A detailed exposé on how the market is rigged from a data-centric approach
1–10 of 153 posts
Re: A detailed exposé on how the market is rigged from a data-centric approach
#2Doesn't surprise me the least bit. Where there is something available to exploit (in this case, access to direct, fast feeds), it will be exploited.
Would it be possible, legally and technically, to put a special additional fee/tax onto high-frequency trading while leaving normal high-volume traders alone?
Re: A detailed exposé on how the market is rigged from a data-centric approach
#3You cannot defend frontrunning of a market.
If I ask for X at Y. Someone else shouldn't have the facility to buy it based on my own trade signal and try sell it back to me.
It is mindblowingly simple theft. The arguments for liquidity do not hold. There is some fascinating cognitive dissonance when it comes to the HFT industry.
Re: A detailed exposé on how the market is rigged from a data-centric approach
#4Doesn't surprise me the least bit. Where there is something available to exploit (in this case, access to direct, fast feeds), it will be exploited. Would it be possible, legally and technically, to put a special additional fee/tax onto high-frequency trading while leaving normal high-volume traders alone?
Its certainly possible technically (and legally in some cases). Italy has a 0.02% tax on transactions lasting less than half a second: http://www.dw.de/italy-first-to-slap-tax-on-high-speed-stock...
Re: A detailed exposé on how the market is rigged from a data-centric approach
#5You cannot defend frontrunning of a market. If I ask for X at Y. Someone else shouldn't have the facility to buy it based on my own trade signal and try sell it back to me. It is mindblowingly simple theft. The arguments for liquidity do not hold. There is some fascinating cognitive dissonance when it comes to the HFT industry.
That's not what's happening here. Traders are arbitraging and reacting to public trades and orders on multiple markets.
If you walk through a physical market where 8 apple carts are lined up, all selling apples for $1, buy every apple at cart #1, then buy every apple at cart #2, and so on, would you be surprised to find the price moving up or sellers stepping away as you approached carts #7 and #8?
The same thing happens when trading. Securities trade on multiple markets and multiple exchanges cannot match cross-market trades atomically. It's absurd to suggest that one side of the trade should be expected to close his eyes to what's happening in the world around him and sit tight while a huge trader runs his quote over. Why is one party more deserving of a good price than the other?
If you route to one exchange only there is no way for anyone to see or react to your marketable order before it executes, ever. If you route your orders intelligently, it can be very difficult or impossible for anyone to pull away before you get your fills. That's the executing broker's job. Instead of getting better at his job, this broker would rather complain to a very vocal conspiracy theorist who has been proven wrong many times in the past by people with actual experience and data: http://zacharydavid.com/bad-research/the-hunsader-follies/
Re: A detailed exposé on how the market is rigged from a data-centric approach
#6Doesn't surprise me the least bit. Where there is something available to exploit (in this case, access to direct, fast feeds), it will be exploited. Would it be possible, legally and technically, to put a special additional fee/tax onto high-frequency trading while leaving normal high-volume traders alone?
Go to the router just entering the exchange, type:
tc qdisc change dev eth0 root netem delay 100ms 10ms
Re: A detailed exposé on how the market is rigged from a data-centric approach
#7You cannot defend frontrunning of a market. If I ask for X at Y. Someone else shouldn't have the facility to buy it based on my own trade signal and try sell it back to me. It is mindblowingly simple theft. The arguments for liquidity do not hold. There is some fascinating cognitive dissonance when it comes to the HFT industry.
That's not what's happening here. Traders are arbitraging and reacting to public trades and orders on multiple markets. If you walk through a physical market where 8 apple carts are lined up, all selling apples for $1, buy every apple at cart #1, then buy every apple at cart #2, and so on, would you be surprised to find the price moving up or sellers stepping away as you approached carts #7 and #8? The same thing hap…
Except that what's happening is that the order is against a "cart" with sufficient inventory to completely fulfill the initial order, and other actors are interrupting the transaction to add carts 2-n. Is that not the case?
Re: A detailed exposé on how the market is rigged from a data-centric approach
#8Doesn't surprise me the least bit. Where there is something available to exploit (in this case, access to direct, fast feeds), it will be exploited. Would it be possible, legally and technically, to put a special additional fee/tax onto high-frequency trading while leaving normal high-volume traders alone?
Go to the router just entering the exchange, type: tc qdisc change dev eth0 root netem delay 100ms 10ms Problem solved.
what does this do? (non-finance guy here)
Re: A detailed exposé on how the market is rigged from a data-centric approach
#9Earlier quoted context omitted.
That's not what's happening here. Traders are arbitraging and reacting to public trades and orders on multiple markets. If you walk through a physical market where 8 apple carts are lined up, all selling apples for $1, buy every apple at cart #1, then buy every apple at cart #2, and so on, would you be surprised to find the price moving up or sellers stepping away as you approached carts #7 and #8? The same thing hap…
Except that what's happening is that the order is against a "cart" with sufficient inventory to completely fulfill the initial order, and other actors are interrupting the transaction to add carts 2-n. Is that not the case?
I'd say its worse than that. As you reach for each apple in the cart you've chosen, someone with an empty cart runs over and grabs it just before your hand can close around it, takes it back to his own cart and marks it up a few cents.
Re: A detailed exposé on how the market is rigged from a data-centric approach
#10Can someone explain what's happening with the order cancellations? What causes it? Who is the party that is canceling orders?