# High-frequency trading



## SuperGlue (12 November 2009)

An article in "The Age" on Nov. 6

TO SOME, it's the geeks' revenge. ''These are the guys who can calculate 42 times 832 in their heads,'' says one insider. To others, it's the dark side of sharemarket trading - proof that the dice are loaded against the average investor.

However you look at it, it's being used to great effect to get filthy rich. Quickly. They're the new breed of derivatives traders - they have no clients, trade their company's own money using high-powered computer programs such as F1 - Formula One, so-called because it's so fast - based on top-secret algorithms.
......................
...........

And the advent of super-fast computers and programs have given rise to high-frequency trading where the game is outrunning other investors, humans and computers, giving rise to a ''technological arms race''.

..............
..................

High-frequency traders test market prices by issuing buy or sell orders that can be withdrawn in milliseconds, giving traders an idea of the market's willingness to trade at those prices.

They can also earn tiny profits millions of times over from rebates provided by exchanges for being a market maker, or willing to buy and sell when there is a shortage of other traders.

Incredibly, in its first full year, Tibra turned a profit of $14 million. The following year it made a profit of $57 million. And accounts just lodged with ASIC show that despite the global financial crisis, Tibra posted a $77.5 million profit last year.

Revenue nearly doubled to $271 million. Between them, the salaries of the six key executives tripled to $6.8 million............

--------------------------------------------------------------------

An interesting read for the day & more challenging times ahead for of us.

The age of super programmers is here.

TH is a natural born high frequency trader, but this is super.

For the complete article go to:
http://www.theage.com.au/business/lightningfast-buck-20091105-i0bw.html


Happy trading


----------



## skyQuake (12 November 2009)

Optiver v Tibra has been going on a fair while in the Supreme court. Fascinating story involving backstabbing, stealing code, court battles, anguish and triumpth in the face of adversity etc.. (Really)


----------



## SuperGlue (12 November 2009)

I assume they have a direct link to the exchanges, if not what is their brokerages/commissions are like & still manage to make millions.

Must be a  very secertive programming code, highly paid programmers.

Lot of tiny profit from their bracket orders & possibly manuplitating the market ???


----------



## CADTRADER (21 April 2011)

SuperGlue said:


> An article in "The Age" on Nov. 6
> 
> TO SOME, it's the geeks' revenge. ''These are the guys who can calculate 42 times 832 in their heads,'' says one insider. To others, it's the dark side of sharemarket trading - proof that the dice are loaded against the average investor.
> 
> ...




HFT is has been great for daytrading the U.S. markets since it drives commision down and liquidity/intraday volatility up. HFT only makes sense if you can get .00025 commision per share or lower. There are many companies in canada/usa that have a great setup for active daytraders but can someone please direct me to a good Aussie company that provides a service for high frequency daytraders desiring to trade the ASX?

Kind Regards


----------



## Punta (9 August 2012)

Here's an interesting article that came through the yahoo tws api group.

http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/

It includes the quote “By the time the ordinary investor sees a quote, it’s like looking at a star that burned out 50,000 years ago,”  

My algos only consider traded prices, and trade at much lower frequencies (at least 5-second bars), so this quote stuffing etc doesn't seem particularly relevant for me, but I think if I were trading DOM, I might feel put out...


----------



## Trembling Hand (9 August 2012)

Punta said:


> Here's an interesting article that came through the yahoo tws api group.
> 
> http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/




Was going to post this as well. Reasonable read. Certainly better than the cr@p Kohler wrote a few months ago.



Punta said:


> It includes the quote “By the time the ordinary investor sees a quote, it’s like looking at a star that burned out 50,000 years ago,”
> 
> My algos only consider traded prices, and trade at much lower frequencies (at least 5-second bars), so this quote stuffing etc doesn't seem particularly relevant for me, but I think if I were trading DOM, I might feel put out...




If its in the order book you can hit it. Simple as that.


----------



## Timmy (9 August 2012)

Punta said:


> http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/
> 
> It includes the quote “By the time the ordinary investor sees a quote, it’s like looking at a star that burned out 50,000 years ago,”
> 
> My algos only consider traded prices, and trade at much lower frequencies (at least 5-second bars), so this quote stuffing etc doesn't seem particularly relevant for me, but I think if I were trading DOM, I might feel put out...




Thanks Punta, hadn't read that article. 
I was expecting the standard attack on HFT, fear-mongering etc., but it wasn't too bad at all.


----------



## Timmy (9 August 2012)

TH beats me to the first reply to Punta. 
You using some evil HFPosting algo TH?


----------



## Trembling Hand (9 August 2012)

Timmy said:


> TH beats me to the first reply to Punta.
> You using some evil HFPosting algo TH?




lol. Yeah.......same one I'm using to lose money on the HSI


----------



## cogs (16 August 2012)

And yet another current audio on HFT brought to light by the knight event. Click on Windows Media, MP3 etc to listen. The last 1/3 is mainly unrelated.

http://www.financialsense.com/finan...ic-hunsader/hft-trading-and-knight-securities

Well worth listening to. I particularly like the comment about the guy who's occupation is purely to stop hunt and makes millions.


----------



## Joules MM1 (16 August 2012)

cogs said:


> And yet another current audio on HFT brought to light by the knight event. Click on Windows Media, MP3 etc to listen. The last 1/3 is mainly unrelated.
> 
> http://www.financialsense.com/finan...ic-hunsader/hft-trading-and-knight-securities
> 
> Well worth listening to. I particularly like the comment about the guy who's occupation is purely to stop hunt and makes millions.




man, sounds like a whinge fest .......ranting about a machine that might or might not beat an at-market order by a penny is dumb-az, i mean, what difference does it make if its a person or a machine, ya got beat, it's an auction! some of the comments are beyond stupidity......Knight screwed up and no relation to any other things theyre trying to gel together to make the anti hft case........sounds similar to some of the whinges made by ex floor traders against screens.......

"a machine steps in front of customers order and the investor misses out bya hundredth of a penny".......well, duh! so if the customer missed out by a $ .....wot then?

the auction hasnt changed, wot has changed is the way some participants execute but they still have to execute through the same rout, theyre faster like, ya know, how those telegraph upstarts beat the landmail (by railway) would beat the investor to bargain prices back in, oh, was it 1812.....then the ticker tape beat the pigeon.......then the screen trader beat the floor phone/hand signal......

and here's another misleading presentation:

http://www.youtube.com/watch?v=GAGaReF9LaI&feature=plcp

what this guy does is to use the viewer as a witness, get the witness to agree via specific hooks and then the witness makes an emotional connection via abstract logic because most of the logic has nothing to do with what the presenter wants the witness 'see' ......some tosser in France made several million dollars out of hood-winking readers with an infamous book that 'proved' the US governement bombed it's own buildings in its own country.......numpty


----------



## skc (16 August 2012)

Joules MM1 said:


> the auction hasnt changed, wot has changed is the way some participants execute but they still have to execute through the same rout, theyre faster like, ya know, how those telegraph upstarts beat the landmail (by railway) would beat the investor to bargain prices back in, oh, was it 1812.....then the ticker tape beat the pigeon.......then the screen trader beat the floor phone/hand signal......




Exactly the logic I was thinking about. 

Back in 1800s when one has to place an order with the broker in person or by mail, some "High frequency traders" decided to "reduce their latency" by living nearer to the exchange. But how do these HFTs get an advantage over the average investor? May be they see a rich man walking down the street towards the exchage, and guessed that this rich man is going to buy $1m in XYZ. But that'd be only a guess. If the HFTs bought up XYZ, yet the richman was going to sell them instead, the HFTs lost. It is just speculation / risk taking, which is what everyone is doing in the market.

Unless of course, the rich man decided that he would yell "I am buying $1m XYZ, and I don't care at what price" while walking towards the exchange... which is practically what the lazy fund managers do these days. They don't do a good enough job executing their buy / sell orders, and they cry foul that others are reacting faster than them. 

Totally pathetic.


----------



## notting (16 August 2012)

skc said:


> Unless of course, the rich man decided that he would yell "I am buying $1m XYZ, and I don't care at what price" while walking towards the exchange... which is practically what the lazy fund managers do these days. They don't do a good enough job executing their buy / sell orders, and they cry foul that others are reacting faster than them.
> 
> Totally pathetic.




Reminds me of our wonderful future fund Manager. * Mr David Murray.*  "You idiots running Telstra, I'm gonna sell almost all my stake." Every shorter in the universe jumped in.  He then sold our future at the bottom.  What a star!


----------



## Trembling Hand (27 August 2012)

here is another really really poor piece of hogs wash from some uneducated Muppet!!

http://www.theage.com.au/money/share-wars-how-the-robots-are-robbing-you-20120825-24t4t.html



> Often you'll see trades of a single share where the brokerage costs more than the stock. The computer is sussing out prices, forcing you to pay more - or get less if you're selling - than what your online broker's screen says.


----------



## skyQuake (27 August 2012)

Trembling Hand said:


> here is another really really poor piece of hogs wash from some uneducated Muppet!!
> 
> http://www.theage.com.au/money/share-wars-how-the-robots-are-robbing-you-20120825-24t4t.html




I just read that crap



> A variation on this is a tactic employed overseas, and possibly already tried here given the glitches the ASX system has periodically, which is swamping the exchange's computer with multiple single-share orders to slow down the system




hilarious


----------



## skc (27 August 2012)

Trembling Hand said:


> here is another really really poor piece of hogs wash from some uneducated Muppet!!
> 
> http://www.theage.com.au/money/share-wars-how-the-robots-are-robbing-you-20120825-24t4t.html




I can't believe the large institutions pay a lower commission rate! That is such an unfair advantage... they should be banned. The share market is here so retail punters with small capital, limited research skills and absence of rationality can make money without any risk. How dare they take away this undisputed right of the average bloke.


----------



## tech/a (27 August 2012)

> To the extent speed traders dominate trading, a stock can stay fundamentally out of whack for a long time.







> Dollar-cost average when buying to avoid price swings








> Don't be fooled by big price swings in a day ”” they mean nothing any more.








> Avoid high-volume mining stocks.
> 
> ■Consider lower-volume smaller stocks




Genius.


----------



## Trembling Hand (27 August 2012)

tech/a said:


> Genius.




And he is the PERSONAL FINANCE *EDITOR *at Fairfax Digital.  Hmmmm,


----------



## Joules MM1 (27 August 2012)

Trembling Hand said:


> here is another really really poor piece of hogs wash from some uneducated Muppet!!






Trembling Hand said:


> And he is the PERSONAL FINANCE *EDITOR *at Fairfax Digital.  Hmmmm,




Potts, Kholer and Greenwood 

Editor in Chief for Business Spectator

Channel Nine's business and finance editor

PERSONAL FINANCE EDITOR

.........hmmmmmmm ....all editors, no traders, no clues.......sez it all really


----------



## Julia (6 September 2012)

No idea what this will be like, but the program usually is high quality.  ABC Radio National.



> This week on Background Briefing:
> 
> 
> ATTACK OF THE ALGORITHMS
> ...


----------



## pixel (6 September 2012)

Here you can have your say:
http://events.miraqle.com/PPR-Market-Survey/Surveys/HFT/

it's an anonymous Survey of sentiment among retail investors/ traders about algo/ HFT
Doesn't take long - I've just completed it.


----------



## Trembling Hand (6 September 2012)

pixel said:


> - I've just completed it.




What was your general view? Good/bad or irrelevant?


----------



## pixel (6 September 2012)

Trembling Hand said:


> What was your general view? Good/bad or irrelevant?




it's good that they finally have a survey to gauge ppl's views.
But I'm skeptical about its effectiveness - unless the results "suit" the Big Players, it'll remain irrelevant.


----------



## Joules MM1 (6 September 2012)

pixel said:


> it's good that they finally have a survey to gauge ppl's views.
> But I'm skeptical about its effectiveness - unless the results "suit" the Big Players, it'll remain irrelevant.




i think it's an inadequate survey.....comments section at the end is probably the best part and should be added to all the questions, if nothing else, to highlight the wide ignorance of algo/hft's especially after the idiot tv heads have hammered in ideas that are


----------



## CanOz (7 March 2014)

*High-speed trader Infinium Capital winds down -president*

(Reuters) - High-speed trader Infinium Capital Management has stopped trading and is working to wind down the company after struggling with financial problems, President Mark Palchak told Reuters on Thursday.

The closure of Infinium, which was founded in 2003, reflects pressures on high-speed trading firms stemming from increased competition and regulatory oversight, low interest rates that have hurt volume and volatility, and the uncertain global economic recovery.

Currency broker FXCM Inc and a subsidiary have acquired five trading desks, physical assets and 48 employees from Infinium to start a new joint venture, V3 Markets, Palchak and FXCM said. Palchak is chief executive of the new company.

V3 Markets will operate with a "streamlined cost structure" compared to Infinium, FXCM's chief executive, Drew Niv, said on a conference call after the company reported quarterly earnings.

"We are in the early stages of clearly rebuilding a business that is in need of a greater degree of risk supervision than it had in its prior life," he said.

Infinium had been among the higher-profile electronic trading groups and was a household name among Chicago traders. The firm traded in commodities, energy and other markets.

A favored tool of hedge funds and other institutional traders, high-speed trading uses algorithmic software programs to post orders in the blink of an eye.

By acquiring assets from Infinium, FXCM and subsidiary Lucid Markets Trading are able to expand into commodities and other markets, diversifying their exposure to volatility, Niv said.

"With the crazy weather we're having and Russian tanks roiling agriculture and energy markets, sparking massive volatility in those products, financial instruments like G10 currencies are completely unmoved and remain near record-low volatility," he said.

"As Lucid implements its risk controls and other trading smarts into the V3 infrastructure, we will be dialing up trading to take advantage of these uncorrelated volatilities."

The total price for Infinium's assets was not disclosed. It included approximately $11.9 million owed by Infinium to FXCM, according to the brokerage.

Financial problems at Infinium date back years, according to a lawsuit filed against the firm in January in U.S. District Court in Chicago. The firm lost $6.6 million in 2012 and $6.1 million from Jan. 1 to July 31, 2013, court documents say.

Infinium last year shed a number of employees, including its chief operating officer, and one of its co-founders came out of retirement to lead the firm.


----------



## Trembling Hand (7 March 2014)

Yep on to the next thing for people to blame for 'their' stocks being manipulated. 


Futures day traders haven't had it in a while.... must be their turn.


----------



## nulla nulla (7 March 2014)

Trembling Hand said:


> Yep on to the next thing for people to blame for 'their' stocks being manipulated.
> 
> 
> Futures day traders haven't had it in a while.... must be their turn.




That's interesting. I heard one of the Australian High Frequency trading firms has reduced their staffing levels and sold off surplus computers, screens etc.


----------



## CanOz (7 March 2014)

Trembling Hand said:


> Futures day traders haven't had it in a while.... must be their turn.




Actually its kind of interesting, since that energy firm was charged with spoofing CL, the spoofing on the DAX, in the form of 100 lots has seemed to go away, now they spread out their orders and just 'bulk' up the book.


----------



## skc (2 April 2014)

Michael Lewis's new book on HFT stirring up plenty of interests.

http://www.afr.com/p/business/finan...ight_erupts_over_lewis_lz2DDV4SlG5PW0D9IE5IHM



> Televised fight erupts over Lewis’s high-frequency trading book
> 
> Best-selling author Michael Lewis has yet again roiled the market with an expose of trading on Wall Street. WILLIAM ALDEN
> 
> ...




Google "Flash Boys" and CNBC if you can't access the article.


----------



## kid hustlr (2 April 2014)

skc said:


> Michael Lewis's new book on HFT stirring up plenty of interests.
> 
> http://www.afr.com/p/business/finan...ight_erupts_over_lewis_lz2DDV4SlG5PW0D9IE5IHM
> 
> ...




I Havent had time to look closely at it although I saw a couple of the videos from CNBC on ZH this morning.

Someone want to give a summary of the major issues here?

Are people complaining about trying to get front of the queue (aka classic scalping/no risk trades) or is there more to it than that? 

Looked like one of the videos I watched was talking about brokerage firms selling information to high speed algo firms letting them know what stocks they'll be purchasing so they can front run them?? That sounds pretty below board to me ?!?!!


----------



## skc (2 April 2014)

kid hustlr said:


> I Havent had time to look closely at it although I saw a couple of the videos from CNBC on ZH this morning.
> 
> Someone want to give a summary of the major issues here?
> 
> Are people complaining about trying to get front of the queue (aka classic scalping/no risk trades) or is there more to it than that?




I only had a quick look and it appears just the same old accusations... front running (through pattern detection), multi-exchange arb etc. Michael Lewis has been a best selling writer though, so it's getting some airtime.



kid hustlr said:


> Looked like one of the videos I watched was talking about brokerage firms selling information to high speed algo firms letting them know what stocks they'll be purchasing so they can front run them?? That sounds pretty below board to me ?!?!!




Don't know but if they do find something like that then it's more a white collar crime rather than an issue with HFT.


----------



## sir elements (2 April 2014)

There was a 60 Minutes segment on this issue aired in the US.

http://www.cbsnews.com/videos/is-the-us-stock-market-rigged


----------



## notting (2 April 2014)

A little elaboration!!

[video]http://www.cnbc.com/id/101544772[/video]


----------



## CanOz (2 April 2014)

notting said:


> A little elaboration!!
> 
> [video]http://www.cnbc.com/id/101544772[/video]




Thanks for that Nots.

Entertaining....


----------



## DeepState (25 July 2014)

Just observed some algo action during trade on a modest liquidity ticker I was still offloading today.  It was a join and cross routine.

I initiated a screen position narrow on the offer.  Within microseconds (well, I can't tell...but it was as soon as I saw my order hit the screen) two offers joined me on the lower level.  Then, a bid crossed to take out part of my position and when that particular order completed, orders jumped the spread within microseconds (can't see the difference on the time stamp) and took out some of the bid queue but leaving enough there to encourage the market to re-load.  

Faster than the blink of an eye or the flap of a butterfly wing. Looking at the net house summaries, two major brokers are the axes.  Both are fairly balanced.  Dunno what's going on.  Just sitting on the order book watching the world go by.

Happens all the time, but it doesn't lose its fascination for me.


----------



## kid hustlr (25 July 2014)

do you mean only part of your order got filled and then they are able to cross up thier orders?

that seems dodgy/wrong?

OR

do you mean a bid went up hit you, therefore the guys looking to cross where now front of the queue so they quickly crossed each other (which seems fine?)


----------



## DeepState (25 July 2014)

kid hustlr said:


> do you mean only part of your order got filled and then they are able to cross up thier orders?
> 
> that seems dodgy/wrong?
> 
> ...




I don't think anything dodgy occurred.  Here's the ticket for the tranche I am referring to.  It was just part of my order for the day and part of a campaign which has been going for a few weeks.  I was just watching at the time.




At 14:57.54 I appear on the Offer with 15k @ 1.735.  I was narrow to the offer, so I had queue priority.  See two further random number trades of 15,995 and 17,435 also appear within hundredths of a second.  Probably not luck.

At 15:01.40 My order receives a partial fill for 4,560 @ 1.735.

At the same time (indistinguishable time difference), a bunch of trades cross the spread, jumping over my order and filling at 173.0.  Those offers into the printed bid do not take out the line.  Offering an opportunity to re-load at that price.  Sure enough at the same instant (again indistinguishable time) 31,765 appears on the bid at 173.0. It's been fished out. But time is given to reload before hitting the bid again (and getting another instant re-load). The tango of hit the bid on reload continues as it did previously.  


The balance of my order completed later in the day for this parcel and another that was outstanding at the time at a more favourable price.


This stuff goes on all the time and has been in action for a while, albeit with increasingly sophisticated algo.  Still, it's a thing of beauty when tame.


----------



## Wysiwyg (26 July 2014)

DeepState said:


> Looking at the net house summaries, two major brokers are the axes.  Both are fairly balanced. Happens all the time, but it doesn't lose its fascination for me.



Just wondering where I can access the house summaries that show who trades (e.g. two major brokers) please? 



DeepState said:


> Dunno what's going on.  Just sitting on the order book watching the world go by.



Plying an edge via induced buying or selling.


----------



## DeepState (26 July 2014)

View attachment 58818


Wysiwyg said:


> Just wondering where I can access the house summaries that show who trades (e.g. two major brokers) please?




I get net house summaries off FactSet.  These should be available via other portals with a 3-day lag as this is permissible in the market.  I used to get them via IRESS back in the day. However, it is clearly not available via all of them or you would not be asking.


----------



## skyQuake (26 July 2014)

IRESS still provides said data.

Part1 shows which brokers dealt in your stock of choice (1day delay), whereas part2 shows buys/sells (3day delay)


----------



## Wysiwyg (26 July 2014)

Thank you gents. The who's who on the Iress list is very interesting to see. Always thought this data was restricted.          Not that big but learning as much as I can so thank you for the help.


----------



## DeepState (26 July 2014)

Wysiwyg said:


> Thank you gents. The who's who on the Iress list is very interesting to see. Always thought this data was restricted.          Not that big but learning as much as I can so thank you for the help.




Welcome.  What is restricted to brokers is the live association.  Brokers can see which broker is associated with each order on the screen.  The idea is to facilitate price discovery and liquidity.  One broker can call another, knowing who is on the screen and watching their activity, and see if they can 'broker' something for each of their respective clients.  IRESS grants different rights depending on who you are.  That stuff would be very useful to a day trader....if...


----------

