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Trade ETFs and very high liquid stocks to sidestep HFTs?
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Trade ETFs and very high liquid stocks to sidestep HFTs?

  #1 (permalink)
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Trade ETFs and very high liquid stocks to sidestep HFTs?

Recently, I find I've forced out of positions from price manipulations via HFTs intraday. Or, been entering positions I thought were good long setups when it was relaly HFTs battling it out. I am wondering, has anyone tried to sidestep them by trading stocks that have very high volume intraday or ETFs? (eg. CSCO, FB, BABA, etc.)

Cheers

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  #3 (permalink)
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sterling729 View Post
Recently, I find I've forced out of positions from price manipulations via HFTs intraday. Or, been entering positions I thought were good long setups when it was relaly HFTs battling it out.
Cheers

Can you give us an example or two?

It is hard to find the Truth when you start your search with a preconceived notion of what the Truth will be.
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deaddog View Post
Can you give us an example or two?

Sure, at certain times with low volume stocks, I'll see a bid at 40c. I may put a bid at 41 (even with 10 shares sometimes), and then the bid goes to 42, then I go to 43, and it goes to 44, and so on. I did this to see if there was really an algorithm at play and I didn't have to risk that much money. Eventually, it got to 75c before I was filled. This was just an experiment and I risked $2 to see how price behaved.

But it's not refusal to get filled that's annoying. Many times I'll backtest certain setups, and they work out reasonably well. Then when I trade these setups live (with lower volume stocks), I put an limit buy order in and get filled. The stock trades immediately lower, lower, and lower, until finally I hit out. 5-30min later the stocks is 1-2 points higher than when I bought it. I look at the volume, it doesn't show any significant buying whatsoever. In some cases, there's practically 0 volume from where I bought and hit out. This seems to be a reoccurring theme especially with the lower volume stocks.

For example, with CSCO, I find it behaves much better. The bids are real, and they don't tend to lift on and off within a microseconds. And by low volume, I mean it trades less than 60k shares per 5min


Last edited by sterling729; November 18th, 2014 at 12:59 PM.
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sterling729 View Post
Sure, at certain times with low volume stocks, I'll see a bid at 40c. I may put a bid at 41 (even with 10 shares sometimes), and then the bid goes to 42, then I go to 43, and it goes to 44, and so on. I did this to see if there was really an algorithm at play and I didn't have to risk that much money. Eventually, it got to 75c before I was filled. This was just an experiment and I risked $2 to see how price behaved.

But it's not refusal to get filled that's annoying. Many times I'll backtest certain setups, and they work out reasonably well. Then when I trade these setups live (with lower volume stocks), I put an limit buy order in and get filled. The stock trades immediately lower, lower, and lower, until finally I hit out. 5-30min later the stocks is 1-2 points higher than when I bought it. I look at the volume, it doesn't show any significant buying whatsoever. In some cases, there's practically 0 volume from where I bought and hit out. This seems to be a reoccurring theme especially with the lower volume stocks.

For example, with CSCO, I find it behaves much better. The bids are real, and they don't tend to lift on and off within a microseconds. And by low volume, I mean it trades less than 60k shares per 5min

I don't think that is HFT so much as the market makers.

It is hard to find the Truth when you start your search with a preconceived notion of what the Truth will be.
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HFT stands for High Frequency Trading. Usually a computerized trading algorithm. So lets use a tiny bit of logic.
If a stock was being manipulated by HFT would it have low volume?

My personal view is if you are a technical trader you should not trade low volume stocks.

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AJStanbridge View Post
Seems that HFT gets the finger pointed at it for just about every adverse move in any traders experience these days. If you think about it, if HFT were really trying to hit traders for a few extra hundredths on the bid/offer then there should be as many traders beneficially assisted as there are those adversely impacted.

HFT in essence is a set of front-running techniques used to gazump large orders which under current SEC regs must be split and met at best price across all exchanges trading the underlying. In the extremely low probability event of you choosing to place your trade at exactly the same time as an institutional sized package hits the market, then yes, you can probably claim to have been done in by an HFT algo. But the probabilities are low and you can take solace in the fact that you are just as likely to get a lift as a hit on that basis, plus, it wasn't aimed at you personally.

Itís equally unlikely your broker will be playing with the bid/offer just for your 10 shares as he will be exposing himself to a counter move with real size if heís way out of whack, heíll get seriously and quickly arbed. It just wouldnít pay him to do it.

But your hypothesis that trading higher liquidity instruments offers a better deal is generally correct.


I assume you really mean "and" and not "but" in your last sentence. Nothing you wrote before that would contradict what I wrote. I simply pointed out that if a stock was being traded "frequently" it would not have low volume.

As far as I can tell we completely agree

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