Alan Kohler's Take on High Frequency Trading

[Trembling Hand]

How is it stupid, it's common sense. They close their positions at the end of a day.

Hahahahahahahhah

Like I said clueless. You assume they do. I see very little evidence that they exist like you think they do. What I know is that they are arb bots if anything and they do not close out at the end of the day. They hold until expiry where they can unroll the arb.

That means they do not make money from value created overtime by companies. That implies that for every $1 they make - someone really true has to lose $1.

Prove me wrong.

There is no diff from you buying a share and closing it in 3 months as an "investor" or me buying it and selling it in 3 minutes. We are all just playing pass the parcel. (unless you only involve yourself in Cap raising & IPO's)

Maybe when you start trading you will be able to understand.

 

[Starcraftmazter]

Skc

Yep got the email off eventually but that was the original one he gave.

But I really am waiting with great anticipation for the results of the next bot to rob retail of their hard earned.

And yep I've well and truly blown my stop!!

It's less than 24h of data, can't I get at least a month? I doubt anyone has ever learned anything from a single day's data.....

Hahahahahahahhah

Like I said clueless. You assume they do.

Says so on wikipedia buddy. Don't argue with wikipedia.

There is no diff from you buying a share and closing it in 3 months as an "investor" or me buying it and selling it in 3 minutes.

Except that they can do it in 300 microseconds.

 

[Trembling Hand]

It's less than 24h of data, can't I get at least a month? I doubt anyone has ever learned anything from a single day's data.....

Of course you can but you asked for a "sample"

so what will be the excuse after I give you 3 months of tick data?

Says so on wikipedia buddy. Don't argue with wikipedia.

Well I guess when you don't trade like yourself you are left with whatever is on wiki.

Except that they can do it in 300 microseconds.

So can you if you're smart enough.

 

[Starcraftmazter]

Of course you can but you asked for a "sample"

so what will be the excuse after I give you 3 months of tick data?

I contend that the sample is not a fully realistic snapshot of what the HFTers have available, since they know orders coming in with more time precision than what you have given me.

I was also hoping for a data of a stock's trading, like an ASX8 stock.

Nevertheless, there may well be ways to profit from patterns embedded within.

My idea would be to write an algorithm which tries to find patterns associated with coming market direction. The more data I have the better.

Also don't expect anything soon, I'm a busy man (posting here all day takes a lot of time you know).

Well I guess when you don't trade like yourself you are left with whatever is on wiki.

I don't see how me buying or selling some shares in some stocks tells me whether HFTers have their positions closed by the end of the day or not.

Wikipedia is instant access to reliable data.

 

[sinner]

Just because the algos are 'flat' by EOD, doesn't mean they have closed positions. It just means they are running a flat book! Nothing else!

Also, in line with what TH said about pass the parcel, all global markets are a continuous auction serviced by a limit order book. Timeframe has sweet-f-all to do with it. It's about two participants meeting at a particular price and volume!

I hate this argument you are forcing, because I feel I have legitimate beef (quote stuffing, flash orders, propagation of systematic issues, etc) with HFT and you have continuously derailed the discussion or reduced it to levels where logical contributions are moot as everyone spends their time explaining reality to you, again.

 

[Trembling Hand]

I hate this argument you are forcing, because I feel I have legitimate beef (quote stuffing, flash orders, propagation of systematic issues, etc) with HFT and you have continuously derailed the discussion or reduced it to levels where logical contributions are moot as everyone spends their time explaining reality to you, again.

Sinner I agree with you there is some things that HFT do that are a genuine worry. But I don't see any of that stuff on the ASX out side the few bot blowups/"fatfingers" I've seen.

Stupidly Alan Kohler has taken the existence of co-located servers to be bots "quote stuffing, flash orders etc". That's just a plain beat up and the Muppets swallow it whole.

 

[Starcraftmazter]

Sinner I agree with you there is some things that HFT do that are a genuine worry. But I don't see any of that stuff on the ASX out side the few bot blowups/"fatfingers" I've seen.

Well then why are we even arguing

 

[Trembling Hand]

Well then why are we even arguing

Because you stupidly have been arguing that the existence of Co-located servers is robbing joe average without a friggin clue what they do.

 

[Starcraftmazter]

Because you stupidly have been arguing that the existence of Co-located servers is robbing joe average without a friggin clue what they do.

Of course I know what they do, they make money

 

[sinner]

Well then why are we even arguing

Because you have a penchant for trolling against a psychological mind-set which just can't stand trolling?

 

[Starcraftmazter]

Because you have a penchant for trolling against a psychological mind-set which just can't stand trolling?

How am I trolling? I just want a far game where everyone has equal access.

 

[wayneL]

How am I trolling? I just want a far game where everyone has equal access.

Fair?

Stars I also have a strong sense of fair play. Whenever I got into a dust up, I always fought fair... Marquis of Queensbury rules and all that. The first time I had sand thrown in my face and kicked in the nuts I realized life is not fair.

My dad died on my birthday... that wasn't bloody fair either.

In my current business, my competition is not playing fair, but along the way I've learned a few dirty tricks as well, so if thems the rules then I'll play by those rules or quit the game. I play the game to hold my own and not destroy, that is my ethics, but I still have to practice the dark arts in order to hold my own.

Likewise in trading. If someone is playing dirty, I want to learn the rules of war so I can counterpunch successfully... and I want to pick battles I can win. HFT is so far removed from my battlefield that I couldn't give a fat rat's @ss about them. That is a battle I can't win so I just don't compete there.

Do they take from my profits? Nup! Because I don't compete with them.

Ma & Pa Investor even less so.

In fact for the average retail trader, HFT is such a non-issue it's laughable.

 

[CanOz]

Fair?

Stars I also have a strong sense of fair play. Whenever I got into a dust up, I always fought fair... Marquis of Queensbury rules and all that. The first time I had sand thrown in my face and kicked in the nuts I realized life is not fair.

My dad died on my birthday... that wasn't bloody fair either.

In my current business, my competition is not playing fair, but along the way I've learned a few dirty tricks as well, so if thems the rules then I'll play by those rules or quit the game. I play the game to hold my own and not destroy, that is my ethics, but I still have to practice the dark arts in order to hold my own.

Likewise in trading. If someone is playing dirty, I want to learn the rules of war so I can counterpunch successfully... and I want to pick battles I can win. HFT is so far removed from my battlefield that I couldn't give a fat rat's @ss about them. That is a battle I can't win so I just don't compete there.

Do they take from my profits? Nup! Because I don't compete with them.

Ma & Pa Investor even less so.

In fact for the average retail trader, HFT is such a non-issue it's laughable.

Great post Wayne, makes me curious as to what SCM's opinion on short selling is? If HFTing is unfair....is short selling unfair?

CanOz

 

[Starcraftmazter]

Great post Wayne, makes me curious as to what SCM's opinion on short selling is? If HFTing is unfair....is short selling unfair?

I don't see why? Everyone can short-sell just the same.

 

[nulla nulla]

Great post Wayne, makes me curious as to what SCM's opinion on short selling is? If HFTing is unfair....is short selling unfair?

CanOz

"Short Selling" is a very sweeping description. Do you mean:
1. Large scale Hedge Fund "Naked Short Selling";
2. Pitiful scale Mum & Pop "Naked Short Selling";
3. Hedge Funds borrowing large parcels of shares for a fee from the super funds then driving the market down simply because they can make a profit from the drop and any recovery before handing the borrowed shares back;
4. Mum and Pop shorting the market through CFD's; or
5. Something else?

Personally 2 & 4 don't bother me. 1 and 3 give me the shirts because it is just manipulation of the market to profiteer in my opinion. However, each to their own.
Any rate please don't respond to this here as I think we are getting off topic from Kohlers article.

As has been demonstrated over the last 9 pages, Mr Kohler appears to have gone to press with what can only be described as a factualy bereft generalisation, sensational more for what he appears to have mixed up, got wrong or is simply guessing about. A pity really when a google search found plenty of other fairly well balanced articles that better explained Algorithmic trading and HFT's.

 

[notting]

My dad died on my birthday... that wasn't bloody fair either.
.

That's so mean. Poor thing! You must have been quite young.

 

[DB008]

http://vimeo.com/6056298

[video=vimeo;6056298]http://vimeo.com/6056298[/video]

 

[Starcraftmazter]

http://vimeo.com/6056298

[video=vimeo;6056298]http://vimeo.com/6056298[/video]

Holy crap, that's precisely what I'm saying.

Don't know why I even bother arguing when I'm obviously right. Wasting my time trying to make people understand and all.

 

[skyQuake]

Holy crap, that's precisely what I'm saying.

Don't know why I even bother arguing when I'm obviously right. Wasting my time trying to make people understand and all.

Excellent, so we can get down to the problems with what you're saying then:

1. Co-location.

Yup. Ok.

2. Algos

GE Example: First of all its an insto big swinging dick that is prepared to push a DOW component 2%.
Not Joe. The insto BSD is trying to reduce market impact. A predator algo finds it. Thats nature.
A retail trader is not going to do his share in blocks. He will do 20 shares and get instantly done. Algos will ping up and see nothing come back.
You also have to keep in mind the US mkt has many separate exchanges which is why the algo can exploit it against opposing orders and/or dark pools.

3. Flash Orders

No-one uses it anymore.

4. Rebates.

Aus does not have it.

 

[wayneL]

Excellent, so we can get down to the problems with what you're saying then:

1. Co-location.

Yup. Ok.

2. Algos

GE Example: First of all its an insto big swinging dick that is prepared to push a DOW component 2%.
Not Joe. The insto BSD is trying to reduce market impact. A predator algo finds it. Thats nature.
A retail trader is not going to do his share in blocks. He will do 20 shares and get instantly done. Algos will ping up and see nothing come back.
You also have to keep in mind the US mkt has many separate exchanges which is why the algo can exploit it against opposing orders and/or dark pools.

3. Flash Orders

No-one uses it anymore.

4. Rebates.

Aus does not have it.

Yep Sky.

As I said before.

Do they take from my profits? Nup! Because I don't compete with them.

Ma & Pa Investor even less so.

In fact for the average retail trader, HFT is such a non-issue it's laughable.

:sleeping: