Why Do High-Frequency Traders Cancel So Many Orders? • Hacker News Board

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#241

Post by gnaritas » Sat, Oct 10, 2015, 6:10 PM UTC

librvf wrote: post #163

gnaritas wrote: post #121

Earlier quoted context omitted.

> How? It seems like this should not be that hard to explain. Decreased spreads; trading is much cheaper now than it was before HFT.

> Decreased spreads; trading is much cheaper now than it was before HFT. By how much? And is HFT the cause or is it merely correlated?

It's directly causal, algo's fighting for better position directly decrease the spread. Competition has the effect of removing unnecessary markup as the next guy who sells just a bit cheaper or offers just a bit more wins until the price is as close as possible to barely profitable. Humans are too slow to play such a tight game, computers aren't.

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#242

Post by aaronchall » Sun, Oct 11, 2015, 1:23 AM UTC

evanpw wrote: post #34

philipov wrote: post #28

Earlier quoted context omitted.

Doesn't the fact that he understands, and intentionally uses pejorative language make him dishonest?

"Scare quotes ... may be used to imply that a particular expression is not necessarily how the author would have worded a concept." https://en.wikipedia.org/wiki/Scare_quotes

Scare quotes are also bad composition. Since the author is the author, the author should word concepts correctly and take full responsibility for word choice.

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#243

Post by philipov » Sun, Oct 11, 2015, 2:22 AM UTC

aaronchall wrote: post #242

evanpw wrote: post #34

Earlier quoted context omitted.

"Scare quotes ... may be used to imply that a particular expression is not necessarily how the author would have worded a concept." https://en.wikipedia.org/wiki/Scare_quotes

Scare quotes are also bad composition. Since the author is the author, the author should word concepts correctly and take full responsibility for word choice.

Not only that, scare quotes are often used precisely to misrepresent an idea and then avoid responsibility for it, which seems like a pretty dishonest rhetorical strategy to me.

He's technically "not lying," but many people won't notice the footnote nor appreciate the difference. All they will hear is "front-running == should be illegal"

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#244

Post by norea-armozel » Mon, Oct 12, 2015, 1:24 PM UTC

WhoBeI wrote: post #206

norea-armozel wrote: post #179

Earlier quoted context omitted.

Oddly this reminds me of station trading in Eve Online where users fight over the price of their goods based on mere cents on an ISK.

Ah, yes, good old Jita. In Eve market bots aren't allowed though, they are considered unfair, so there is some difference.

Thank God too since only those with the wherewithal would bother with building trading toons. I did it for fun on the side while I missioned for the bulk of my ISK (boring as hell).

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#245

Post by Retric » Mon, Oct 12, 2015, 4:07 PM UTC

ycombobreaker wrote: post #225

Retric wrote: post #64

Earlier quoted context omitted.

Grocery stores trade low cost bulk purchases for lot's of little transactions. However, stock markets already preform this function.

No, stock markets do not perform the same function as grocery stores. Grocery stores take on inventory risk by purchasing (in bulk) the goods that they think they can sell. If their inventory goes unsold or spoils, they lose. Stock markets provide a _venue_ for trading, but it is the market maker which takes on the inventory risk. An appropriate analogy would be that the grocery store is renting from a separate prope…

Markets function without a 'market maker'. ex: Berkshire Hathaway Class A.

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#246

Post by ycombobreaker » Tue, Oct 13, 2015, 1:23 PM UTC

Retric wrote: post #245

ycombobreaker wrote: post #225

Earlier quoted context omitted.

No, stock markets do not perform the same function as grocery stores. Grocery stores take on inventory risk by purchasing (in bulk) the goods that they think they can sell. If their inventory goes unsold or spoils, they lose. Stock markets provide a _venue_ for trading, but it is the market maker which takes on the inventory risk. An appropriate analogy would be that the grocery store is renting from a separate prope…

Markets function without a 'market maker'. ex: Berkshire Hathaway Class A.

That's a pretty weird example, because that is the _only_ stock that trades at $200,000/share. Such a high price forces away liquidity intentionally, because the capital requirements of even 1 share are larger than most futures contracts. For most individuals it is more like buying a house than a stock! As a result, there is a NYSE employee (I forget the title, maybe DMM?) on the floor which _manually_ matches buyers against sellers. Other exchanges I believe still match electronically.

Aside from that, how does your statement relate to inventory risk? Market makers and grocery stores take on inventory risk. An absence of market makers in BRK.A* would only show that nobody wants to take on that risk. It does not change the role of the exchange. Exchanges facilitate matches, they are not a counterparty.

* which is not actually true, see http://batstrading.com/bzx/book/BRK.A/ during market hours and you'll find active quotes at a 2% spread.

Re: Why Do High-Frequency Traders Cancel So Many Orders?

#247

Post by brianwawok » Wed, Oct 14, 2015, 8:02 PM UTC

MoOmer wrote: post #219

kasey_junk wrote: post #209

Earlier quoted context omitted.

Few ms is for the round trip from the exchange which is right in line with what exchanges tend to provide. I have it on good authority that Brian knows what he talks about in that regard...

My understanding was that he was talking about the 'few ms' to parse out whether or not this is you

Parsing is definitely not a few ms. Maybe using Apache and parsing an XML message with a bad XML library it is a few ms... grabbing a message off a Solar Flare card with some good code is a few micros. if you are in hardware on your NIC you can be even faster.

Time from message sent to seeing back on marketdata feed can be a few ms, or it can be faster. Depends on exchange and traffic. Few ms didn't use to be totally uncommon on CME, but it may be closer to 1ms in the 95th percentile these days, for sure.