Note that favorite tactic of the hft shills, paid and otherwise , is to claim that no proof of anything was offered. This alone is evidence of the crime. Denial is not just a river in Egypt. PS isnt the purpose of using the NY open book to frontrun orders? Hmmmm, vested interest? hmmmmmm.
I agreed, most of the replies here just try to attack the Themis Trading. I won't said Themis Trading is a good broker/ The main purpose of the attack is to divert the attention of the the HFT front running issue This site is sponsor by Broker.
This comes from high frequency trading world / the site of Terrapin http://www.terrapinn.com/2010/hftusa/: Link here: http://www.robustmethods.net/research.html Click on The New Market Order - Video Excerpt 8 or 9 minutes in there is a chart showing the returns of short term ultra-high freq strategies versus longer term... the short term strategies are starting to actually contract significantly and make less money. Interesting stuff
no doubt the pie is sliced ever thinner. how much can you take out of frontrunning 1 cent when there are 100's trying to do it anyway, I always thank the hft shills for posting here, they give me the op to expose their fraud. I notice winston gave up and went back to selling shelf space at the A&P
If you want to put the hurt on HFT, just go back to nickel or dime spreads, it'll end overnight. A nickel should do is, as HFT is effectively adding about a penny a side. Put another way, HFT is a sign that the markets don't function well with penny spreads.
BARRONS D.C. Current | SATURDAY, APRIL 2, 2011 Robots Rattle Data Guru By JIM MCTAGUE | MORE ARTICLES BY AUTHOR A savvy market watcher has detected some suspicious -- and very, very fast -- automated-trading activity in March. Flash Crash 2? New robotic-trading strategies are attempting to hack futures and equities markets -- again. The suspicious activity appears unconnected to the October cyberattack on Nasdaq OMX Group (ticker: NDAQ) now being investigated by the National Security Agency. But there seems to be a new team of trading 'bots abroad -- and yes, they're distorting prices. The suspect algorithms first appeared March 2, Eric Hunsader, founder of Nanex, a Winnetka, Ill., data firm, tells Barron's. When rapid-fire automated-trading systems torched the indexes in the infamous May 6, 2010, "flash crash," Hunsader was the first to notice that the Consolidated Quote System (CQS) was running 35 seconds late. Hunsader's Nanex delivers trade data from multiple markets over the Internet to retail and institutional clients. When the New York Stock Exchange discovered gaps its trading data for May 7, 2010, it purchased Nanex data from a third-party vendor to fill in the blanks. The data are sold to institutions for back-testing. Automated systems are programmed by mathematicians whose ultra-short-term strategies have radically altered markets. And while there have been flash-crash fixes, they haven't stopped the new invaders, which are orders of magnitude faster. Hunsader theorizes that one new algorithm appears to be trading E-mini S&P 500 Futures (they're a fraction the size of standard S&P futures contracts) at the Chicago Mercantile Exchange. The algo alters the prices of related instruments, like index-based the SPDR S&P 500 (SPY) exchange-traded fund and underlying Standard & Poor's 500 stocks and options -- creating arbitrage opportunities; when it's active, the bid-ask spread on SPY as traded on Nasdaq's Philadelphia exchange sometimes widens from a penny to a dollar. The spreads on the SPY stay within a penny on other exchanges. And, says Hunsader, the algorithm instantly buys or sells enough E-mini contracts to trade through the top three levels of the electronically displayed order book in about 50 milliseconds. He detected the trading pattern on 18 days in March. The CME had no comment. Another algorithm, says Hunsader, changes order sizes at the top of the order book in about 20 to 40 stocks on Nasdaq for a few milliseconds several times a day. Each stock is traded anywhere from 2,000 to 4,000 times a second, double to quadruple the norm. The activity floods the quote system with trade data, but so far seems to cause no harm. On March 16, the CQS saw peak-volume traffic hit warp speed: a record 390,000 messages per second for all stock symbols between 11:01 a.m. and 11:02 a.m. (A year ago, such volume would have swamped the CQS, as peak capacity was 200,000 messages a second.) At 11:01:48 a.m. -- the peak of the weird trading -- 10.5% of the quotes on CQS were locked or crossed, meaning that the bid exceeded the offer. The next second, it was 13%. Usually, about 3% of trades are crossed. Hunsader wonders why the exchanges are not saying that they are worried. This is all too similar to what happened during the 2010 flash crash, causing the delay that went unnoticed by regulators and market experts -- despite all their monitoring equipment. Meanwhile, CQS has been upgraded to handle 750,000 messages a second; by July, total capacity will be one million messages per second... What helps legit trading will also help fast hackers.
One of the Themis Trading ideas I like is to make all orders active for a minimum of 1 second. That would level the playing field.
Very insightful, thanks. I've read a number of such "papers" and although I occasionally do agree with some of their suggestions, their arguments strike me as hyperbole backed by headstrong ignorance. And that makes me doubt whether I should agree with anything they say at all. The irony is that, due to the simple nature of competition, HFT profitability has declined significantly in the open markets (i.e., aside from those who internalize and/or the 5 big firms that have captive order flow through PFOF from retail): http://www.elitetrader.com/vb/showthread.php?s=&threadid=218733