What are the HFT scum up to?

Discussion in 'Trading' started by stock777, Apr 25, 2012.

  1. KastyG


    making a permanent change to the markets something you and I would not recognize.

    a crying shame the exchanges allow this abuse.
  2. ddouglas


    How is anything accomplished by this? 47k+ quotes in less than a second, all within a $.01 range, but no trades. Don't you have to execute a trade to make money?

    Unless maybe your system depends on bogging-down the quotes in one stock as you trade in another . . (?). Maybe holding the price steady in one stock until another moves a certain amount to come in-line with it? (or out-of-line with it . . ).

    It sounds like 2 fast programs competing to out-bid each other within a tight range. Maybe a couple sniffers thought they found something good to front-run , & were jockeying for position . .

    Or maybe just a single job gone awry for a bit . .

    Interesting link, though - thanks for posting it.
  3. interesting i used to trade this stock, but I dont understand, you cant execute on it, whats the point?
  4. dom993


    Frankly, I am looking forward to the time a major blow-out will happen out of this, since it will only be under the most extreme circumstances regulators will take action.

    CME/Globex has pretty stringent rules re. number of orders submitted vs number of contracts transacted ... of course, these rules only apply to retail, while a number of big players enjoy much more relaxed limits - but they also have limits.

  5. Last month, both Direct Edge and Nasdaq OMX announced policies to curb what they consider to be excessive messaging by fining firms that don't produce enough trades relative to the messages they send in.

    Direct Edge will reduce its rebate by $0.0001 per share for firms that trade only once for every 100 messages they transmit. Nasdaq will charge its members at least $0.001 per order if their non-marketable order-to-trade ratio exceeds 100-to-1. The policy affects only non-marketable orders, or those posted outside the national best bid and offer.

    Both exchange operators say their new policies will result in a more efficient marketplace and reduce their members' message-processing burden. Both policies are aimed at heavy quoters, such as high-frequency trading firms

  6. Exchanges getting proactive about improving the impact of HFT on markets

    Last week, I posted on how regulation has unintentionally led to increased high frequency trading across various asset classes. Today, we saw a different angle on the HFT debate, with the IntercontinentalExchange (ICE) highlighting the results of changes they implemented to encourage HFT as a source of liquidity, but discourage counterproductive high-volume quote generation.

    Many other exchanges, like LSE and Deutsche Borse, have chosen to penalize market participants with increased fees if they have a high order-to-trade ratio, that is, if their algos generate lots of traffic but result in few actual trades. The claim is the high level of short-lived orders affects exchange performance for all participants.

    About a year ago, ICE instituted a more nuanced approach for their high frequency messaging policy. They welcome any order volume, provided it is within a narrow boundary close to the best bid or ask. They claim this encourages HFT order volume that is useful as liquidity and penalizes algorithmic traders that are flooding the market with out of the money orders that rarely trade.

  7. achilles28


    It'd be nice if the exchanges charged a flat fee for cancelled orders. Say 5 cents. The average discretionary trader might rack up 2 dollars a day in cancellation fees (big deal). Many HFT would go out of business.

  8. Look, I think i told you this back in 05. the reason you arent making money trading has nothing to do with the specialist, and now that the specialist is gone, I will tell you the same thing. It has NOTHING to do with HFTs. As a matter of fact , with HFTs and all of the volume they have brought in, it is actually easier to get filled, and stocks that are thick are plowing through levels instead of floating slowly, which equals more money, maybe with more risk but the game has definitely changed for the better. stop making excuses, and start making money. find what you are doing wrong and the problems with your strategy, along with the characteristics of the machines and adjust in order to use this volume to make yourself money.
  9. Dustin


    They are simply testing message rates. There is a ceiling by the exchanges that is always being raised, so HFT's are always testing their limits. They have to choose an instrument to do so, and today it was this one.
    #10     Apr 25, 2012