Alan Kohler's Take on High Frequency Trading

[Starcraftmazter]

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.

I have issued a challenge to you. Your challenge is to walk in a straight line for one minute. Also you are locked in a 1x1 metre cube. Good luck.

But of course you cannot even show that you have placed a few trades.

What few trades? What the **** are you even talking about? Do you have multiple personality disorder? Can I remind you that we are talking about what one can do if one has a server colocated at the ASX building and is has 300 microsecond access to the ASX. Are you going to give me said colocation?

Simple yes or no will be fine.

Hardly. I know what they do.

Given I have provided a multitude of links which disprove what you said, I would beg to differ.

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!!

I did not even read the article, as it's contents is irrelevant to me - as I am already well enough familiar with HFTing. How stupid do you look now?

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.

What detail do you need? HFTers move the sp, if someone makes an order before they do, the result they will get after they do it will be different to the one they expected, and can cause them to lose money (which does not imply their trade is not profitable, merely less profitable than otherwise) as a result of HFTing actions. This is pretty easy to understand.

 

[Trembling Hand]

Can I remind you that we are talking about what one can do if one has a server colocated at the ASX building and is has 300 microsecond access to the ASX. Are you going to give me said colocation?

Yes. If your smart enough to be able to use it. I've already said that. YES ,

CO-Location.
Now do you want the data to develop your HFT Bot or not?

 

[Trembling Hand]

What detail do you need? HFTers move the sp, if someone makes an order before they do, the result they will get after they do it will be different to the one they expected, and can cause them to lose money (which does not imply their trade is not profitable, merely less profitable than otherwise) as a result of HFTing actions. This is pretty easy to understand.

and that will always be negative will it

They will also be able to move CBA $0.50 at will in the instant Joe six pax hits sell.

Originally Posted by Starcraftmazter
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.

 

[Starcraftmazter]

Yes. If your smart enough to be able to use it. I've already said that. YES ,

CO-Location.
Now do you want the data to develop your HFT Bot or not?

I doubt that the data you give me will be sufficient for me to develop a HFT bot because the data alone does not simulate the same environment - which is in fact what HFT companies pay for. If you believe otherwise, you are welcome to send me a sample.

and that will always be negative will it

They will also be able to move CBA $0.50 at will in the instant Joe six pax hits sell.

I didn't say it will ALWAYS be negative, I said it CAN be negative.

I'm not not suggesting they are stalking sixpax's trades, merely that it will be coincidental. Effectively everyone who paces a trade when there is any HFT action that goes against them will lose out.

 

[Trembling Hand]

I doubt that the data you give me will be sufficient for me to develop a HFT bot because the data alone does not simulate the same environment - which is in fact what HFT companies pay for. If you believe otherwise, you are welcome to send me a sample.

Oh here we go!! the start of the back pedalling. First you claim that its unfair -colocation is not available to you. But it is.

Now timestapped data for every quote and trade isn't good enough. which is all the HFT have to develop their bots.

Your are ripper.

I didn't say it will ALWAYS be negative, I said it CAN be negative.

I'm not not suggesting they are stalking sixpax's trades, merely that it will be coincidental. Effectively everyone who paces a trade when there is any HFT action that goes against them will lose out.

so they always win SCM? I think I'll rest my case on that point.

Now you want an intro to the company and the data? Luckily they are in your home town. Shouldn't take long for you to get your foot in the door. After all,

I actually have a similar but an even better idea. I am planning to write trading software over the course of the next year or so, and what I will do is make the signals from it public with a small delay so that I can get in/out before anyone who decides to pay attention to it. And some period of time after that, I will of course start charging for it's use

It's pretty much impossible to not make money in trading, I fail to see why everyone doesn't do it. It's not even hard. The real challenge is getting something like 1000% pa returns. Fortunately there is leverage

 

[Starcraftmazter]

Oh here we go!! the start of the back pedalling. First you claim that its unfair -colocation is not available to you. But it is.

No it is not, and there is no back-pedalling. You have already said you do not want to give me colocation until I have something workable - but it is not possible to make anything of that sort without colocation in the first place.

How about less talk and more action from you. You have been offering to give me the data for many posts now, yet my PM box has no new messages. How about you stop bull****ting and make good.

Now timestapped data for every quote and trade isn't good enough. which is all the HFT have to develop their bots.

To what degree precision are the timestamps? Second? Millisecond? Microsecond? Remember, ASX guarantees 300 microsecond timing if you co-locate with them.

But like I have said - feel free to send me the data so I can assess it. You have not done this despite your claim that you will. Thus the onus right now lies squarely with you to stop wasting my time and actually do what you claimed you will.

so they always win SCM? I think I'll rest my case on that point.

They generate huge profits, this implies they are extremely successful.

 

[Trembling Hand]

They generate huge profits, this implies they are extremely successful.

You don't know that because the only firms you "think" are involved with HFT on the ASX are the ones I told you about and they are option market makers and Arbers as per your articles. They trade fast, they trade with Co-location but they are not trading against joe six pak.

So how do you know they are profitable when you don't even know if they exist on the ASX ?

Have request email for data via PM.

 

[Starcraftmazter]

So how do you know they are profitable when you don't even know if they exist on the ASX ?

What do you mean if they exist on the ASX? Why else would they employ 100s of traders and software engineers in Sydney and colocate their servers in the ASX building?

 

[Trembling Hand]

What do you mean if they exist on the ASX? Why else would they employ 100s of traders and software engineers in Sydney and colocate their servers in the ASX building?

LOL. Do you know what a option market maker does?

 

[Starcraftmazter]

LOL. Do you know what a option market maker does?

I know that they exist on the ASX.

I will again remind you of the links I posted earlier which show that Optiver is a HFTing company. Whether they do other things is irrelevant to the discussion.

 

[Trembling Hand]

I know that they exist on the ASX.

I will again remind you of the links I posted earlier which show that Optiver is a HFTing company. Whether they do other things is irrelevant to the discussion.

Your article states that they are Market Makers in the option exchange using Co-located Servers to HFT the OPTIONS market as per their ASX market maker agreement!!!!

They Arb the futs and options. not directional bets. You really do not understand what they do. its clear.

FFS

 

[Trembling Hand]

Nice post I'v lifted from the Human potential thread. I've changed just one word in red

Markets are very complex, which makes them difficult for us to understand well. People often start speculating in a 'religious' sort of way when there are big unknowns (like with religion itself in response to where the world came from and why the sun does its thing and all that).

Pretty much sums up the BS hysteria about bots. No knowledge leads to crazy theories.

 

[Starcraftmazter]

Your article states that they are Market Makers in the option exchange using Co-located Servers to HFT the OPTIONS market as per their ASX market maker agreement!!!!

They Arb the futs and options. not directional bets. You really do not understand what they do. its clear.

FFS

I'm not saying they don't trade options for the 10th time. Although clearly their practices in that department are also unfair;
http://www.stocktrendsystem.com/trading/options.html

Are you actually denying that there are HFTers trading stocks on the ASX?

 

[skyQuake]

I didn't say it will ALWAYS be negative, I said it CAN be negative.

I'm not not suggesting they are stalking sixpax's trades, merely that it will be coincidental. Effectively everyone who paces a trade when there is any HFT action that goes against them will lose out.

So effectively everyone who places a trade when there is a HFT action in their direction will win out. Whats the problem then?
And no, they can't "see" a trade before it comes through to the market. They can be fast but not go back in time.

 

[wayneL]

Although clearly their practices in that department are also unfair;
http://www.stocktrendsystem.com/trading/options.html

Oh Gawd!!!

The boy believes himself an intellectual yet is citing muppets.

The blind leading the blind.

 

[Trembling Hand]

Are you actually denying that there are HFTers trading stocks on the ASX?

I'm saying its very very unlikely given the tiny market and minuscule volume. The cost to possible rewards are just not there. They have so little to play with. so few transaction compared to US & Euro markets.


I DO KNOW that there are lots of Arb bots on the ASX market playing games between the futs, oppy and stocks. But they are not what we are discussing here. And have very little to do with robbing Mr & Misses retail. (and the main players here are Merrill lynch, Tibra, Timber Hill, Optiver etc)

In fact they so dominate the derivative market that the ASX have on the arbers request gone to monthly futs contracts in spite of there being ZERO interest in them. Amazing!

 

[Starcraftmazter]

So effectively everyone who places a trade when there is a HFT action in their direction will win out. Whats the problem then?
And no, they can't "see" a trade before it comes through to the market. They can be fast but not go back in time.

Hmmm.

I will take all of your money, property and assets - but I will give it to someone else.

What's the problem then?

I'm saying its very very unlikely given the tiny market and minuscule volume. The cost to possible rewards are just not there. They have so little to play with. so few transaction compared to US & Euro markets.

ASX is one of the biggest and most liquid markets in the world. Where there is money to be made, it will be made.

 

[skyQuake]

Hmmm.

I will take all of your money, property and assets - but I will give it to someone else.

What's the problem then?

I have no idea what you're talking about lol.
Enlighten me please

 

[Starcraftmazter]

I have no idea what you're talking about lol.
Enlighten me please

I said everyone trading against the direction of the HFT algorithm loses.
You said everyone who will trade in their direction wins, and asked what is the problem.

You are therefore implying that it is okey to take money from someone so long as you give it to someone else. So I suggested that I take all your money and give it to someone else.

 

[Trembling Hand]

ASX is one of the biggest and most liquid markets in the world.

LOL! More rubbish from the inexperienced.

The Korean stock market does more volume/value in 1/2 hour than the ASX does all day. The Taiwan futs trades more in their 1/4 day than the SFE does in its 24 hours! And they are considered small fry.

Again the inexperienced drivel that you server up is is golden.

Do you ever admit you don't know what the fark you are talking about?

(your confusing mrk cap with liquidity but why wouldn't you. You have never dipped your toe in the market!!)