Alan Kohler's Take on High Frequency Trading

[Starcraftmazter]

LOL! More rubbish from the inexperienced.

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

12th by trade value and 9th by market cap. In a list called "Major Stock Exchanges". Yep, not big or liquid at all!

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

I don't know, do you?

The Korean stock market does more volume/value in 1/2 hour than the ASX does all day.

Friday ASX turnover: $4,029,137,368 AUD
Friday KOSPI turnover: $4,620,542,929 AUD

Tell me, do you ever get tired of being wrong?

 

[skyQuake]

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.

ok so far so good

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.

Uhh I implied no such thing. How you reached that jump of logic is beyond me.
You have stated that HFTs take money by trading against a punter. Then you said ok maybe they're not always on the opposite side of the punter.

Effectively everyone who places a trade when there is any HFT action that goes against them will lose out.

So 50% of the time, an HFT action will help you, and 50% it wont, as they have no way to determine what your next action will be unless you are trying to buy/sell a whole lot of stock over the day.

 

[Starcraftmazter]

So 50% of the time, an HFT action will help you, and 50% it wont, as they have no way to determine what your next action will be unless you are trying to buy/sell a whole lot of stock over the day.

Please prove mathematically that it will be 50%.

 

[skyQuake]

Please prove mathematically that it will be 50%.

Because they won't know whether I'm buying or selling until the order has hit the market. ASX time price priority.
Thus 50/50
Do you concede they won't know what my action is until my order has hit market and gotten filled? Or sitting there if its a limit order.

Btw KOSPI futs do HEAPS more val/vol than SPI. Same contract value too.

 

[Trembling Hand]

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

12th by trade value and 9th by market cap. In a list called "Major Stock Exchanges". Yep, not big or liquid at all!


Friday ASX turnover: $4,029,137,368 AUD
Friday KOSPI turnover: $4,620,542,929 AUD

yep clueless. Add in the derivatives u joker. Bots need to arb. The Aussie market is a ghost town compared to other markets.

I don't need Wikipedia to tell me data. I see what vol we do compared to the markets I trade everyday. Maybe one day u will get to place a trade and see for yourself

 

[skyQuake]

SPI Contract Val
107,500 AUD

KOSPI Contract Val
132,750,000 KRW
KRWAUD
0.000851
112,970 AUD Equiv

Same contract size approx

KOSPI does 250k a day avg while SPI does 30k.

No-one arbs stocks. U need futs

pic related

 

[Starcraftmazter]

Because they won't know whether I'm buying or selling until the order has hit the market. ASX time price priority.
Thus 50/50
Do you concede they won't know what my action is until my order has hit market and gotten filled? Or sitting there if its a limit order.

Yes, but what does this have to do with anything? I asked you to prove that it's 50/50.

Btw KOSPI futs do HEAPS more val/vol than SPI. Same contract value too.

We're not talking about futures are we? Super funds don't trade futures, do they?

I don't need Wikipedia to tell me data. I see what vol we do compared to the markets I trade everyday. Maybe one day u will get to place a trade and see for yourself

Those figures are not from wikipedia, they are from the KRX and ASX.

 

[Trembling Hand]

We're not talking about futures are we? Super funds don't trade futures, do they?



Those figures are not from wikipedia, they are from the KRX and ASX.

Oh oh oh my god. To funny.

You haven't a clue what Bots do do u.

 

[skyQuake]

Yes, but what does this have to do with anything? I asked you to prove that it's 50/50.

Well if they don't know whether I'm going to BUY (50%) or SELL (50%) they can't really make any other assumption can they? Assuming its a predatory algo that wants to frontrun your orders. Which is what you're talking about isnt it?

We're not talking about futures are we? Super funds don't trade futures, do they?

HFTs need oppies or futs to arb against don't they?

 

[Starcraftmazter]

Well if they don't know whether I'm going to BUY (50%) or SELL (50%) they can't really make any other assumption can they? Assuming its a predatory algo that wants to frontrun your orders. Which is what you're talking about isnt it?

What do buy/sell 50/50 have anything to do with them?

Let's say you make 10 trades in a day. Let's say for every position you took and closed, it just so happens that the HFTing algos took a different position. That's not 50%, that's 0%.

 

[skyQuake]

What do buy/sell 50/50 have anything to do with them?

Let's say you make 10 trades in a day. Let's say for every position you took and closed, it just so happens that the HFTing algos took a different position. That's not 50%, that's 0%.

My point is how can they frontrun u if they don't know what direction you're going to trade. Let's say you make 10 trades a day on the same side of a HFT etc.
Long term avg will be 50%

 

[Starcraftmazter]

My point is how can they frontrun u if they don't know what direction you're going to trade. Let's say you make 10 trades a day on the same side of a HFT etc.
Long term avg will be 50%

There is no way to prove this. It will be random at best and less than 50% at worst.

 

[skyQuake]

There is no way to prove this. It will be random at best and less than 50% at worst.

Prove what? That they can't see ur order coming to mkt?
It's a coin flip unless they know your order so they can frontrun it

 

[Starcraftmazter]

Prove what? That they can't see ur order coming to mkt?
It's a coin flip unless they know your order so they can frontrun it

Why are you still talking about them seeing my order coming to market? It has absolutely nothing to do with it

 

[skyQuake]

Why are you still talking about them seeing my order coming to market? It has absolutely nothing to do with it

Because if they can't frontrun you how can they make your trade entry/exit worse?

 

[BradK]

Your are ripper.

This is a great thread. I am nearly up to the last page, and already I feel like a cigarette.. .and I don't even smoke!

Oh, and it is 'You're' a ripper. Sorry about the correction TH... don't punish me - be kind!

Brad

 

[BradK]

Oh oh oh my god. To funny.

You haven't a clue what Bots do do u.

*cough cough* ... Too funny.

Hey, don't shoot the messenger!

 

[BradK]

Finished. That was bloody awesome!

It is still like an episode of House - something mysterious is going on - but, I am not sure which one is House - TH, SCM, or Hugh Laurie?

Thanks for an entertaining thread.

 

[Starcraftmazter]

Because if they can't frontrun you how can they make your trade entry/exit worse?

By moving the sp between when you place your order and your order executes...

1. A certain pattern emerges
2. HFT bot recognises pattern
3. Unknowingly of the above (1,2), some amount of traders/investors including you put in order to go in X direction
4. HFT bot puts in a large order to go into Y direction because of (2) and irrespective of (3)
5. The orders of the investors/traders make it through to the ASX, but by this time the above already happened (4)
6. SP moves otherwise to how it would if (4) did not happen
7. Traders/Investors lose out.

 

[skyQuake]

By moving the sp between when you place your order and your order executes...

Impossible if its a market order. Because no-one knows you're putting in a market order but you, and after you place it the broker routes it in, and then it hits market. Then and only then can the HFT react.

1. A certain pattern emerges
2. HFT bot recognises pattern
3. Unknowingly of the above (1,2), some amount of traders/investors including you put in order to go in X direction
4. HFT bot puts in a large order to go into Y direction because of (2) and irrespective of (3)
5. The orders of the investors/traders make it through to the ASX, but by this time the above already happened (4)
6. SP moves otherwise to how it would if (4) did not happen
7. Traders/Investors lose out.

Really? HFTs trading breakouts on penny stocks too? On a intra timeframe? And how would pattern work with something that is supposed to take a few million trades a day? I don't think there are that many setups on any pattern.
Unless you mean something else by pattern.