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Can HFTs see my stops?
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Can HFTs see my stops?

  #1 (permalink)
Elite Member
Braselton GA/USA
 
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Can HFTs see my stops?

1) On the ToS "ActiveTrader" ladder, almost every time I set a stop-loss order, the bids and asks re-arrange as if they can see me. I thought that stop orders are not visible until they are activated and become a market order. It's especially noticeable on the ES. I set a stop and it instantly drops a tick. I move it and it moves up a tick. Even on just one contract I notice this. Is it just the HFTs? I know my stop isn't on level II so how can they know? People I've asked scoff at me and say "nobody cares about your 1 contract stop loss". But my question is, how do scanners like TradeIdeas even have an alert for trailing stops % up or down? Could it be that institutions or HFTs have access to TD Ameritrade's order book?

2) I've opened an IB account as well and I see there are options to conceal your order or size intent. By trading on ToS, am I just blindly exposing myself for no reason? Is this why my limit orders are always front ran? Many reviews online state that ToS is best for options trading or longer term investing but not for scalping or day trading. Could they be saying this because of the limited number of order options you have? Other brokers seem to have iceberg orders, fill or kills, hide size, etc.

3) Could someone explain when brokers don't even send your order to the exchanges, they just trade your orders with their own pool of shares? There have been times where I feel like someone at TDA is just buying or selling to and from me privately and I'm not actually trading with the exchange.

I've blown up twice and have had to fund 4 different PDT margin calls and I'm just frustrated. I'm not blaming ToS for my impatience jumping into live trading. I love the platform visually but there's just this suspicious feeling I have that I'm being exposed or taken advantage of. Or perhaps that I'm using the wrong platform for day trading.

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  #2 (permalink)
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I could be wrong as I'm not in the algo space, but I believe they cannot see your stop orders. Most market participants do know where the 'likelihood' of where stops are placed though. Perhaps try setting 'mental' stops instead of placing one in and see how you do. If you don't mind me asking, why did you blow up all those accounts?

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  #3 (permalink)
Market Wizard
North Carolina
 
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Let's use some logic in this, if you are trading on any sort of, real, pattern then it must exist and if it exist then it must be discoverable. If it is discoverable then it is likely others with more resources have both discovered the pattern, have a better understanding of it, and more resources to exploit it. The adversary is not just a single trader but the entire market is hunting your stop loss. Unless you moved your stop at a random time then the behavior of the market may have contributed to your decision. In other words, it is more likely that either the pattern you are using to enter has a predictable negative expectancy or that you are moving your stop as you predict the probabilities to change.

I have seen it many times where I will predict the market to move up or down. I will wait and wait and then at the highest point of uncertainty, right where I might bail, the market will jump or rip straight to my target. Markets move in such a way as to maximize uncertainty. One way around the possibility of being gamed is to set a random timer with a condition. This way your move cannot be predicted in advance. For example, let's imagine you see a pattern that you think should get you out but you know there is a possibility you are being gamed then instead of marketing out, you hit the timer and you exit once the timer goes off (or take another action based on possible conditions).

Specific addressing your questions

1) It is highly, highly unlikely. They do have considerable other types of resources, however. In addition, where big money is involved then gaming (cheating) of any number of types cannot be discounted and should rather be assumed to exist where it is possible. But, in this case the cheating would be difficult and of a different nature then you assume. For example, an insider might could identify the top performing traders and piggy back on them. There might, also, be some advantage in collectively looking at the aggregate statistics but no one would be concerned with your individual account. But by and large, brokers have business model that is antagonistic to cheating because they make their money regardless of whether you win or lose. Scanners like TradeIdeas are simply using the market generated information to look for price excursions.

2) In regards to limit orders on futures, more likely you are experiencing the realities of poor queue position. On a limit order, the orders must trade through your level to get filled whereas the stop just needs to tag the level. So, you are more likely to experience missed limit entries and poor stop fills just for that one reason. These more advanced order types are more relevant for large institutional traders. They aren't going to make any difference at your size. The biggest difference in the brokers is the commission and software support. Some brokers have fees/commission too high for day trading or lack support of software.

3) This would not apply to futures. Some brokers have internalizers and different routing mechanisms for stocks. These traders are trying to get the "order flow" to capture the spread. Because retail traders tend to not be sophisticated, it is safer to capture the spread so some trading firms are willing to quote them a tighter spread. In theory this doesn't disadvantage you at all and might even be an advantage.

If you are really concerned about it then try another broker but it sounds like you are simply not prepared for live trading and the realities of the difficulties involved.


Last edited by tpredictor; July 7th, 2018 at 03:03 PM.
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  #4 (permalink)
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I think the question you should be concerned about is if your Futures Commission Merchant (FCM) is sharing or exposing your live trade activity; or: trading against you and/or a group of customers in which you are a part of.

As far as stop orders, if your platform supports stop orders on the broker's servers (or the exchange's servers), then yes, at least 1 third party (i.e., not you) is aware of your stop order.

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  #5 (permalink)
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Short Answer:

Short Answer: No. Resting stop orders are not exposed as part of the CME data feed. Not even the MBO feed has this.


To your specific questions:

1. The level 2 feed moves thousands of times every second with or without you, so what you are interpreting as a reaction to your order is likely just your imagination. You may be getting lots of toxic fills and this might be why you are experiencing such a poor start to some of your trades. You may even be hitting your stops almost immediately. But this is a combination of 1. Toxic fills due to poor queue positioning, and 2. Setting your stop too close to your entry. The ES uses first in first out rules, there is no skipping in line by anyone, so if you perceive that you are getting front run, or not filled, then the disconnect is that you don't know your real queue position.
2. Iceberg orders only apply to traders with large size, so you won't need this. Retail traders, especially manual traders won't be able to benefit much from any of the more exotic order types. The edges here are only for algo- traders and usually for larger algos.
3. There might be in house order matching at some brokers for some products, but none do this for the ES. You are trading on the exchange with the ES.

I don't know what kind of trading style you are doing, but if you are trying to scalp on the ES you will need a decent speed, and an algo most likely. Manually clicking and coming to the exchange with 500 MS latency off of every order will kill you over time.

Best of luck

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.

Last edited by iantg; July 7th, 2018 at 05:40 PM.
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  #6 (permalink)
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RoboVinhci View Post
I could be wrong as I'm not in the algo space, but I believe they cannot see your stop orders. Most market participants do know where the 'likelihood' of where stops are placed though. Perhaps try setting 'mental' stops instead of placing one in and see how you do. If you don't mind me asking, why did you blow up all those accounts?

Arrogance probably describes why I blew up twice. I started with a $25K account after only a week of paper trading. I was chasing gappers for a month and realized I had nothing left. Funded it again with $25K. This time I thought I could prop the price up of a low float stock, it was like $8 a share or something. I put a large limit order on the book and saw that the price would jump up. I did this all day long and before I could take a profit, it dropped to like $3 before I could even blink. My large "fake" order got filled and I watched a 12,000 share position drop like a brick. I was under the delusion that I could play the same manipulation as the HFTs order spoofing/flashing. I did this order spoofing nonsense twice and that was my second blowup. It's roughly $50,000 lost in a matter of two months (like $8K in commissions). In my personal life, I own a business and I always got very vengeful if I felt like others weren't playing fair (suppliers, competitors, etc). I saw algos, HFTs, and brokers as some kind of dark entity that carelessly went around ruining retail trader's lives. Lastly my 4 PDT margin calls were the result of chasing high of day momentum scanners (Trade Ideas) and trying to trade stocks that gapped up 100% overnight, jumping into the open and having it drop as usual. This has been the most emotionally challenging journey I've ever been on lol, I didn't expect 2018 to be like this for me but I'm trying. I'm really working on not trying to see things as black or white. I got mad and revenge traded away two accounts because I could not understand why a price would drop on good earnings, or why a stock that gapped up 100% would decide to go back to where it started within two hours, or why none of the cups and handles and triangles and trendlines and EMA and SMA and VWAP rules I learned were not being respected (lol). Every day I sat there asking why why why are none of you doing the ascending triangle thing, or the retrace back to VWAP thing, or the double bottom thing. Meanwhile back on YouTube, the VWAP guy's latest video is titled "+ $16,000 trading day today! Time for a new Lambo".

Thank you to everyone who answered my questions, you've helped me a lot. The stop order question is one I've had since the very beginning. Thanks again.

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  #7 (permalink)
Trading Apprentice
Estonia
 
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One thing you got right, you are being taken advantage of.

Big traders are always looking for liquidity. New traders who trade indicators, support/resistance levels provide that liquidity. You and thousand other people who go short on some well known resistance level with quite a tight stop, provide that liquidity for bigger traders who has to fill for examble 10-20k contracts. Thats why you see fake breakouts where your stops are overrun (shorts get trapped). Then people think that resistance level was broken, they must go long, again providing the liquidity needed before price going back down (Longs get trapped). Happens every day.


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  #8 (permalink)
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I would take social media with a pinch of salt. Firstly, totally ignore twitter. 99% of people who make posts there (even with supposed pictures of trades which are usually edited) are scammers. People who are claiming to make 4/5 figures a day and still have time to sell courses for $97, $197 and even $500? Yeah right!! Total scammers. They are there selling courses and high probability, they don't make money from trading...

Most of the people who don't trade live on youtube are also scammers. Some (not all) who claim to trade are on paper so if they have two trades going at the same time on different windows and then they edit the video on Camtasia, how would you know what they are showing you? This is mainly targeted towards the equity traders on social media. So unless you see them trade live pretty much every day, assume they are scammers.


I have heard and read that TOS is not a good platform for fast time frames. I have seen videos from people that shows L2 on TOS lagging compared to other platforms. The reason a lot of people use TOS is that its free. So these people are claiming to make 4/5 figures mostly scalping, a day, on TOS and using a FREE platform?
My understanding is that TOS is reasonably ok for backtesting or for trading longish term NOT scalping. On top of that, the social media super traders are trading low float and/or penny stocks and claiming to make thousands and there are loads of these people trading claiming to trade the same crap stocks. The cars and properties they show are rented/leased. The holidays they show are from selling their courses and services and NOT trading.

My advice - if you are going to scalp or use a fast timeframe use a proper broker such as IB or Lightspeed. Also if you are relatively new, don't trade the first 5 minutes or you will get roasted especially if you are not experienced.
Don't trade earnings just before earnings or at the time of earnings if the earnings are during the market day. Wait for the stock to settle. Even when the market opens after earnings, the first few minutes could kill your account.
Frankly if you are relatively new, you shouldn't be trading more than a 100 shares. 12000 shares?? You are kidding me!

Trade-ideas has its use but don't take it as a do all and end all. Don't use or follow Holly. Most importantly, note that Trade Ideas lets you look at ALL events over the last three months. You should be using that function to back test your strategy before implementing it. You can't rush into something you don't completely understand or you will blow up your account as you have done. Always backtest if you can or don't trade. Stocks that are gapping 100% are penny stocks or illiquid low float stocks. Don't trade anything with less than 500k shares average per day and less than $5.

Only market makers and brokers can see your stops. No-one else can. As has been pointed out HFTs can only guess your stops based on market structure but they have much better resources at their disposal than you do. However these days brokers are also engaged in dark-pooling so they can theoretically send your orders to their own pool of investors and traders where people can trade against you. That's why it's important to use a good broker such as the ones I suggested above.

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  #9 (permalink)
Hi Mom!
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It's time to stop

Whatever


Last edited by TheShrike; July 11th, 2018 at 03:38 AM.
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  #10 (permalink)
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TheShrike View Post
From your posts here you absolutely should not be trading. You need to stop right now and get answers to some basic questions before you even think about proceeding with this. You basically flushed 50k down the toilet ignorantly clicking a video game. Hey, if you've got that kind of money, that's great. If you're actually interested in trading I'd take a step back. That money could have gone a long way to furthering your knowledge.


And no, no one cares about your stops. Retail traders make up a minuscule fraction of trading volume.

Please give me some kind of direction. I wouldn't have come here if I planned to continue "ignorantly clicking a video game". I'll take a step back and trade only 1 contract for as long as I need to, which I've started doing prior to this initial post. Are there any recommendations on data feed/order entry providers you have? ToS is constantly "reconnecting" if I tab out to browse something. My orders are 100% of the time toxic fills. I know it's easy to look at people like me and just say "okay well your entry was wrong anyway". But I know there's something to only using ToS as my broker, data feed, and order entry. I just can't shake the feeling I'm at a disadvantage on top of the fact that I'm new.

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