Went Long Today But Still Feel SICK with HFT

I agree with you... Why do people think HTF run the show.. They dont.. The market is controlled by bigger people.. trust me when I say this...

 

NoDoji you don't have a problem unless of course you have no desires to be a big trader. If you leave big orders they will get your data front run your orders and push the market into your stops which they will also have access to.
I don't trade large myself, though i also have resting orders all over the place, and to be honest the HFT's have HELPED me since I decided to be a predominately long only trader. YET THAT DOES NOT MAKE WHAT THEY ARE DOING RIGHT.

I have also noticed myself and other friends at other firms and different brokers notice slowdowns in the exchange that we have not seen for many a year. This is due to the HFT's order stuffing, which is designed only and only to SLOW YOUR SYSTEM DOWN AND SCREW YOU OVER.

Don't believe me? Then 7.30am Chi time watch the bid side of the market 8, 9 10 prices away from market and watch how many orders these HFT's set off in the five minutes following. I would hazard a guess it is near a million orders sent to the exchange and pulled in a 5 minute time capsule ... FOR ABSOLUTELY NO REASON WHATSOEVER, as they have never any chance of getting filled being so far away from market. So, I guess they are screwing me over that way.

 

I agree that HFT can cause harm looking at the bigger picture, but I was just curious how they might be affecting me in my very small retail day trading.

Something else I've wondered about and never got an answer from anyone is when you say "push the market into your stops which they will also have access to", what does that mean exactly? Bear with me because I'm a total noob regarding the professional/institutional side of trading.

Let's say there is a collection of 520 buy stop orders at 1087.25 and price is currently at 1085.50. Is there "someone" who knows how many of these stop orders are in place to close short positions (stop losses) and how many are in place to open new positions (enter a long position when price breaks a level)?

If someone is privy to the distribution of stops this way, how would they use it to their advantage?

If half the stop orders are in place to close short positions and half are there to open long positions, would there be any advantage to pushing price to trigger those stops?

Stops are triggered and become market orders that are supposed to fill in the order they were initially entered, so how would someone front run once price triggers all those orders to become market orders? Don't those stops get filled before anyone who initiates a market order AFTER the price is hit?

 

No Doji pushing prices into stops and front running are two seperate issues, do not interlink them.

If there was eight 500 lot buy stops at 1087.25, it is irrelevant whether they are to go long or to stop out short. The fact is that that sort of order will push the market higher to say maybe 1088.25.

So the theory goes the big guys will buy below at 1085- 85.50 and then set off the stop order and hope to sell higher in the 1088's. Also, if they know that 1087.25 is a big level or area they may also buy more AFTER the stop has been hit to push the price higher and may look to get out in the 1091's 1092's. If the HFT nerd knows where your stop is, he will simply 'one -tick' it to set it off, which, if it turns out to be the high, could cost those guys whose stop orders it was many millions of dollars. All of what I am explaining here is insider trading and illegal to the point where the people responsible are liable to custodial sentences. HFT nerds will differ but I guarantee you this is insider trading.

 

haha classic rant joovenile jatt...and all very true.

unfortunately as someone mentioned previously the supernerds are not likely to get caught in a black swan event cause they pull at the first sign of trouble and flee like cowards. don bright, I believe, or someone working with him, wrote a piece explaining that these HFT nerds actually cause May 6 type flash crashes specifically because when the going gets tough they all pack up and flee. meanwhile, normal discretionary traders have stopped posting on the bid cause they never get filled. so after the first few bids get taken out the market can quickly fall off a cliff.

also, no doji, I believe you said if you post a bid early you will be first in line. that is exactly the problem. with sub pennying you are always last in line. you literally get filled as the level is going.

 

Do you know how the price/time queue works?
If you are trading 100 contracts it is good to know.

 

promagma 100 is my max I do it rarely, most of the time I'm not frontrun because i trade too small, but when I put 100 down the HFT freaks go crazy, as if they have already bought/sold in front of it.

I've explained fully how they work in another thread on the payroll number.

 

Ok I looked up your post.

First of all HFT is not long-biased. Most are trying to grab the spread or sniff out demand, regardless if it is long or short.

Second of all, nobody is going to see your order and jump ahead of you in the queue. They will must either get behind you, or offer a better price. In fact, the action you see far away from the NBBO is algorithms trying to game the queue, get an order early in the queue in case they want to buy when price gets down there. Even this isn't as nefarious as it sounds - Futures exchanges for the most part have reasonable limits on messaging/execution ratio (even for market makers) to cut down on the nonsense. Stock exchanges are very lax on messaging.

Gaming the queue is why it is hard buy the bid/sell the offer on ES. Put your limit orders in as early as possible.

Here are the order matching algorithms used for products on Globex
http://www.cmegroup.com/globex/files/PriceBanding.pdf

Here is how the algorithms work (switch dropdown to matching algorithms)
http://www.cmegroup.com/globex/introduction

I have this stuff bookmarked

 

in a traditional auction market

all bids and sell orders are binding..which means you cannot cancel buy or sell orders.

the stock market is not a 'game' it's a serious market.

reason these HFT cancel bids or sell orders is they don't have the cash to honor their bid and don't have anything(inventory) to sell.
if human trader acted like that in a real pit trading floor he'd be banned from the market for acting 'stupid'

it's makes the market look 'stupid' the stock market or markets are more like a rigged market or stupid market with all the HFT flashing orders. etc.


the major cause of the subprime crash was people who sold insurance for worthless bonds didn't have any cash to honor any claims if the bonds defaulted.

in other words if you don't have cash to buy don't put a bid and if you don't have inventory don't put a sell order.

 

What you will see tomorrow will be this "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. In the 5 minutes after the payroll number it will be so extreme it will be beyond belief. This is being done by only a number of HFT nerds, say between 2 and 5, so how can it be possible that they would have an acceptable trade to cancel ratio when they are literally putting and removing 100's of orders EVERY SECOND? Secondly, this is not a way of getting a good position in any queue, by placing and removing orders every 10 milliseconds??? Surely you need to leave the order there resting.

This is blatant order stuffing to slow normal traders systems down to extenuate latency differential to enable HFTs to front run orders.

There may also be an element of manipualtion here as you only normally see this occur on the bid side of the market so whether it is also designed to manipulate is also an accusation that could be labelled at these folks. I can only presume these HFT are, like myself, predominantly long only traders, since this action is occuring 10 times as much on the bid.

I have no problem with buying/selling in front of size, we all do it and it has been the stable food for all us small traders, but when you are deliberately creating a latency differential that allows you to not only benefit from that, and as a result give the big trader less time to react to people buying in front of him, then that my friend is nothing more than theft and is totally illegal frontrunning.

This is why the game of scalping has finished off so many traders because these HFT's are illegally stealing all the orders us small traders want and need to get by, all due to their illegal order stuffing.

Watch it live 7.30-7.35am or any time throughout the day, but remember the faster the market move the more need to slow your systems and hence the higher rate of order stuffing