High-frequency trading

[SuperGlue]

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.
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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''.

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High-frequency traders test market prices by issuing buy or sell orders that can be withdrawn in milliseconds, giving traders an idea of the market's willingness to trade at those prices.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

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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]

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]

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]

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

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]

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]

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.

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]

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]

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

 

[Trembling Hand]

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]

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]

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]

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]

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]

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]

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]

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]

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]

Genius.

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

 

[Joules MM1]

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

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]

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
Reporter: Stan Correy
Robot traders are dominating stock markets using high speed computer algorithms. Human traders and government regulators can’t keep up, and markets could be one programming glitch away from the next big crash.

Background Briefing is now broadcast after the 8am news bulletin on Sunday morning.