Trembling Hand
Can be found on the bid
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- 10 June 2007
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And how did you see what I posted before I edited it? Are you actually a mod in disguise?
Heh they may not call it that but I understand you can still pay asx a hefty fee
"pre-order filters" as you call it are broker side controls. No-one sees them, your broker's algo may see them to determine whether its looks ok or you've missed decimal dots. Its more to stop fat fingers going through and a complicated mess to sort through afterwards.to have access to order book level information, hence be able to see orders develop before everyone else and "see the future". It doesn't have to be like the Nasdaq style flash orders where for 30 milliseconds the prices are frozen while they try to find a seller/buyer on the other side following a quote. On the press releases asx say they run some sort of "preorder filter" through their order books to prevent "market manipulation and front-running" but this seems more like a PR exercise to booster retail investor's confidence in the integrity of the market rather than any real effort
Min size threshold? How would that hurt algos?because similar claims have been made by other exchanges with very little difference and if they really want to put a stop to this sort of behavior they could simply impose a minimum size threshold to screw up their algorithms and that would make this sort of behavior uneconomical.
As long as there's differences in and between the orderbooks, HFT firms will find a way to profit from it, and I doubt asx will do much about it since there's a conflict of interest in that HFT firms are such a gold mine in revenue.
Or maybe there weren't that many players on the flash trade bandwagon anyway.I guess the real proof is in the pudding, in that HFT firms around the world are still in very much in profit even after all the negative publicity after the flash crash and all that rhetoric about putting bans on flash trading. It just means the firms aren't using strategies that take advantage of the 30 millisecond window and have moved onto something else.
Agree there, lots of big orders are now being done with some algo behind it instead of a simple iceberg or a chunky limit order.Another thing to consider is that even though the flash crash happened in 2009, on asx statistics since then the average order size have been going down while the actual number of trades have been shooting up (just like before), suggesting even more players have been hopping on this bandwagon and that the volume is big enough to noticeably influence the asx statistics on ALL trades.
Have to disagree with you here. HFT is a subset of algos trading. As I said before, Most Algos bots work through the day or whatever time period to get volume done, volume is priority, followed by price, followed lastly by speed.By consolidated market depth 4.05 bid, 4.06 ask, I assume you mean the NBBO? That's just the aggregate. Orderbook level pricing occurs before this phase and in fact alot of HFC strategies involve manipulating the orderbook bid/ask price to influence the NBBO.
I would say what you define as regular algo bots and HFT bots are basically the same thing. Since they both manipulate the prices before humans can react, HFT bots have algorithms too, algo bots benefit lower latency setups and they're not mutually exclusive imho.
Very entertaining thread.
This might be relevant: http://www.youtube.com/watch?v=NzfmT4vGXZY&feature=related
Colocation of servers, not just in Chicago, but actually within the exchange buildings, is standard procedure amongst the HFTs. This has nothing to do with any kind of exchange corruption, per se, or 'high level people at the CME', but simply the priorities and resources of the HFT firms.
A few encouraging things to bear in mind, however, are the following:
HFT firms operate most extensively in individual stocks, where the superior speed of execution has largely usurped traditional market-making. When they do operate within futures markets such as the @ES, it's largely in the mode of arbitrageur, hedging off a position against a basket of underlying stocks (or a similar contract such as the SPY).
The HFT firms, as the name suggests, employ 'high frequency' strategies, and seldom hold positions for more than a few seconds. Their trading models are incredibly sophisticated and are very far removed from anything that you (or I) are likely to be using. In this sense, their demands are unlikely to intersect with yours, the retail trader. So although they might want to have an order filled at a particular price that is the same as yours, it's not because they're going through the same trade decision making process as you, but then somehow getting in there faster.
Worrying about the actions and effect of high frequency trading is a bit like an athlete about to run a marathon worrying whether certain celular metabolic processes will take place efficiently within his body. HFT occurs on a 'microscopic' level far beneath that of day traders (and that's whether you trade momentum, volatility, reversion to the mean . . . anything), and apart from the fact that it makes contracts highly liquid it can be ignored. To look at it from a different point of view, do you really think that the big trend-following funds, who hold positions for many months or even years, are interested in what a daytrader is doing to affect the market at any particular time, or fretting over the few ticks of slippage that result?
I wasn't condescending. I did answer it with great detail. Then realised you had no clue and were miles away from having to worry about it anyway because you didn't even understand position sizing. So I then tried to correct your huge hole in the most basic of trading understanding.
But clearly I have wasted my time.
proof? Link would be very nice.
"pre-order filters" as you call it are broker side controls. No-one sees them, your broker's algo may see them to determine whether its looks ok or you've missed decimal dots. Its more to stop fat fingers going through and a complicated mess to sort through afterwards. Link to specific press release? ASX website hopeless.
Say for example a typical large institution wanted to buy from dark pool, with orderbook access you can see the order coming but not the limit price. So one way to get around this would be to issue tiny share lots with ‘immediate or cancel’ orders' (IOCs) say @ $20.10, if that order is ‘eaten’ the computer then issues an order at $20.25, then $20.30, then $20.35, then $20.40. When it tries $20.45 it gets no bite and the order is immediately canceled and you've just found out the highest price the institutional buyer is willing to pay. That's one example. There's also many algo bots that use small order to "scout" out the market to see if they meet conditions for various buy or sell entries. And others bots that try detect or obfusticate such activity, leading to the dueling bots thing that the articles before were talking about. Other activities like trying to flutter the spread or trying to quote stuff the system also requires large amounts of small parcels. I'm sure there's tons of other methods out there I don't know about.Min size threshold? How would that hurt algos?
for mine, hft add to liquidity they dont drain, let's say you take out the function you take out liquidity, just like short selling brings both sell liquidity and (re)buy liquidity through, all executing on the same field......this is like how we could bang on that derivatives don't add to society and they dont, still, they are a apart of market function, they facilitate trade, they allow liquidity to flow......that's all
i think the front running man-in-a-dark-raincoat idea is complete bubcus
markets evolve constantly and all you're seeing is that evolution just the same way that pit traders hated screen traders and now your average ill-informed screen junkie hates, well, they just need to hate something......and so it goes....ignorance is a funny thing
still, my only concern is the flattening of volatility via none-human speed but it's long way away till we get to a Kurzweil singularity thing
btw, journalists are journalists and not traders...... for a very good reason
Its not that hard to find. The fees schedule is on the asx website. Google "ASX Market Connectivity Schedule of Fees". You're looking for the ASX ITCH config and liquidity cross rates, added that to mandatory 5km collocation fees for that setup and you're looking at around 20k per month for basic Pure and Tradematch orderbook access. Plus additional fees charged on top for volume. Pretty good money for just connecting a few cables.
There's similar fees if you want access to Chi-X and the other various pools.
My opinion about the order filters is from reading one of HFT books or articles, forgot which one, but I remember author didn't think much of ASX claims given that they get so much money from the guys they're suppose to protecting us from. Also I'm fairly sure the pre-order filters, if they do much at all, would NOT be on the broker side. They would be on setup on the ASX computers or one of the intermediaries along the way. If they were on broker side, it would defeat the point, since the entire purpose of them is supposedly to prevent brokers from manipulating prices. Or perhaps you're thinking of something else.
Say for example a typical large institution wanted to buy from dark pool, with orderbook access you can see the order coming but not the limit price. So one way to get around this would be to issue tiny share lots with ‘immediate or cancel’ orders' (IOCs) say @ $20.10, if that order is ‘eaten’ the computer then issues an order at $20.25, then $20.30, then $20.35, then $20.40. When it tries $20.45 it gets no bite and the order is immediately canceled and you've just found out the highest price the institutional buyer is willing to pay. That's one example. There's also many algo bots that use small order to "scout" out the market to see if they meet conditions for various buy or sell entries. And others bots that try detect or obfusticate such activity, leading to the dueling bots thing that the articles before were talking about. Other activities like trying to flutter the spread or trying to quote stuff the system also requires large amounts of small parcels. I'm sure there's tons of other methods out there I don't know about.
Anyway if the asx really wanted to stop this sort of activity, it could enforce a minimum size threshold, making the above activity uneconomical. As the bots would have to actually have to buy or sell marketable parcels like the rest of us, instead of been able to dip their toe in without getting wet.
Yes I can see from this reply you are not condescending at all. *sarcasm*
The fact is I gave you specific questions, and you not only have not answered them you and tech actually started insulting me when all I did was pose questions. You say I didn't understand position sizing, but did you bother to explain?
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THE Australian Securities Exchange has warned of increasing risks of sharp swings in the stockmarket with the rise of ultra-fast trading technology taking place on dark pool trading venues.
The ASX raised the risks of the trading in its submission to the Australian Securities and Investments Commission review over rules to regulate the flow of trading away from the public exchanges into so-called ''dark pools''.
Dark pools are orders to buy or sell shares set up by brokers or specialist firms that are not submitted to transparent ''lit'' markets, such as ASX and Chi-X.
Dark pools already account for about 30 per cent of total Australian trading volume, and ASX has said the high-frequency computer-based traders operating inside them are effectively operating under limited regulation.
Read more: http://www.theage.com.au/business/a...-black-hole-20120806-23q97.html#ixzz22oAGNn9b
SEC Leads From Behind as High-Frequency Trading Shows Data Gap
The U.S. Securities and Exchange Commission, stung by criticism that it lacks the knowledge to analyze the computerized trading that has come to dominate American stock markets, is planning to catch up.
Initiatives to increase the breadth of data received from exchanges and to record orders from origination to execution are at the center of the effort. Gregg Berman, who holds a doctorate in physics from Princeton University, will head the commission’s planned office of analytics and research.
http://www.bloomberg.com/news/2012-10-01/sec-leads-from-behind-as-high-frequency-trading-shows-data-gap.html
http://www.motherjones.com/kevin-drum/2013/09/somebody-stole-7-milliseconds-federal-reserveLast Wednesday, the Fed announced that it would not be tapering its bond buying program. This news was released at precisely 2 pm in Washington "as measured by the national atomic clock." It takes 7 milliseconds for this information to get to Chicago. However, several huge orders that were based on the Fed's decision were placed on Chicago exchanges 2-3 milliseconds after 2 pm. How did this happen?
CNBC has the story here, and the answer is: we don't know. Reporters get the Fed release early, but they get it in a secure room and aren't permitted to communicate with the outside world until precisely 2 pm. Still, maybe someone figured out a way to game the embargo. It would certainly be worth a ton of money. Investigations are ongoing, but Neil Irwin has this to say:
In the meantime, there's another useful lesson out of the whole episode. It is the reality of how much trading activity, particularly of the ultra-high-frequency variety is really a dead weight loss for society.
....There is a role in [capital] markets for traders whose work is more speculative.... But when taken to its logical extremes, such as computers exploiting five millisecond advantages in the transfer of market-moving information, it's much less clear that society gains anything....In the high-frequency trading business, billions of dollars are spent on high-speed lines, programming talent, and advanced computers by funds looking to capitalize on the smallest and most fleeting of mispricings. Those are computing resources and insanely intelligent people who could instead be put to work making the Internet run faster for everyone, or figuring out how to distribute electricity more efficiently, or really anything other than trying to figure out how to trade gold futures on the latest Fed announcement faster than the speed of light.
Researchers at the University of California, San Diego, are developing an algorithm that aims to identify whether you’re a hipster, a goth or a punk, just from the cut of your social media jib.
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The team has been analysing pictures of groups of people in an attempt to place them within one of eight sub-cultures according to their appearance. These included hipsters, goths, surfers and bikers.
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By looking out for trendy haircuts, telltale tattoos and jewelry, the algorithm is being trained to make assumptions about you based for example on your social media pictures.
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