11–20 of 99 posts
If HFT GUARANTEES profits, why are the profits to HFTs declining so sharply, and why do HFT firms make such a small fraction of what the buy-side firms make? Much more discussion here: https://news.ycombinator.com/item?id=7531429
If HFT GUARANTEES profits, why are the profits to HFTs declining so sharply, and why do HFT firms make such a small fraction of what the buy-side firms make? Much more discussion here: https://news.ycombinator.com/item?id=7531429
Declining profitabilities caused by increased competition. What market risk are the scalp-style of hft strategies (not all hft's are scalping) taking ? If they can cancel orders at abandon and make pennies if they win the race (against other hft's), but can simply x out of their order if the price doesnt go their way is as close to a riskless profit as it gets. virtu's prospectus as a case in point. https://www.sec.g…
http://washpost.bloomberg.com/Story?docId=1376-N2CB0F6TTDTQ0...
Complete idiot's guide is right. Exchanges offer price-time priority. A 'better' price (higher bid, lower offer) gives you priority over a 'worse' price. Given two orders at the same price, an earlier order gives you priority over a later order. If you spend millions of dollars on computers, data feeds, and salaries to skilled personnel, to predict the motion of markets correctly and work within the system to make mo…
Its not always fraud, but some the of tactics get pretty scammy. One highlighted in Flash Boys is a classic bait-and-switch, perpetuated with perverse fee incentives of a "taker rebate" on BATS BYX. I said more here: https://news.ycombinator.com/item?id=7532902
Some aspects of HFT seem highly analogous to insider trading to me, and insider trading is currently illegal. Abusing the ability to cancel orders fast in order to ping for non-public data about other orders sure seems like an insider advantage. As I understand it this "pinging" is central to HFT strategies. Am I missing something?
Complete idiot's guide is right. Exchanges offer price-time priority. A 'better' price (higher bid, lower offer) gives you priority over a 'worse' price. Given two orders at the same price, an earlier order gives you priority over a later order. If you spend millions of dollars on computers, data feeds, and salaries to skilled personnel, to predict the motion of markets correctly and work within the system to make mo…
Would you recommend this as advice to YC companies looking to secure VC?
Tactic seems ripe for abuse in M&A negotiations as well.
However, it can also be used for bad: http://www.sec.gov/News/PressRelease/Detail/PressRelease/136...
In that link, the SEC charges that a certain firm employed a trading strategy using non-bona fide orders to attract interest on another (bona fide) order. This involved submitting orders on the other side[1] to simulate interest.
HFT makes such strategies viable, or at least more viable.
1. http://www.nanex.net/aqck2/3598.html
EDIT: Corrected to remove inaccurate information.
Complete idiot's guide is right. Exchanges offer price-time priority. A 'better' price (higher bid, lower offer) gives you priority over a 'worse' price. Given two orders at the same price, an earlier order gives you priority over a later order. If you spend millions of dollars on computers, data feeds, and salaries to skilled personnel, to predict the motion of markets correctly and work within the system to make mo…
> Why is this "moral" when it's a person doing this on a time scale of seconds or minutes, but "fraud on the market" when it's a computer doing it on a time scale of micro or milliseconds? Its not always fraud, but some the of tactics get pretty scammy. One highlighted in Flash Boys is a classic bait-and-switch, perpetuated with perverse fee incentives of a "taker rebate" on BATS BYX. I said more here: https://news.y…
Earlier quoted context omitted.
Declining profitabilities caused by increased competition. What market risk are the scalp-style of hft strategies (not all hft's are scalping) taking ? If they can cancel orders at abandon and make pennies if they win the race (against other hft's), but can simply x out of their order if the price doesnt go their way is as close to a riskless profit as it gets. virtu's prospectus as a case in point. https://www.sec.g…
Manoj Narang of Tradeworx has stated their average holding time is up to 10 minutes. Is he taking risk? http://washpost.bloomberg.com/Story?docId=1376-N2CB0F6TTDTQ0...
edit: I did not imply that none of the hft strategies were taking market risk. The ones that scalp certainly seem to.
If HFT adds no value, rigs the game, adds cost to everyday investors and traders looking to make an honest fair buck from the markets, will it be allowed in the future? I almost feel like SEC will come down on them hard. Basically, I'm bummed at the idea that as individuals, we can't innovate in this field without ponying up several million dollars in startup cost.
My (non-expert) take: HFT is a tool and it can be used for good or bad. Potential good uses may include: reduction of bid/ask spreads, improved liquidity and faster arbitrage of things like ETFs. However, it can also be used for bad: http://www.sec.gov/News/PressRelease/Detail/PressRelease/136... In that link, the SEC charges that a certain firm employed a trading strategy using non-bona fide orders to attract intere…