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DIY Trader
- Joined
- 3 February 2010
- Posts
- 5,359
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- 346
... right on cue, just as VSA gained traction. What's the next fad the algos can exploit?
... right on cue, just as VSA gained traction. What's the next fad the algos can exploit?Why the Market Profile legacy analysis of price and time has changed
How electronic market order flow contrasts to open-outcry order flow
Analyzing volume and price
How the influence of supply (volume) effecting price is the new paradigm
... working systemic instability into the market microstructure.
I would have thought that any momentum following trading introduces instabilities. The price goes up, everyone gets on board, and the price goes up some more until it is far from it's rational/fundamental value. This happens with trading of all asset classes (houses, food, financial derivatives etc), and probably reflects something fundamental in human nature. It doesn't seem to be qualitatively different if I make a machine do the trading, and make decisions at a slightly faster pace than my poor little brain can manage.
Punta, when you simplify it like that the issues are lost.
Yeah fair enough, there's obviously problems with how individual algos are implemented, but I can't see anything fundamentally wrong with HFT.
...What if the firm doing the HFT accounts for more than 50% of all the market?
Wouldn't this mean that it would have to be trading with itself?? That doesn't seem to make too much sense.
You could say that, if an algo is not trading with itself, then there must be another party willing to take the other side of the trade, and so the algo isn't pushing prices around unfairly.
How does any of this affect Joe and Martha Sixpack with their occasional share purchase to put in the bottom drawer?
Much ado over nothing methinks.
Also there is the well known 'pass the parcel' technique, algo A has a block of 100 shares and sells it to algo B for one tick more than it paid, then algo B sells the block back to algo A for one tick higher again, etc etc.
For every dollar the HFTers make, someone has to lose it.
Lots of algo activity is not matched trades but rather huge quote stuffing. Also there is the well known 'pass the parcel' technique, algo A has a block of 100 shares and sells it to algo B for one tick more than it paid, then algo B sells the block back to algo A for one tick higher again, etc etc. No reason the algos have to be owned by different firms.
I've seen the evolution of HFT bots on ASX since 2007-8 up to now and 99.9 percent of the time they have greatly reduced volatility.
Absolutely.
My feeling is that long term trends will be rare.
Once bots get on them they will control volatility.
Then Punter comes along and sees a higher price so puts in a bid for 10000s at market and Bot sells into it with an average price way less than bought.
A bigger problem, says Paul Squires, the head of trading for AXA Investment Managers, is that increased liquidity can be illusory. “You can press the button to buy Vodafone, say, and have it executed in a second but in that period 75% of the liquidity has disappeared and the price has moved.”
You just cant see clear cut evidence.
My feeling is that long term trends will be rare.
Once bots get on them they will control volatility.
LOL So? You want to regulate who makes money?
I want to regulate so that everyone has an equal opportunity to make money.
Err
They have.
No they have not. The vast majority of market participants cannot afford to buy and collocate servers at the ASX.
For every dollar the HFTers make, someone has to lose it.
I want to regulate everything
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