Alan Kohler's Take on High Frequency Trading

[Starcraftmazter]

I pretty sure I'm as close as it gets to a human HFTer.

HFTing refers to algorithms which make trading decisions quicker than you can read and register in your head the price of a stock order that appears on your screen.

There is no such thing as a "human HFTer".

I know more about HFT by about 100000 times more than you without a doubt.

Mhmmm.

But back to you. I can set you up with unlimited funds and the data to test.

You willing to take up the challenge or you just all talk?

What are we talking about here? More detail.

 

[Trembling Hand]

HFTing refers to algorithms which make trading decisions quicker than you can read and register in your head the price of a stock order that appears on your screen.

There is no such thing as a "human HFTer".



Mhmmm.



What are we talking about here? More detail.

Your point is that its unfair because its not available to anyone. Thats wrong.

I can give you the ASX data and funds to set one up. Therefore disproving your whole stupid point thats its unfair.

Now

1. Do you want the data to make a HFT bot?

2. Then if you can make a profitable one I can get you the funds? Will you get this far?

 

[So_Cynical]

One of the other things that makes Alan Kohler such Muppet is that there is no evidence that those servers are actually being used for HFT.

They are more than likely for hire execution bots doing the work of the same super funds that Kohler is claiming to be robbed.

Then of course they are also even more likely to be Arb bots that have locked the market up intraday since 2008. I'd like to know how Joe Sixpax has anything to be concerned about a bot selling futs and buying equal amount of stocks and holding till expiry.

Then of course beyond that they are even more likely to be Oppy MM bots. And they have every right to be there with the best execution available.

Utter crap article.

Care to comment on those points SCM?

Ill have a go.

From the above it seems you have no idea what those servers are actually doing...the fact that the servers are there and that someone's paying big dollars for them to be there seems to be the only things not in dispute.

What i can surmise from personal experience is that those servers are in all probability worth many 100's of thousands of dollars (hardware) and that any one paying for those main frame servers to be there has committed millions of dollars to that purpose.

Thus would not have them tied up doing low end processes.

 

[Trembling Hand]

Ill have a go.

From the above it seems you have no idea what those servers are actually doing...the fact that the servers are there and that someone's paying big dollars for them to be there seems to be the only things not in dispute.

What i can surmise from personal experience is that those servers are in all probability worth many 100's of thousands of dollars (hardware) and that any one paying for those main frame servers to be there has committed millions of dollars to that purpose.

Thus would not have them tied up doing low end processes.

F'in excatly

which would make them more than likely oppy MM bots not HFT ASX bots where there is so little opportunity.

 

[Starcraftmazter]

Your point is that its unfair because its not available to anyone. Thats wrong.

I can give you the ASX data and funds to set one up. Therefore disproving your whole stupid point thats its unfair.

You would only disprove my point if you make a public and equal offer to everyone in the world.

I will say again, there is not enough physical space in the ASX building to house enough server resources for all, or even a small portion of market participants.

Now

1. Do you want the data to make a HFT bot?

2. Then if you can make a profitable one I can get you the funds? Will you get this far?

It is not merely the data but the precise intervals between every action on the ASX which are important. The only way to emulate this is to have a server along side every single other HFT company in the ASX datacentre. Although I can see no reason why this cannot be simulated, I highly doubt you would have any equipment nor software to do this. You would also need 100% historically accurate records of price action for such a simulator. Do you?

And what data are we talking about exactly? Is it the publicly available data, or the full data precisely as the HFTers see it?

 

[Trembling Hand]

And what data are we talking about exactly? Is it the publicly available data, or the full data precisely as the HFTers see it?

Lets stop wasting everyone's time. You clearly have no idea about system design. No idea about what historical data is available. No idea about what is possible. yet your whole point is that its unfair. yet you simply have no idea whats available let alone who can access it.

Simply you have very little idea about the market,

Summed up perfectly by this utter BS,

Every $1 they make would be someone else's otherwise. Let's say Joe Sixpack buys $100,000 CBA one day for $49, and it trades at $50 a fortnight later. Mr. Sixpax proclaims "yipee" and hits the sell button - but in that period of time, in between when he hit sell and the order is executed by the ASX, a HFT parasite has taken market actions which result in CBA trading at $49.50 - and good 'ol Joe with six kids to feed, and a wife that just won't shut up about a brand new BMW got 50% less profit.

 

[Ves]

It's only unfair because he still has to pay tax, real estate is too over-priced, someone else is making a profit and he isn't, the list is endless...

Sorry if that is a "personal attack" but it is starting to become a very repetitive pattern IMO.

 

[Starcraftmazter]

Lets stop wasting everyone's time.

No, you stop wasting everyone's time and answer the question. Unless of course you don't know the answer because you do not have access to the resources you claim. This would certainly make a lot more sense and would fit in line with your lack of understanding of this topic as you have already demonstrated.

 

[Trembling Hand]

No, you stop wasting everyone's time and answer the question. Unless of course you don't know the answer because you do not have access to the resources you claim. This would certainly make a lot more sense and would fit in line with your lack of understanding of this topic as you have already demonstrated.

OMG you are clueless.

Yes historical Time stamped data of all quotes and trades to 5 levels for asx top 50-100 whatever you need + futs.

By the way I know 1000000000 times more than you lets prove it. You put up 100 trades via statements sent to a mod and I'll do the same. I bet that if you even done 100, which I doubt, you're under water.

 

[Beej]

F'in excatly

which would make them more than likely oppy MM bots not HFT ASX bots where there is so little opportunity.

Ah hah! Someone who actually thinks and starts to have some idea about what is actually going on

 

[Julia]

By the way I know 1000000000 times more than you lets prove it. You put up 100 trades via statements sent to a mod and I'll do the same. I bet that if you even done 100, which I doubt, you're under water.

I don't think we'll be holding our collective breath waiting for SCM's 100 trades.

 

[nulla nulla]

From following this thread since it started it seems Sinner has a good grasp on the topic and has refrained from getting emotional or personal with anyone expressing an opposing view. Algorithmic trading has been arround for several years. The following is a link to an article in the Australian from October 2009:

http://www.theaustralian.com.au/bus...orithmic-trading/story-e6frgac6-1225785175331

And another one in the Financial Review:

http://afr.com/p/business/financial...share_trading_troubles_UZU6ZauYMQ00X86vxdgowK

The following link is to the ASX which give a fairly reasonable but basic overview of Algrithmic trading:

http://www.asx.com.au/products/algorithmic_trading.htm

And it looks like you can buy a software package to develop your own "bot":

http://www.mathworks.com.au/discovery/algorithmic-trading.html

If you google "Algorithmic Trading Companies Australia" the above items come up as well as a host of Employment Agencies looking to recruit experienced staff. It is a big money industry.

There was an article, last year I think, about a legal stoush between two algorithmic trading companies where-in one company alleged that employees left the company, took proprietory software and intelectual property, then set up their own company and went on the make multimillion dollar profits. if I can find the article I will post it.

The reality is that Algorithmic trading is here and if you are trading without it you will just have to live with it and adapt your trading styles. It's a bit like the horse and cart being replaced by the horseless carriage.

 

[Trembling Hand]

From following this thread since it started it seems Sinner has a good grasp on the topic and has refrained from getting emotional or personal with anyone expressing an opposing view. Algorithmic trading has been arround for several years. The following is a link to an article in the Australian from October 2009:

http://www.theaustralian.com.au/bus...orithmic-trading/story-e6frgac6-1225785175331

The following link is to the ASX which give a fairly reasonable but basic overview of Algrithmic trading:

http://www.asx.com.au/products/algorithmic_trading.htm

If you google "Algorithmic Trading Companies Australia" the above items come up as well as a host of Employment Agencies looking to recruit experienced staff. It is a big money industry.

There was an article, last year I think, about a legal stoush between two algorithmic trading companies where-in one company alleged that employees left the company, took proprietory software and intelectual property, then set up their own company and went on the make multimillion dollar profits. if I can find the article I will post it.

The reality is that Algorithmic trading is here and if you are trading without it you will just have to live with it and adapt your trading styles. It's a bit like the horse and cart being replaced by the horseless carriage.

Nulla all those algos that you are talking about including the legal stoush are oppy MM. And therefore have every right to have co-located servers.

Most of those jobs are for Arb bots and execution bots.

NOT HFT bots. Which is my point. I doubt that they are HFT bot. There is no evedince that HFT bots are doing any significant ASX vol. Alan Kohler's piece is just utter rubish.

In fact from your first link,

The ASX says that while the practice is mostly used for traditional trading strategies, there is a small portion of trading algorithms in use internationally that raise questions about their impact on the market and on non-algorithmic market users.

 

[nulla nulla]

Nulla all those algos that you are talking about including the legal stoush are oppy MM. And therefore have every right to have co-located servers.

Most of those jobs are for Arb bots and execution bots.

NOT HFT bots. Which is my point. I doubt that they are HFT bot. There is no evedince that HFT bots are doing any significant ASX vol. Alan Kohler's piece is just utter rubish.

In fact from your first link,

I found the article. Well worth reading even if only to appreciate the levels of profits they generate:

http://idm.net.au/article/trading-titans’-clash-swords-discovery-clash

Please note, I consider Algorithmic Trading (HFT) as a "fact of life" and the clever buggers that worked it out deserve all the success they get. I work arround it.

 

[Trembling Hand]

I found the article. Well worth reading even if only to appreciate the levels of profits they generate:

http://idm.net.au/article/trading-titans’-clash-swords-discovery-clash

Bloody hell. Nulla these are not HFT firms. Optiver and Tibra and TimberHill are option market makers. They are obliged to make a market in their alloted option chains. You want them to be co-located at the ASX. They use algos but so too does CBA and you avg super fund. There is nothing in this thats unfair.

They are not HFT

Optiver has been in the “algo trading” business since 1997. Optiver uses its software for arbitrage trading.

Things moved quickly for Tibra. By July, 2006 it was registered with the stock exchange as a ‘market maker’ enabling it to compete with Optiver. By the end of 2006, the newly formed company was beating Optiver at its own game – by being faster to the punch on the crucial arbitrage trades. According to expert evidence tendered at one hearing, the rate of success over Optiver continued to climb in 2007

If you trade options you want them co-located. How would it be if they are located in a office in perth? Some dude cuts their phone line while gardening and they have to say "oh sorry you will not be able to close your trade untill tomorrow when Telstra comes and fixes our ADSL line maybe the day after!"

Please note, I consider Algorithmic Trading (HFT) as a "fact of life" and the clever buggers that worked it out deserve all the success they get. I work arround it.

Algorithmic Trading and HFT is not the same thing. Everyone beyond Mum & Pop uses Algorithmic Trading and there is no evidence that HFT bots are running any vol on ASX stocks. Arb bots absolutely but thats a different story to this beat up. Kohler takes the stupid jump from servers co-located at the ASX means that they are HFT. Thats the least likely use of them.

 

[nulla nulla]

Wikipedia definiton of Algorithmic trading:

http://en.wikipedia.org/wiki/Algorithmic_trading

Wikipedia definition of High Frequency Trading:

http://en.wikipedia.org/wiki/High-frequency_trading

And an article pointing out the differences between Algorithmic trading and High Frequency Trading (HFT):

http://talkfast.org/2011/09/13/algorithmic-trading-is-not-high-frequency-trading

It appears that HFT is still based on algorithyms but the human input is removed, "Bots". At the end of the day they don't hold a position.

TH, please note I am not taking any sides in respect of "fairness", "moralty" or anything else. Nothing personal.

 

[Starcraftmazter]

I don't think we'll be holding our collective breath waiting for SCM's 100 trades.

I'm still waiting on my asx colocation? I'm not holding my breath either, seems you lot just have hot air and can't deliver.

Bloody hell. Nulla these are not HFT firms.

Ahahaha this is what you actually believe

Oh my god, you...

http://optiver.com/corporate/our-views/hft-position-paper
http://www.efinancialnews.com/story/2011-07-18/optiver-rebound-reflects-volatility

Dutch high-frequency trading firm Optiver

The aforementioned deserters
http://www.efinancialnews.com/story/2011-10-31/traders-launch-boutique

You just got TOLD.

 

[CanOz]

Wikipedia definiton of Algorithmic trading:

http://en.wikipedia.org/wiki/Algorithmic_trading

Wikipedia definition of High Frequency Trading:

http://en.wikipedia.org/wiki/High-frequency_trading

And an article pointing out the differences between Algorithmic trading and High Frequency Trading (HFT):

http://talkfast.org/2011/09/13/algorithmic-trading-is-not-high-frequency-trading

It appears that HFT is still based on algorithyms but the human input is removed, "Bots". At the end of the day they don't hold a position.

TH, please note I am not taking any sides in respect of "fairness", "moralty" or anything else. Nothing personal.

Thanks for the links nulla! I like that last article in particular

 

[nulla nulla]

Here is a direct link to the article refered to in the last link in my post above. Further clarification on the difference between "Algorithmic Trading" and "High Frequency Trading":

http://seekingalpha.com/article/158...-algorithmic-trading-not-as-big-as-many-think


I want one, lol.

 

[Trembling Hand]

I'm still waiting on my asx colocation? I'm not holding my breath either, seems you lot just have hot air and can't deliver.

I've issued a challenge to you. I can get you the data. And I can get you into the firm that will back you.

If you can produce the profitable algo on ASX market.

But of course you cannot even show that you have placed a few trades. You will wiggle and worm because your point was that its unfair because its not available to anyone. It is. If you are smart enough which you are not.

Thats the bottom line.

Ahahaha this is what you actually believe

Oh my god, you...

http://optiver.com/corporate/our-views/hft-position-paper
http://www.efinancialnews.com/story/2011-07-18/optiver-rebound-reflects-volatility


The aforementioned deserters
http://www.efinancialnews.com/story/2011-10-31/traders-launch-boutique

You just got TOLD.

Hardly. I know what they do. They use Servers co-located at exchanges to arb and market make options clearly thats their job and can you tell me whats unfair about them doing that like you claimed?

That is not what Alan Kohler's article was about. It was about HFT robbing super funds and retail out of their profit. With the flash orders and dodgy quotes And you swallowed it. Hook line and sinker!!

Every $1 they make would be someone else's otherwise. Let's say Joe Sixpack buys $100,000 CBA one day for $49, and it trades at $50 a fortnight later. Mr. Sixpax proclaims "yipee" and hits the sell button - but in that period of time, in between when he hit sell and the order is executed by the ASX, a HFT parasite has taken market actions which result in CBA trading at $49.50 - and good 'ol Joe with six kids to feed, and a wife that just won't shut up about a brand new BMW got 50% less profit.

Now I've asked about 8 times can you stand by this above statement? If so can you give me more detail because the market simply doesn't function like that. if we cannot clear up the above BS then I'm wasting my time talk to some who doesn't trade.