81–90 of 237 posts
Earlier quoted context omitted.
The whistleblower (Hunsader) is the authority being quoted there, not CNBC.
Hunsader is basically an authority on conspiracy theories and little more.
Earlier quoted context omitted.
From that blog post: "Most HFTs run a market making strategy. What this means is they play both sides of the table - they take no position on whether a stock will go up or down. Instead, they try to offer securities both to buy and sell. If you want to buy, they will sell to you at $20.10. If you want to sell, they'll buy from you at $20. As long as their buys and sells match don't get too out of whack, the HFT will…
That's why market makers are also called scalpers, because they skim the $0.10 spread. But in return for paying the spread, what traders get is immediacy. The problem is, how much immediacy do traders actually want? HFT provides immediacy in microseconds; its needed for continuous-time auctions because buyers sellers usually aren't in the market at the exact same microsecond interval (while the HFT is there at every…
I don't particularly have an opinion about the Budish paper, other than it has some serious impacts to globally traded products and it is way more disruptive than people seem to suggest.
I do worry that fundamentally altering the way the markets work, because some participants don't understand order types is particularly troublesome.
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…
Edit: wow, rate limited after three posts this morning. A new HN low.
My response to tptacek below:
My dumb order?
How can HFT's intercept and redirect my trades to their, appently, captive pool of dumb trades?
Sure sounds like multiple markets are operating...and you are even telling me that my orders will be scraped before they can even reach some markets.
Earlier quoted context omitted.
Hunsader is basically an authority on conspiracy theories and little more.
That's not true. Even people who don't like Hunsader's analysis (and there are lots of those people) tend to acknowledge that his operation generates good data.
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…
Some people think this is not the case?
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…
Earlier quoted context omitted.
IIRC, HN's yummyfajitas goes into a lot of details in his blog posts on HFT[1]. My own understanding is that it provides liquidity and reduces bid/ask spreads, resulting in a more accurate stock valuation. I'm not sure the negatives, but I'm not a trader nor do I follow such things all that closely. 1: https://news.ycombinator.com/item?id=3852341
From that blog post: "Most HFTs run a market making strategy. What this means is they play both sides of the table - they take no position on whether a stock will go up or down. Instead, they try to offer securities both to buy and sell. If you want to buy, they will sell to you at $20.10. If you want to sell, they'll buy from you at $20. As long as their buys and sells match don't get too out of whack, the HFT will…
A) a counter-party never showed up B) a counter-party only showed up when the stock dropped so you end up buying on the way down.
Taking this risk is a perfectly fine thing to do and many people do this. Others would prefer to pay the market maker a small fee for providing liquidity. That fee is not being sucked out by some HFT. It's a fee for providing a service.
And BTW, thanks to automation and sophisticated trading algorithms that service is provided at EXTREMELY low cost these days. Bid/ask spreads are tiny.
Earlier quoted context omitted.
Somethings off. If all this is is market making, why all the trouble with the microsecond latencies? Microwave links? Shared colos? That seems like a lot of cost everyone could save on by simply having the exchange enforce some minimum timings.
Because speed is an implicit and intrinsic "figure of merit" in automated market making: if you are faster than other market makers, you outcompete them. There are two straightforward problems with microsecond-speed electronic trading: * At very small timescales, possibly as a sort of inevitable consequence of the CAP theorem, correlations between instruments that should trade in lock step start to break down. Since…
I don't mean to get rid of automatic market making, I'm saying the exchange could just move to a system where it checkpoints every 10ms or whatever, still much faster than humans can blink, but no detriment to the algorithms. Then everyone has 10ms to come up with orders that make sense in the current market situation, instead of the ridiculous timing game.
I have two questions about HFT: - Is HFT a healthy or unhealthy part of the economy? Meaning does it help flatten out the highs/lows, or does it emphasise them? - Aside from a micro-tax on trading (e.g. 1c/trade) is there any other mitigations/solutions to HFT?
IIRC, HN's yummyfajitas goes into a lot of details in his blog posts on HFT[1]. My own understanding is that it provides liquidity and reduces bid/ask spreads, resulting in a more accurate stock valuation. I'm not sure the negatives, but I'm not a trader nor do I follow such things all that closely. 1: https://news.ycombinator.com/item?id=3852341
But it's often not "real" liquidity. Let's say there's 100 shares available at $100.00, 200 at $100.50, etc. Such that there's a total of 5k shares on the book at this time at any price. But we want to buy 10k shares.
The average fill price assuming no intervention and only marketable orders would be (100$100 + 200$100.50 + ...)/5000.
An intervening HFT firm will only be adding useful liquidity if the average fill price drops somehow. Shittier algos will lose some money by lowering the average fill price so they match your order and get the liquidity rebate from the exchange. This adds true liquidity. But intelligent market makers generally will just add identical liquidity to what's already available but at 1 or 2 cents higher (and a few slots higher on the order book). As a result, you just end up paying more for the same quantity of shares. That's not true liquidity because it's really only triggered by your order, doesn't move the price significantly, and is limited to exactly the size of your order.
I have two questions about HFT: - Is HFT a healthy or unhealthy part of the economy? Meaning does it help flatten out the highs/lows, or does it emphasise them? - Aside from a micro-tax on trading (e.g. 1c/trade) is there any other mitigations/solutions to HFT?
I don't see why we couldn't put a time delay in. Something like this: when you commit to a trade, the actual trade delayed for some N minutes, where N is a randomly-chosen value from some distribution. Wouldn't this eliminate the incentive to do HFT?