High Frequency Trading Is Coming To The Treasury Market - News and Current Events | futures.io
futures.io futures trading

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Traders Hideout > News and Current Events

High Frequency Trading Is Coming To The Treasury Market
Started:April 19th, 2012 (07:52 PM) by kbit Views / Replies:226 / 0
Last Reply:April 19th, 2012 (07:52 PM) Attachments:0

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Thread Tools Search this Thread

High Frequency Trading Is Coming To The Treasury Market

Old April 19th, 2012, 07:52 PM   #1 (permalink)
Elite Member
Aurora, Il USA
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: futures
kbit's Avatar
Posts: 5,839 since Nov 2010
Thanks: 3,275 given, 3,321 received

High Frequency Trading Is Coming To The Treasury Market

In what may be the gray swan that all hell is about to break loose, we read that one of the world's largest hedge funds, British Man Group with $58 billion in AUM, is about to launch High Frequency Trading

- the same high volume churning, sub-pennying, liquidity extracting, stub quoting and quote stuffing parasitic algorithms that frequently crash the equity, and as of recently the FX and commodity markets, into that most sacred of markets: US Treasurys.

The official spin: "The Man Systematic Fixed Income fund, yet to be launched, will try to identify and profit from dislocations in liquid government bond markets.

" What this really means is that the final frontier of market rationality is about to be invaded by artificial momentum generating algorithms, who couldn't care less about fundamentals, and whose propensity to crash and burn at the worst of times, may end up costing the Fed all those tens of trillions it has spent to keep the Treasury market calm, cool, collected, and largely devoid of any volatility and MOVEment. But all that is about to change:

"The unit is run by Sandy Rattray, who co-developed the VIX. VIX volatility index, also known as the "fear index", widely used to measure investors' perception of risk." As a reminder, the VIX index is only relevant when there are surges in volatility, something which we are confident Mr. Rattray will no doubt bring to Treasury trading momentarily. From Reuters:

"Traditional fixed income investing (is) unattractive," Man's Systematic Strategies unit said in a note, citing "yields close to zero percent, increased credit risk in many government bonds, (and) little upside (and) big downside of being long bonds in (the) current environment.

"Market inefficiencies (are) likely to prevail in fixed income markets, creating investment opportunities."

A spokeswoman said on Thursday MSS was working on the fund and declined to give a launch date.

The fund will be the fourth portfolio run by Man's one-year old MSS unit, which manages $1.6 billion (996.5 million pounds) assets.

Last month Man announced the launch of the Man
Commodities fund, also run by MSS, which uses algorithms to trade 25
commodity futures contracts and also allows human intervention.

And here we were thinking that the only reason HFT has any incentive to participate in a market is to extract liquidity rebates, which of course do not exist in the TSY market. Stepping away from the endless lies of the HFT lobby, the truth is that the permabullish bias imputed by algos in Treasury trading will simply mean that slowly but surely the same low volume meltup in stocks that we have all grown to love, especially between 3:00 pm and 3:30 pm will now appears in the 10 year.

Luckily, with a minimum rate threshold on bonds at the 0% bound, it means algos can only melt bonds up so much. Unless of course, some 19 year old computer sciences Ph.D. programmer forgot to tell the vacuum tubes, about to be buying and selling the long bond from you 10,000 times per second, this particular fact.

Fasten Your Seatbelts: High Frequency Trading Is Coming To The Treasury Market | ZeroHedge

Reply With Quote


futures.io > Futures Trading, News, Charts and Platforms > Traders Hideout > News and Current Events > High Frequency Trading Is Coming To The Treasury Market

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

An Afternoon with FIO trader bobwest

Elite only

NinjaTrader 8: Programming Profitable Trading Edges w/Scott Hodson

Elite only

Anthony Drager: Executing on Intermarket Correlations & Order Flow, Part 2

Elite only

Adam Grimes: Five critically important keys to professional trading

Elite only

Machine Learning Concepts w/FIO member NJAMC

Elite only

MarketDelta Cloud Platform: Announcing new mobile features

Dec 1

NinjaTrader 8: Features and Enhancements

Dec 6

Similar Threads
Thread Thread Starter Forum Replies Last Post
HFT High Frequency Trading Michael.H The Elite Circle 787 October 18th, 2016 10:31 PM
Has High-Frequency Trading Destabilized Markets? kbit News and Current Events 0 March 27th, 2012 06:33 PM
High-frequency trading: Technology and regulation kbit News and Current Events 0 December 19th, 2011 08:37 AM
HFT High Frequency Trading tracking timmyb The Elite Circle 32 December 12th, 2010 02:11 AM
High-frequency Trading fiki The Elite Circle 17 January 15th, 2010 10:17 PM

All times are GMT -4. The time now is 10:07 AM.

Copyright © 2016 by futures.io. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts

Page generated 2016-10-24 in 0.08 seconds with 19 queries on phoenix via your IP