61–70 of 237 posts
Earlier quoted context omitted.
Quote from an interview with Hunsader on CNBC regarding this topic: Q (CNBC): Should long-term investors care about milliseconds? A (Hunsader): Yes, they should.
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So essentially the NYSE is a provably fixed game, with large HFT houses paying for the right to trade on non-public information, and it hides behind the idea that it was just a few hundred milliseconds. All the while they are selling non-public information as a product that is deliberately used to micro-manipulate the market? I mean, deep down I always knew this, but to have it all spelled out is shocking because it…
Market data is not non-public definition. NYSE was simply slow in aggregating market data during times of high volume. This did not affect you as a retail investor, as you get the NBBO price. This only affected you if you were an HFT firm with bad infrastructure who depended on the aggregate feed and not their direct line. Like tptacek said, the price for getting a direct line, while expensive, is not unreasonable fo…
Maybe I misunderstood, but it seems like they're saying that's not the case:
FTA: "First, we had to rule out the possibility of the delay being caused by the consolidation process (which people often erroneously point out)."
Earlier quoted context omitted.
> Yes, but to be clear that was a very special situation that hadn't happened before or since. If by a special situation, you mean directly observable at multiple time periods. Here's what the article says: To satisfy a curiosity of whether the NYSE public quote delay was unique to May 6, 2010, we ran another quote-by-quote comparison of time-stamps from the public quote and Open Book for a 30 minute trading period i…
Umm, I think what you posted proves my point. The 30 second delay was a complete aberration. 100 millisecond delays happen all the time at every exchange. To be fair to you I originally posted nano second when I meant millisecond. I've corrected my post. As I've said before, I'm not at an HFT firm but we routinly see latency changes in messagesfrom all excahnges and dark pools. Just like Google can't guarantee each q…
Ah, that makes a big difference. :)
> As I've said before, I'm not at an HFT firm but we routinly see latency changes in messagesfrom all excahnges and dark pools.
From separate feeds to the same exchange? My understanding from the article is that that is not allowed:
A crucial sub-ruling in the regulations prohibits exchanges from giving stock quotes to special groups faster than to the public.
So as long as you're measuring from the start of the request, not the end, you shouldn't see delays in the hundreds of milliseconds to the same exchange, regardless of feed. At least that's how I understand it, but you sound like you have more practical experience, and may be able to correct where I'm misinterpreting something. Is that not how it works in real life?
Yikes. Lots of misinformation here. First of all, this has nothing to do with High-Frequency Trading. It's about the NYSE not delivering a product (SIP real-time data) while collecting $100M a year for that service. This was happening for at least 3 years. I am a champion of free markets. The term "High-Frequency Trading critic" is a label others use when they either can't understand and/or refute solid evidence. I'm…
Can you comment on how hard it was to find another period exhibiting this behavior? The article says We chose this period because there was a noticeable lag in the public quote from the NYSE versus quotes from other exchanges, allowing us to rule out the consolidation process as a source of the delay. Did you have to look for a few periods to see the behavior, or did you look for a few to get a sample that showed the…
What he's saying there was that due to inefficiencies in NYSE's infrastructure, the feed that went to the consolidation (which provides the NBBO) was delayed. Firms were able to then exploit those inefficiencies by dumping a ton of quotes into the market to cause it slow down those feeds. This is called quote-stuffing and is illegal and against exchange rules. (I don't know if this was illegal then.) From a technical…
FWIW I'm getting the 'real-time NYSE data' (not the level two data but real time level one) for $2 / month on my tradingview membership. Not exactly breaking the bank
Nuclear reactors are planned in a way that their response time is in human scale e.g. they take something like 20 seconds to increase or decrease activity. This leaves room for human intervention. IMHO markets should do something similar: create something like 30-second barriers for trades. Trades that cross the bid/ask are carried out. Trades submitted cannot be canceled until the next 30s cycle. Trades outside of t…
Even people who support quantized markets don't propose markets running on human timescales. Meanwhile, if you're the kind of trader that is impacted by trade latency (read: a competitive market maker or decently well capitalized prop trading firm), there are already venues you can trade in that are quantized. The problem is that nobody wants to trade in them.
Earlier quoted context omitted.
> what NYSE was doing probably didn't impact you at all. Then where does all the money HFT firms make come from?
First, HFT firms aren't especially lucrative compared to other finance specialties, so one answer to that question is "nowhere". Second, HFT firms compete with other finance firms , so what money they do make comes from bidding down the costs those firms were imposing on the rest of the market. If you're a retail trader, automated electronic traders make money off you by outbidding the markets to quote good prices to…
That seems like a lot of cost everyone could save on by simply having the exchange enforce some minimum timings.
Nuclear reactors are planned in a way that their response time is in human scale e.g. they take something like 20 seconds to increase or decrease activity. This leaves room for human intervention. IMHO markets should do something similar: create something like 30-second barriers for trades. Trades that cross the bid/ask are carried out. Trades submitted cannot be canceled until the next 30s cycle. Trades outside of t…
Even people who support quantized markets don't propose markets running on human timescales. Meanwhile, if you're the kind of trader that is impacted by trade latency (read: a competitive market maker or decently well capitalized prop trading firm), there are already venues you can trade in that are quantized. The problem is that nobody wants to trade in them.
edit: "Across Wall Street, less trading is taking place at 3 p.m. or, in fact, most any time but the opening minutes and the final half hour." http://www.wsj.com/articles/traders-pile-in-at-the-close-143...
Earlier quoted context omitted.
> what NYSE was doing probably didn't impact you at all. Then where does all the money HFT firms make come from?
First, HFT firms aren't especially lucrative compared to other finance specialties, so one answer to that question is "nowhere". Second, HFT firms compete with other finance firms , so what money they do make comes from bidding down the costs those firms were imposing on the rest of the market. If you're a retail trader, automated electronic traders make money off you by outbidding the markets to quote good prices to…
I.E. how much money is a good HFT firm making at scale?