These people have just found a way to abuse the stupidity of HFT. IMHO, they have played along the rules and the SEC should ban HFT.
Spoofers Tricked High-Speed Traders by Hitting Keys Fast
41–50 of 89 posts
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#42Earlier quoted context omitted.
It's an odd situation, for sure. After all, these share orders were being entered by humans and could have been sitting in the market order books for several seconds. In that time, anyone could have taken their orders. So they really were genuine offers to sell and buy shares. Compare that to high frequency traders where it is alleged that 'flash' market orders are submitted and cancelled so fast that no-one could ac…
>So they really were genuine offers to sell and buy shares. They weren't genuine, that's the point. They were offers made with the express intention and hope that they never get filled. The orders from high frequency traders in contrast are honest orders, when they are sent they honestly express that the trader wants to trade at that price. The fact that they may then be withdrawn 800 microseconds later when the HFT…
that the trader did not want them filled does not mean that they could not be filled.
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#43Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#44The only reason why this is "illegal" and HFT is legal is that the HFT firms are paying customers of the exchange. It's really quite scary how complicit and front-runned the whole stocktrading business has become. I really recommend Flash Boys which is an interesting read on the topic
http://www.amazon.com/Flash-Boys-Wall-Street-Revolt-ebook/dp...
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#45Earlier quoted context omitted.
It's an odd situation, for sure. After all, these share orders were being entered by humans and could have been sitting in the market order books for several seconds. In that time, anyone could have taken their orders. So they really were genuine offers to sell and buy shares. Compare that to high frequency traders where it is alleged that 'flash' market orders are submitted and cancelled so fast that no-one could ac…
>So they really were genuine offers to sell and buy shares. They weren't genuine, that's the point. They were offers made with the express intention and hope that they never get filled. The orders from high frequency traders in contrast are honest orders, when they are sent they honestly express that the trader wants to trade at that price. The fact that they may then be withdrawn 800 microseconds later when the HFT…
If you're saying that HFT algorithms don't publish trades from a pure manipulation purpose I call BS. There are many HFT firms that been caught with their hand in the cookie jar doing just that, the problem is that they are even more that hasn't.
It's really hard to prove intent when trading is done in microseconds and the truth lies somewhere in the algorithm. Those who got caught got caught mainly because of their email trail
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#46Earlier quoted context omitted.
Are you suggesting that the API should read your mind to discover whether you really intend to trade on an order that you enter?
I'm suggesting retraction should not be implemented in the first place
That's bizarre. So let's say AAPL is trading at $120, and you put in a limit order to buy it at $110, then you should never be allowed to cancel it? How long does the order sit there for? What if AAPL's price goes up to $400 over the next few months, do you have to leave your limit order there forever?
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#47I'm not even sure if I would consider this fraud (personally). I mean, if the initial outstanding orders were at risc of actually being bought and he had to deliver, then I think it is just fine that the market is naive enough to judge the worth of a company on some anonymous seller, rather than company performance and market-place condition of said company. What's next, you start moving stock prices through twitter…
People are already trying to move stock/fx prices via twitter bots...
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#48Be clear that this behaviour is illegal. Totally. This is the heinous crime of not being Goldman Sachs or RBS or $BIG_FOFF_BANK with political connections.
Make offers that others slavishly follow because they haven't got a clue what the real value is, you're getting prosecute - even if you will trade at the prices you quote. Manipulate libor, bullshit credit risk, rip off your customers with buy recommendations while selling? Help the greek govt get a loan that immediately doubles? No worries. Only small guys who cut the big guys lunch have anything to worry about from regulation enforcement.
This is called "regulatory capture" and it's just appalling how common it is and how little is done about it.
Hell if you're even seen as a big player you can literally rape children and get a deal for a ridiculously light sentence and they agree to stop investigating and prosecuting other offences and then be met by a member of the royal family when you get out. Literally rape children. http://www.theguardian.com/uk-news/2015/jan/03/lawyers-seek-...
Is there nothing all these lawyers can't corrupt? Yeah the things they fucked up through sheer incompetence.
Anyway kids the lesson here will be HFT is bad for you because the spreads in the market you can trade are now tighter, so you have lower transaction costs putting more money in your pocket but Goldman's lucrative market-making is lost to them. Bad for goldman's is bad for you. Oh and bubble markets are caused by short-selling.
Investment fund reporting season, rash of stories about HFT and short selling and how evil they are - just please ignore those huge fees mutual funds charge for their underperformance. 1-2% of your wealth per year. 6 figures of your money, please look at short selling and HFT and not that because that's not scary at all.
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#49Earlier quoted context omitted.
The market clears any matching orders in effectively zero time (that is, it runs its matching algorithm to clear the book before it allows any new quotes to enter). After an order is matched, you can't cancel it except in exceptional circumstances (for example, you mistakenly entered an order very far from the bbo - in that case, with the cooperation of your broker and the counterparty to your trade, you may be able…
So if I offer a trade, and then withdraw the trade because I decide I don't like the idea anymore (or 'any other reason')... that's legal. And routine to do on microsecond timescales. But offering a trade, and then withdrawing the trade manually a few seconds later because I never intended to execute the trade... that's not legal? What was the original rational for creating this class of thoughtcrime? Why does it cri…
Because there may be a request in the system already for the price you offered, which means that your trade will go through immediately when it gets offered, and you won't be able to take it back, even in microseconds.
If any amount of time passes, it's considered to just "be sitting there", so you can change your mind and cancel it. Microseconds isn't the same as no time at all, when you can pre-issue buy or sell orders that will get filled at the very instant a matching order goes in.
Re: Spoofers Tricked High-Speed Traders by Hitting Keys Fast
#50Let's say you trained a bot with reinforcement learning, rewarding profitable trades. And it, by itself, learned this strategy.
Would it be illegal? Sure, the reason the strategy works maybe price manipulation, but it is hard to ascribe intent to it all the same.