Trade ETFs and very high liquid stocks to sidestep HFTs? - futures io
futures io futures trading



Trade ETFs and very high liquid stocks to sidestep HFTs?


Discussion in Stocks and ETFs

Updated
      Top Posters
    1. looks_one deaddog with 2 posts (0 thanks)
    2. looks_two AJStanbridge with 2 posts (0 thanks)
    3. looks_3 mcteague with 2 posts (0 thanks)
    4. looks_4 sterling729 with 2 posts (0 thanks)
    1. trending_up 806 views
    2. thumb_up 0 thanks given
    3. group 4 followers
    1. forum 6 posts
    2. attach_file 0 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Trade ETFs and very high liquid stocks to sidestep HFTs?

(login for full post details)
  #1 (permalink)
Canada
 
Experience: Intermediate
Platform: Metatrader, ToS
Trading: Forex, equities, ETFs
 
Posts: 16 since Oct 2014
Thanks: 0 given, 4 received

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

Started this thread Reply With Quote

Can you help answer these questions
from other members on futures io?
Where can I find Cost to Trade and Book Depth info?
Emini and Emicro Index
Reading A set of Trading Signals
EasyLanguage Programming
ZigZag with Depth and Backstep
EasyLanguage Programming
Cross border fund flows / fx correlations
Treasury Notes and Bonds
COTbase for quant trading?
Elite Algorithmic NinjaTrader Trading
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Selling Options on Futures?
109 thanks
Battlestations: Show us your trading desks!
99 thanks
Rank your Futures vs Stocks trading priority
54 thanks
Want your NinjaTrader indicator created, free?
26 thanks
Whats this confusion with margins?
23 thanks
 
(login for full post details)
  #3 (permalink)
Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 852 since May 2013
Thanks: 131 given, 2,316 received



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?

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
 
(login for full post details)
  #4 (permalink)
Canada
 
Experience: Intermediate
Platform: Metatrader, ToS
Trading: Forex, equities, ETFs
 
Posts: 16 since Oct 2014
Thanks: 0 given, 4 received


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

Started this thread Reply With Quote
 
(login for full post details)
  #5 (permalink)
Market Wizard
Prince George BC Canada
 
Experience: Advanced
Platform: IBs TWS
Broker: IB
Trading: Stocks
 
deaddog's Avatar
 
Posts: 852 since May 2013
Thanks: 131 given, 2,316 received


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.

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
Reply With Quote
 
(login for full post details)
  #6 (permalink)
New York NY USA
 
Experience: Beginner
Platform: esignal, ninjatrader,
Trading: Stocks
 
Posts: 114 since Oct 2012
Thanks: 59 given, 32 received

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.

Reply With Quote
 
(login for full post details)
  #7 (permalink)
New York NY USA
 
Experience: Beginner
Platform: esignal, ninjatrader,
Trading: Stocks
 
Posts: 114 since Oct 2012
Thanks: 59 given, 32 received


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.

It’s 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 he’s way out of whack, he’ll get seriously and quickly arbed. It just wouldn’t 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

Reply With Quote


futures io Trading Community Traders Hideout Stocks and ETFs > Trade ETFs and very high liquid stocks to sidestep HFTs?


Last Updated on December 22, 2014


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Battlestations! Show us your trading desk - $1,500 in prizes!

March
 

Importance of Finding Your Own Way w/Adam Grimes

Elite only
 

Journal Challenge w/Jigsaw

April
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@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