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Does the market know your positions?


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Does the market know your positions?

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  #11 (permalink)
 Arch 
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This assumes a single party has overwhelming consistent influence over both big and small traders. Highly unlikely. Thereís no market maker in futures, but there are for e-mini options and interest rate futures. The exchange isnít handing out your order flow to 3rd party firms for it to be traded against. Your brokers arenít trading against you or probably arenít reselling your order flow.

Trade your algo or mechanical system on SIM with 1 lot only with a sample size of 10; 1 sample per day. Then follow the same on LIVE. Repeat 10 times. If your results are within 90% (10% accounting for noise), then thatís your evidence that this conspiracy is all in your head.

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  #12 (permalink)
lightsun47
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blackgrey45 View Post
Do you think the market knows your positions and actively trades against you? Or does the market not care about you?

For some reason, when I execute my trades with specific stops, sometimes the market tends to 'move' towards my stop to get it filled BEFORE going into my intended direction, which seems to make unusual moves in this process along the way.

Somehow, it seems they want to fill your stop loss first, only to resume going in your intended directions. Pretty annoying if they can track everything in real-time, with millions of other little 'mice' like us getting sliced.

Then of course the question arises - do our edges work as intended? My take on this is this - yes they do work, but because of this problem (?) and randomness, we have losing trades, eventually.

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  #13 (permalink)
 Silver Dragon 
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bobwest View Post
Without having read the book, it does sort of give a different meaning to the question of "who is actively trading against you."

Among them, we now have bots. There have been bots doing this for some time, I believe.

From an individual's perspective, it may change the details of who is taking the money from you, but I think the process and the underlying reality is similar. Of course bots, and High Frequency Traders, and many others, are trading against you. You, and everyone else who trades with the crowd, following group psychology, which is most of us at one time or another.

But I would say that a hundred years ago, traders who traded with the general crowd psychology of the time also bought at the tops and sold at the bottoms, and for the same reasons. They just got their money taken from them by people who didn't have computers, but who also didn't buy/sell with the crowd, which is how it is done.

I am absolutely sure, however, that computers, and AI, have made the process more efficient.

But are they particularly targeting me, individually? Or you? Not until I become big enough to matter, which I don't. When/if I do, well, then we'll have to see.

Until then, I am just one of a large group, when I do buy the top/sell the bottom, not an individual target of anyone/anything. And if I do not act in concert with the group, then I don't.

Bob.

@bobwest

I agree they may not be targeting you as a individual trader however they are targeting retail traders as a whole. This is a large enough group to make a difference. It is fascinating how orders are routed through the market. HFT take advantage and manipulate order flow. Through ways I don't totally understand they are able to jump ahead of another order. Which means you/I could be one tick away from getting filled at our target and a HFT takes the buy/sell which would have fulfilled our target. It's an unfair game where money and speed have a clear advantage over the human retail trader.

Fun Fact: In the mid to late 1800's railroad stocks were the high-flying tech stocks of the modern era. At the height some of those stocks reached over a $100 a share. Fortunes were made and lost just like today. People were in some cases selling everything they had in order to buy these stocks in the chance of becoming rich. Eventually the bubble burst and by the turn of the century most of the railroads went bankrupt. Sound familiar?? Some historians consider this to be the first stock market bubble.

Robert

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  #14 (permalink)
 Arch 
W.Coast, USA.
 
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Silver Dragon View Post
@bobwest

I agree they may not be targeting you as a individual trader however they are targeting retail traders as a whole. This is a large enough group to make a difference. It is fascinating how orders are routed through the market. HFT take advantage and manipulate order flow. Through ways I don't totally understand they are able to jump ahead of another order. Which means you/I could be one tick away from getting filled at our target and a HFT takes the buy/sell which would have fulfilled our target. It's an unfair game where money and speed have a clear advantage over the human retail trader.

Fun Fact: In the mid to late 1800's railroad stocks were the high-flying tech stocks of the modern era. At the height some of those stocks reached over a $100 a share. Fortunes were made and lost just like today. People were in some cases selling everything they had in order to buy these stocks in the chance of becoming rich. Eventually the bubble burst and by the turn of the century most of the railroads went bankrupt. Sound familiar?? Some historians consider this to be the first stock market bubble.

Robert

HFT front running and order flow sharing is for stock exchanges though, not futures, generally. And front running happens at a nanosecond level. People conflate front running with trades going against them, when in reality they are behaving like other market participants.

But logically, trades (regardless of retail, HFT, hedge funds, institutions, etc) can be analyzed anonymously and its aggregate are categorized in separate buckets. You have different trading regimes rise to significance and back to insignificance per second in a dynamic system.

You canít hide your trade, and neither can ďthey.Ē

The reality is your stops are too tight and your edge isnít as significant as you think, or youíre not following your trading plan consistently. The problem is most likely you 90% of the time.

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  #15 (permalink)
HiLatencyTRDR HLT
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Arch View Post
This assumes a single party has overwhelming consistent influence over both big and small traders. Highly unlikely. Thereís no market maker in futures, but there are for e-mini options and interest rate futures. The exchange isnít handing out your order flow to 3rd party firms for it to be traded against. Your brokers arenít trading against you or probably arenít reselling your order flow.

Trade your algo or mechanical system on SIM with 1 lot only with a sample size of 10; 1 sample per day. Then follow the same on LIVE. Repeat 10 times. If your results are within 90% (10% accounting for noise), then thatís your evidence that this conspiracy is all in your head.

Synthetic mkt makers hft are about 70% of the futures mkts.
Virtual citadel and many others

Stops are hunted because machines learn that most retail do the exact same things at nearly the same times.
All within set ranges of 3 to 6 es points. There are firms like citadel that do execute for customers and get them great avg prices. Stop hunting is about liquidity hunting. Every time you force a stop you create a trade opportunity in the opposite direction. If you cannot entice others to trade then you must force it.

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  #16 (permalink)
 Arch 
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HiLatencyTRDR HLT View Post
Synthetic mkt makers hft are about 70% of the futures mkts.
Virtual citadel and many others


Stops are hunted because machines learn that most retail do the exact same things at nearly the same times.
All within set ranges of 3 to 6 es points. There are firms like citadel that do execute for customers and get them great avg prices. Stop hunting is about liquidity hunting. Every time you force a stop you create a trade opportunity in the opposite direction. If you cannot entice others to trade then you must force it.

source? what groups are market makers in e-mini SP and crude oil futures?

https://www.cmegroup.com/education/market-maker-directories.html

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  #17 (permalink)
HiLatencyTRDR HLT
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This day and age of the internet I find it very lazy when people ask for information that can be found with a quick Google search or multiple ones. This is the age of information and finding what you need to satisfy your needs is at your fingertips as well as my own.

This was one quick search but there are many more
Most hft are synthetic market makers except for the fact in literature that they also are predatory and take liquidity as well because they are not designated market makers but synthetic.. where it gets weird is when they are buying and selling for their customers and know ahead of time that they are creating synthetic wash trades in order to fulfill bulys and sells required by their customers and then also dealing with noise orders or random retail orders as part of the balancing act but understand they rarely lose.. how could they
https://www.google.com/url?sa=t&source=web&rct=j&url=https://scholarship.law.upenn.edu/cgi/viewcontent.cgi%3Freferer%3D%26httpsredir%3D1%26article%3D1514%26context%3Djbl&ved=2ahUKEwjix4WD_Oz5AhUommoFHXHAAmEQFnoECCAQAQ&usg=AOvVaw12xYmabqRGvbBHcmNJYKpX

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  #18 (permalink)
 SMCJB 
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I think @Arch's point was there are no designated market makers for ES, CL futures etc.

A google search for synthetic market maker references Automated Market Makers in Crypto. No mention of futures, or even equities.

And while it may be possible in stocks, where people do pay for order flow, things like that are not possible in futures.

As I said earlier, Bots, AI, HFT, whatever your term are just doing what specialists/locals did on the floors/pits, they just do it more efficiently and faster.

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  #19 (permalink)
 Silver Dragon 
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Arch View Post
HFT front running and order flow sharing is for stock exchanges though, not futures, generally. And front running happens at a nanosecond level. People conflate front running with trades going against them, when in reality they are behaving like other market participants.

But logically, trades (regardless of retail, HFT, hedge funds, institutions, etc) can be analyzed anonymously and its aggregate are categorized in separate buckets. You have different trading regimes rise to significance and back to insignificance per second in a dynamic system.

You canít hide your trade, and neither can ďthey.Ē

The reality is your stops are too tight and your edge isnít as significant as you think, or youíre not following your trading plan consistently. The problem is most likely you 90% of the time.

@Arch

See the chart below. Actually, HFT is a large part of the futures market and is growing. As of 2020 nearly 50% of ES is HFT. Would assume its beyond 50% mark now. HFT started showing up in the futures market after the 2008 financial crash. There is a ton of papers out there beyond the one below of the history and the impact to the futures and equity markets. This report is from 2022 from the Commodities Group Trading commission.

Perhaps the most interesting quote from the report:

Quoting 
In recent years, HFTs have taken over the market-maker role in many futures markets.

Hope this helps!
Robert

Link to article:
https://www.cftc.gov/sites/default/files/2022-07/HFT_and_market_quality_07.07.2022_ada.pdf


HFTís within the futures market

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  #20 (permalink)
 Arch 
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Silver Dragon View Post
@Arch

See the chart below. Actually, HFT is a large part of the futures market and is growing. As of 2020 nearly 50% of ES is HFT. Would assume its beyond 50% mark now. HFT started showing up in the futures market after the 2008 financial crash. There is a ton of papers out there beyond the one below of the history and the impact to the futures and equity markets. This report is from 2022 from the Commodities Group Trading commission.

Perhaps the most interesting quote from the report:


Hope this helps!
Robert

Link to article:
https://www.cftc.gov/sites/default/files/2022-07/HFT_and_market_quality_07.07.2022_ada.pdf


HFTís within the futures market

Thanks! It seems HFTs are de facto market makers, which means they don't get the privileges a designated market maker were to receive...?

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