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At which exchanges are US stocks (e.g. S&P500) being traded?
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At which exchanges are US stocks (e.g. S&P500) being traded?

  #11 (permalink)
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@PowerM Be aware that all of NYSE's volumes come from NYSE-listed stocks, and none of NYSE MKT's volumes come from NYSE-listed stocks. Also, the FINRA ADF only processes about 0.8% of the average daily volume by notional value. The bulk of the other 30+% actually comes through the NASDAQ TRF, not the ADF as Reuters's data would suggest.


Fat Tails View Post
Market share March 2014, turnover USD, source: Reuters

- Finra ADF , 31.3%
- New York Stock Exchange (NYSE), 10.8%
- NYSE Archipelago (ARCA, Chicago), 13.2%
- Nasdaq 19.6%
- Bats Stock Exchange BZX, 8.8%
- Bats Stock Exchange BYX, 2.2%
- Direct Edge EDGX, 6.9%
- Direct Edge EDGA, 2.5%
- Boston, 3.1%
- Smaller stock exchanges (Philadelphia, Chicago, CBOE, National Stock Exchange), 2%)

I attached a breakdown of trading volumes (by shares and notional value) on May 21, 22 and 23 based on the exchange feeds, so what I'm explaining makes more sense.

Edit: See PDF below.


tflanner View Post
Finally got around to reading Flash Boys. Thought it was an excellent read and explains very well our moden day equity mkt.

I could write a book with my view of Hft's in Chicago....saw it up close from the very beginning and I personally know some of the characters. I also know that the Exchanges are scumbags and the book does a nice job illustrating this.

I always wondered why Rick santelli on the floor of the CME never gets involved in this discussion. Also, no one in the financial news media could ever explains how our equity market actually function. Fortunately, Michael Lewis gets the job done.

Read his book and you will learn a few things.

I beg to differ. Michael Lewis is a journalist, and relying on his book for your financial decisions is no different from relying on anything he says for medical advice. I've read neither Patterson nor Lewis's book, and I've been able to run an electronic market making firm just fine.


tflanner View Post
@PowerM

Speculating in the markets has never been easy and never will be. Hft's have made the task even more difficult. I have seen many changes in the mkt over the years and some people just cannot adapt. However, since Hft's I have never seen a time where so many cannot adjust.

The exchanges are the problem. There job is to protect the integrity of the market. Since the exchanges became public companies, they have failed miserably in this regard.

I have tried to avoid the Hft debate on futures.io (formerly BMT), but after I read this book I felt compelled to endorse it.

That's an unfair allegation. The exchanges have been instrumental in introducing technological innovation to the capital markets in the past decade. We welcome speed and technological innovation in all spectra of society: faster trains, Amazon shipping, online ticketing, Uber ride sharing, 4G LTE. Why is it that it's not welcomed only in the capital markets?

This reminds me of how taxi drivers at major cities would protest against Uber by driving their cabs slowly in circles around the block of a major road, thereby causing traffic obstruction. The only protesters are the dinosaurs who have a vested interest (cue: IEX).


PowerM View Post
I did not make enough trades on US stocks to have a profund feeling for what is happening there, but I think that Al Brooks is right when he says that the charts look the same in any timeframe, but especially over the period of time. So for my simple view it may not be important what is inside the candles, but if an instrument is trending or ranging or channelling or whatever, and my reaction on that.

Charts are not similar over any time frame. The simplest visual counterexample is to take any moderately illiquid product, convert the horizontal axis on your chart to a 1 second resolution, and you will find that it looks drastically different from one to another. Many of the important economic and statistical properties are not time-invariant.

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At which exchanges are US stocks (e.g. S&P500) being traded?-marketshare.pdf  

Last edited by artemiso; May 27th, 2014 at 08:42 PM.
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  #12 (permalink)
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@artesimo

I started trading probably when you were in diapers.

When you actually get some trading experience, I'll take you seriously.

Everyone has their opinion. I just like opinions from people that are in the arena. I personally know the first Hft guys and I also saw first hand how they changed the market. Also as a 20 yr Cbot member I know how the exchanges have behaved over the years. This is the reason why I never chimed in....it is a waste of time......

No more from me on this topic. I would have to change my user name. I know where the bodies are buriedd

The Market is Smarter than You Are
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  #13 (permalink)
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Edit: Pointless to debate.


Last edited by artemiso; May 28th, 2014 at 02:40 AM.
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  #14 (permalink)
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HFT is off-topic for this thread.

Keep HFT discussion in the main thread:

https://futures.io/elite-circle/4890-hft-high-frequency-trading-high-frequency-trading.html

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  #15 (permalink)
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Thank you
To be honest, I never heard about Finra adf and also not about the other institutions behind these abbreviations before I started this thread, but I appreciate your input a lot. I changed my mind in the meantime, thinking it may be worth to look at the L2 of NYSE and NASDAQ to get a clue what happens. I would suppose that I see only a part of the orders, but that these are more or less representative for what happens "in total". Maybe I find some levels of support or resistance also on the tape. A few days ago I watched the MSFT bid-ask and I saw that at 40.00 all the time new buy orders came in so I went long on it. The only thing is that I wouldnt trust that method for more then a scalp.
Maybe this L2 information is completely dispensible for how I use it, but I will see: most improtant for me is that it gives me confidence in my decisions. If not I will quit with it


artemiso View Post
@PowerM Be aware that all of NYSE's volumes come from NYSE-listed stocks, and none of NYSE MKT's volumes come from NYSE-listed stocks. Also, the FINRA ADF only processes about 0.8% of the average daily volume by notional value. The bulk of the other 30+% actually comes through the NASDAQ TRF, not the ADF as Reuters's data would suggest.



I attached a breakdown of trading volumes (by shares and notional value) on May 21, 22 and 23 based on the exchange feeds, so what I'm explaining makes more sense.

Edit: See PDF below.



I beg to differ. Michael Lewis is a journalist, and relying on his book for your financial decisions is no different from relying on anything he says for medical advice. I've read neither Patterson nor Lewis's book, and I've been able to run an electronic market making firm just fine.



That's an unfair allegation. The exchanges have been instrumental in introducing technological innovation to the capital markets in the past decade. We welcome speed and technological innovation in all spectra of society: faster trains, Amazon shipping, online ticketing, Uber ride sharing, 4G LTE. Why is it that it's not welcomed only in the capital markets?

This reminds me of how taxi drivers at major cities would protest against Uber by driving their cabs slowly in circles around the block of a major road, thereby causing traffic obstruction. The only protesters are the dinosaurs who have a vested interest (cue: IEX).



Charts are not similar over any time frame. The simplest visual counterexample is to take any moderately illiquid product, convert the horizontal axis on your chart to a 1 second resolution, and you will find that it looks drastically different from one to another. Many of the important economic and statistical properties are not time-invariant.


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  #16 (permalink)
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PowerM View Post
Thank you
I changed my mind in the meantime, thinking it may be worth to look at the L2 of NYSE and NASDAQ to get a clue what happens. I would suppose that I see only a part of the orders, but that these are more or less representative for what happens "in total". Maybe I find some levels of support or resistance also on the tape. A few days ago I watched the MSFT bid-ask and I saw that at 40.00 all the time new buy orders came in so I went long on it. The only thing is that I wouldnt trust that method for more then a scalp.

I think scalping is exactly the last thing you wish to do.

The level L2 information is made up of quotes which are mostly sent from bots. You may also expect that the information is incomplete, as you will not see the various hidden orders which are sitting behind the visible ones. The predators (bots) are waiting for you to turn you upside down.


Do you know how to route your order to a specific exchange (to avoid front running by the bots)?

Are you aware that the information that you see on your dome when scalping, is a few hundred milliseconds old, while the bots are competing for microseconds?

Do you really think that you can scalp US stocks out of Germany?

Do you know how to use order types such as Post No Preference Blind orders instead of limit orders on NYSE-ARCA to avoid that the bots get in front of you in the order queue?

Do you have an appropriate front end (software) that allows you to access all the order types offered by NYSE/ARCA and Nasdaq?

Do you think that you can compete against the bots without collecting rebates but paying commissions and order fees that are at least four times as high?

Are you willing to commit financial suicide for the sake of being entertained?


Eventually, you will be able to beat the bots as a swing trader, but certainly not by scalping or high frequency trading. Your advantage as a retail trader is that you have low fixed costs. The HFT traders spend millions of dollars for their infrastructure. You do not need to spend anything. Your disadvantage as a retail trader is that you have high variable costs. You are paying higher commissions, not getting narrow spreads, and you cannot collect rebates. So do not try to compete where you cannot be competitive. If you go for at least 20 to 40 ticks, then you maybe able to earn the commission. If you have a significant edge, make a profit. The time for human scalpers is over.


Last edited by Fat Tails; May 29th, 2014 at 11:01 AM.
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  #17 (permalink)
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Hi FT, thank you. What if I have to answer any of your questions with "no" ..
I didnt mean scalping exactly, what I meant was more a kind of intraday swing trading on a lower time frame but while having an eye on the tape
I dont want to go for 5 ticks on stocks with my possibilities, I agree with you that this likely wouldn`t be a good idea.


Fat Tails View Post
I think scalping is exactly the last thing you wish to do.

The level L2 information is made up of quotes which are mostly sent from bots. You may also expect that the information is incomplete, as you will not see the various hidden orders which are sitting behind the visible ones. The predators (bots) are waiting for you to turn you upside down.


Do you know how to route your order to a specific exchange (to avoid front running by the bots)?

Are you aware that the information that you see on your dome when scalping, is a few hundred milliseconds old, while the bots are competing for microseconds?

Do you really think that you can scalp US stocks out of Germany?

Do you know how to use order types such as Post No Preference Blind orders instead of limit orders on NYSE-ARCA to avoid that the bots get in front of you in the order queue?

Do you have an appropriate front end (software) that allows you to access all the order types offered by NYSE/ARCA and Nasdaq?

Do you think that you can compete against the bots without collecting rebates but paying commissions and order fees that are at least four times as high?

Are you willing to commit financial suicide for the sake of being entertained?


Eventually, you will be able to beat the bots as a swing trader, but certainly not by scalping or high frequency trading. Your advantage as a retail trader is that you have low fixed costs. The HFT traders spend millions of dollars for their infrastructure. You do not need to spend anything. Your disadvantage as a retail trader is that you have high variable costs. You are paying higher commissions, not getting narrow spreads, and you cannot collect rebates. So do not try to compete where you cannot be competitive. If you go for at least 20 to 40 ticks, then you maybe able to earn the commission. If you have a significant edge, make a profit. The time for human scalpers is over.


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