What does a HFT data feed actually look like?

Discussion in 'Data Sets and Feeds' started by Rocko Bonaparte, Apr 23, 2010.

  1. From the linked item: "Trading costs for small-cap stocks were 40% higher in Q2 2009 than Q1 2008, reflecting the inability to get trades processed and rising commission costs. Joseph Saluzzi of Themis Trading, a lone voice in bringing HFT to light, has argued that this is because of predatory algos."

    Ummm, did something <i>else</i> happen in the stock market between Q1-08 and Q2-09? Gee, let me look at my SPY chart...
     
    #31     May 14, 2010
  2. thstart

    thstart

    "In our previous white paper (“Latency Arbitrage: The Real Power Behind Predatory High Frequency Trading”), we illustrated how the exchanges provide raw data feeds that help high frequency trader's (HFT’s) figure out market directions. Now, we have discovered that at least two of the exchanges, in addition to providing that information, also provide data that enable HFT's to track specific trade orders, putting trading strategies at further risk."

    Latency Arbitrage:
    The Real Power Behind Predatory High Frequency Trading
    http://www.themistrading.com/articl..._--_Latency_Arbitrage_--_December_4__2009.pdf

    Exchanges and Data Feeds:
    http://blog.themistrading.com/wp-co...THEMIS-Data-Theft-On-Wall-Street-05-11-10.pdf
     
    #32     May 14, 2010
  3. rosy2

    rosy2

    #33     May 16, 2010