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The Wall Street Code


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The Wall Street Code

  #31 (permalink)
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Andrewt View Post
Wow, What the hell are we up against. Rigged axchanges and Algorithms OMG, More for the argument of take the lot of the table and dont HOLD too long. You just never know when they will run the market against you.
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ANdrew

It still applies mostly to the equities market, and not futures.

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  #32 (permalink)
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Andrewt View Post
Wow, What the hell are we up against. Rigged axchanges and Algorithms OMG, More for the argument of take the lot of the table and dont HOLD too long. You just never know when they will run the market against you.
Lots of Luck
ANdrew

Um,...personally my takeaway is the complete opposite. Hold longer. Do not scalp if you're a retail trader sitting at home without the type of understanding, expertise and technology discussed in the film.

Hold longer.

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  #33 (permalink)
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DarkPoolTrading View Post
Um,...personally my takeaway is the complete opposite. Hold longer. Do not scalp if you're a retail trader sitting at home without the type of understanding, expertise and technology discussed in the film.

Hold longer.

I'm with you. No one is 'up against' a malicious algo unless you're competing for the same opportunity. Most traders are concerned with obtaining liquidity and HFT charges a slight premium for providing it in most cases. People are quick to grab their pitch forks and join the angry mob when "high frequency" enters the discussion, most of it is just how markets are made now. That being said more transparency wouldn't be bad either.

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  #34 (permalink)
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conorcoen View Post
No one is 'up against' a malicious algo unless you're competing for the same opportunity.

A more technical presentation by Bodek (posted in another thread before, now below) makes it clear how wrong that statement is. A detailed example of how a long term trader gets fleeced by HFT is provided. In short, through a combination of several exploits, HFT detected the order after it came in and still jumped ahead, effectively front-running the long term trader.


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  #35 (permalink)
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Outlier View Post
A more technical presentation by Bodek (posted in another thread before, now below) makes it clear how wrong that statement is. A detailed example of how a long term trader gets fleeced by HFT is provided. In short, through a combination of several exploits, HFT detected the order after it came in and still jumped ahead, effectively front-running the long term trader.

It's a great video, but Bodek lost out simply because he was trying to outdo other HFT players and didn't know about the special orders, a lack of domain knowledge.

The 'long term' trader should be looking for a move of (e.g.) 0.50 - 5.00, not a move of 0.01, otherwise there's a big misuse of terms going on. Like many others I think the whole HFT thing is overplayed unless naive retail or dumb institutions are trying to compete on the wrong playing field.

Issues of liquidity provision and withdrawal are another matter of course.

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  #36 (permalink)
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ratfink View Post
The 'long term' trader should be looking for a move of (e.g.) 0.50 - 5.00, not a move of 0.01, otherwise there's a big misuse of terms going on. Like many others I think the whole HFT thing is overplayed unless naive retail or dumb institutions are trying to compete on the wrong playing field.

Regardless of how large a move the long term trader is looking for, he still has to enter and exit the trade. That's where he gets his frictional costs increased through unethical means in the example given.

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  #37 (permalink)
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@artemiso, stop deleting your posts after you post them. You are abusing the edit feature.

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  #38 (permalink)
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Big Mike View Post
@artemiso, stop deleting your posts after you post them. You are abusing the edit feature.

Mike

I'll try to keep this in mind too as I'm a culprit as well and didn't know it was bad per se. By edit feature are you just referring to the ability to delete the post or are you suggesting something else like editing a post after it has been posted?

Just to clear things up, I assume you have the ability to read deleted posts right?

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  #39 (permalink)
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This film was so biased, it was ridiculous. I don't know anything about Haim. Although I can tell you that those order types (HNS) were not secret. They were filed with the SEC (and the subject of several news articles) in 2009 and were and still are available at their website. Long before the problem he had. I suspect his edge was disappearing regardless of HNS.

As far as Nanex. Anything said needs to be taken with a grain of salt. They are taking aggregate (SIP OF ALL THINGS) data and making wild assumptions about individual trading, something they have no access to. Any person or company with a disagreement with his findings are attacked relentlessly with anything but facts. On twitter, he is constantly asking HFTers to defend against his assertions. Meanwhile, he blocks all means of communications over social media with those that take him up on the offer.

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  #40 (permalink)
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Outlier View Post
A more technical presentation by Bodek (posted in another thread before, now below) makes it clear how wrong that statement is. A detailed example of how a long term trader gets fleeced by HFT is provided. In short, through a combination of several exploits, HFT detected the order after it came in and still jumped ahead, effectively front-running the long term trader.


The HNS order had price priority all along, it didn't "jump" the queue.


Big Mike View Post
@artemiso, stop deleting your posts after you post them. You are abusing the edit feature.

Mike

I feel that most of my posts don't make a difference to this thread; just deleting the unnecessary ones to increase the signal-to-noise ratio.


lookOutBelow View Post
This film was so biased, it was ridiculous. I don't know anything about Haim. Although I can tell you that those order types (HNS) were not secret. They were filed with the SEC (and the subject of several news articles) in 2009 and were and still are available at their website. Long before the problem he had. I suspect his edge was disappearing regardless of HNS.

As far as Nanex. Anything said needs to be taken with a grain of salt. They are taking aggregate (SIP OF ALL THINGS) data and making wild assumptions about individual trading, something they have no access to. Any person or company with a disagreement with his findings are attacked relentlessly with anything but facts. On twitter, he is constantly asking HFTers to defend against his assertions. Meanwhile, he blocks all means of communications over social media with those that take him up on the offer.

Absolutely. Another issue is that "HFT" is such a vague term that no one even knows whom he is referring to. (If you've read my posts, you'd notice that I very rarely use the term.) No one is going to step up to defend the group if they don't know that they're actually associated with it. To demonstrate my point, here's a recent example where he outed Chopper Trading's fines for excessive order modification:

Nanex ~ 29-Nov-2013 ~ Excessive Order Modifications

Quite honestly, everyone in Chopper Trading is capable of making 2000 cancellations in a second, including the click trader who joined for only a few months. However, Chopper has many mediocre manual traders and really only has 3 automated trading teams, and only 1 of those 3 pursues opportunities on a short time scale and would truly qualify as "fast" in my opinion (by the way, only this team is staffed fully by PhDs).

Placing excessive order cancellations is such an amateur mistake that I'm certain that the people on that team wouldn't make, so my best guess is that the mistake originated from either of the 2 other teams. So Nanex is really attacking the activities of ordinary automated traders like Tom, Dick and Harry, who are using Multicharts or something.

To put things in perspective, Chopper's "HFT" team is very fast, but still mediocre.

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