Webinar: Telvent DTN / Nanex High Frequency Trading (HFT)

July 23rd, 2012, 07:24 AM

samurai

Having just read Patterson's book, I found this webinar both timely and extremely informative.

I wish I had been able to catch it live.

I hope we have more webinar's like this one.

Thanks to Big Mike for such great webinars!

Samurai

I just bought "Broken Markets: How High Frequency Trading and Predatory Practices on Wall Street are Destroying Investor Confidence and Your Portfolio" Kindle version on Amazon for $0.00! The webinar also referred to this book.

Not sure if this has anything to do with my own personal account but I was very surprised and delighted to get such a bargain. Maybe others could benefit? Maybe book is being supported to help sell it??

Yes, a great topic and webinar. Thanks Mike.

Richard
Hong Kong

July 23rd, 2012, 02:29 PM

Thanks for posting, I just downloaded it ! The webinar was great, I think one of the best!

July 24th, 2012, 02:02 PM

Just watched the webinar, one of the most interesting posted on futures.io (formerly BMT).

Lack of transparency as well as slower speed and other disadvantages, increasingly make day trading a losing proposition for the majority of traders.

When short-term retail will die, HFTs will have to eat each other. It'll be a fun time.

July 25th, 2012, 01:32 AM

Anagami

When short-term retail will die, HFTs will have to eat each other. It'll be a fun time.

I don't think retail is the main target of HFTs. So, if they disappear, I don't think they'll be hurting.

I haven't listened to the whole webinar yet. Wish I had been around when it was live. Would of loved to confront them on a few things. While what Nanex is doing is interesting, some of their findings are a reach, imo. Got to hand it to them though. They really are doing a good job at creating free publicity for their products by fanning the flames.

July 25th, 2012, 01:39 AM

HFT lives on retail primarily, based on my understanding, what I've read, and the answers I've received from those I've talked to.

Sent from my Transformer Prime TF201 using Tapatalk 2

July 26th, 2012, 09:27 PM

Big Mike

HFT lives on retail primarily, based on my understanding, what I've read, and the answers I've received from those I've talked to.

Sent from my Transformer Prime TF201 using Tapatalk 2

I respectfully disagree. Unless you are talking internalization HFTs, the volume coming from retail traders is so small these days, that HFTs main source of income is coming from everything else. If retailers completely left, you may see internalization take a huge hit, but your average HFT firm won't be hurt.

I could be completely wrong of course. However, I think I read some data not too long ago about retail being such a small part of the overall volume. And when you consider HFT is probably doing at least 50% of the (equity) volume, it seems like HFTs are already trading off each other and institutional traders.

If you or anyone has figures handy of how much of the volume is composed of retailers, I'd be interested in seeing it since I cannot seem to find the source right now.

July 26th, 2012, 09:37 PM

lookOutBelow

I respectfully disagree. Unless you are talking internalization HFTs, the volume coming from retail traders is so small these days, that HFTs main source of income is coming from everything else. If retailers completely left, you may see internalization take a huge hit, but your average HFT firm won't be hurt.

I could be completely wrong of course. However, I think I read some data not too long ago about retail being such a small part of the overall volume. And when you consider HFT is probably doing at least 50% of the (equity) volume, it seems like HFTs are already trading off each other and institutional traders.

If you or anyone has figures handy of how much of the volume is composed of retailers, I'd be interested in seeing it since I cannot seem to find the source right now.

Watch the HFT webinar on futures.io (formerly BMT), and let me know if you change your mind. I think you will.

Mike

July 27th, 2012, 04:34 AM

Big Mike

Watch the HFT webinar on futures.io (formerly BMT), and let me know if you change your mind. I think you will.

Mike

I've watched half of it. I'm still trying to find time to finish the rest. Do they (Nanex guys) specifically talk about how much is retail volume?

I asked a guy today at the office about the retail percentage. He told me that the last he heard, institutional traders made up 96% of the daily NYSE market volume. I'm trying to track down the paper I read recently about the equity market volume breakdown, but it had similar findings if I remember correctly. Considering that HFTs make up 50-65% of the daily volume alone, you can image institutional can be at least 30%. That doesn't leave much for retailers.

I work at a small HFT firm. The feeling around here has always been that if retailers suddenly stopped trading, it wouldn't affect us much. If at all. I guess it doesn't really matter. There will never be a lack of retailers. The ones that get fed up by market hijinx will be replaced by others that have dreams of striking it rich.

July 27th, 2012, 05:53 AM

>HFT lives on retail primarily, based on my understanding, what I've read, and the answers I've received from those I've talked to.<

Respectfully, I'm with Lookoutbelow and others who do not believe HFTs are reliant on retail traders. Just a little thought on topic should tell you that it does not make sense and more likely sour grapes talk. Retailers can only be 10% at best, which equals a small amount to feed on.

But there must be plenty of mediocre traders working for institutions (as well as for HFT firms) who do no better than the average retailer, so they are the real source of good HFT firms food. Mediocre traders do dumb things just like other average human being traders. Good HFTs feed off human psychology traits so plenty to eat there within the professional side.

Any retail trader who is a little better than these mediocre types has an edge, so all is not lost.

For anyone interested in following the (negative) impact of HFTs on market, and for truly excellent premarket info every day (plus good refererence S&R levels on S&P and main stocks), go here:

Premarketinfo.com

I think a webinar with those two guys would balance the HFT arguments very well. Most valuable. Some videos showing dumb HFT algos at work here so don't naively think the HFTs rule. Some are responsible for breaking the current market with their incompetent and 'Wild West' unregulated programming.

Richard
Hong Kong

July 27th, 2012, 06:48 AM

I asked Eric @nanex a few things, and here is part of his response:

Quoting

First, there's no way to know exactly the percentage of retail order flow from looking at the data. And what we specialize in is looking at the data and spotting trends or anomalies. However, a study we just put out, looked at trades executed at sub-penny prices, and most of these cases likely involved a retail order on one side of the transaction. The last chart here: Nanex ~ 26-Jul-2012 ~ Salami Slicing Sub-Penny Style shows about 8% of trades were executed at sub-penny prices.

So retail is probably 10% of all orders. But those orders are so valuable to HFT -- think of them as the low hanging fruit -- that firms like TD Ameritrade sell them for 20 cents per 100 shares to wholesalers (internalizers).

NYSE's new retail order pilot - due out next week - is in response to competition for this retail order flow. They are obviously concerned about retail orders.

So although retail might be 10% of all orders, those orders are the most valuable to HFT and their absence would absolutely cause a contraction in the number of HFT firms.

He also said:

Quoting

HFT's primary bread and butter is retail. But like a kid with a new BB gun, HFT will target anything.

I've emailed Scott Patterson as well, perhaps we can hear his voice on this discussion as well.

Mike

Webinar: Telvent DTN / Nanex High Frequency Trading (HFT)

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Webinar: Telvent DTN / Nanex High Frequency Trading (HFT)