CME. You will soon find that your system is too slow and because of the HFT front running you won't be able to get filled anywhere and if you do, most orders will only be 10% partly filled leaving unfilled orders all over the place. You will leave to go and get something to eat cursing your IT team and your shitty system NOT KNOWING THAT YOU HAVE JUST BEEN ROBBED BLIND BY HFT FREAKS. Don't believe it folks, well watch the bids between 7.30am and 7.35am and tell me I'm lying.
If you have a slowdown greater than 1 second or even 500ms on the index futures, you need to get a better broker/platform or internet connection. To view the full DOM you will want a pretty solid setup. Sure I had a slowdowns on May 6th, but not from anything like a news release.
Good defence of the HFT cheats so far...not! For the record I have stated before that I am a predominantly long side trader and have even admitted that the HFT's have helped me do rather well these past couple of days. Just watch tomorrow, what you will see can only be described as order stuffing. Do any HFT's have any defence for their order stuffing? Nope. "quote stuffing," trading in which unusually large numbers of orders to buy or sell stocks are placed in a fraction of a second, only to be canceled almost immediately. Watch it tomorrow and tell me I'm lying.
Promagma, I don't trade on the internet. I trade on a 100MB dedicated line. I presume this would be enough to cover all market events, and it was, until the order stuffing HFT's started flooding the marketplace. I know a few people at a few different firms. All of them are unhappy with the current speed of their systems. We can't all be wrong.
Dont know yet what you have in mind when stating: "... missing an enormous inconsistency...". Lets see it. Bid stuffing is for real, though. Google "Bid Stuffing" or go to Nanex or chk out the recent articles at ZeroHedge. The data presented in graphical form by Nanex is very interesting.
JJ..........you posted the most informative post I have read this year explaining in easy terms how HFT screws the little guy....THANKS