High-frequency trading

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Here you can have your say:
http://events.miraqle.com/PPR-Market-Survey/Surveys/HFT/

it's an anonymous Survey of sentiment among retail investors/ traders about algo/ HFT
Doesn't take long - I've just completed it.

 

[Trembling Hand]

- I've just completed it.

What was your general view? Good/bad or irrelevant?

 

[pixel]

What was your general view? Good/bad or irrelevant?

it's good that they finally have a survey to gauge ppl's views.
But I'm skeptical about its effectiveness - unless the results "suit" the Big Players, it'll remain irrelevant.

 

[Joules MM1]

it's good that they finally have a survey to gauge ppl's views.
But I'm skeptical about its effectiveness - unless the results "suit" the Big Players, it'll remain irrelevant.

i think it's an inadequate survey.....comments section at the end is probably the best part and should be added to all the questions, if nothing else, to highlight the wide ignorance of algo/hft's especially after the idiot tv heads have hammered in ideas that are

 

[CanOz]

High-speed trader Infinium Capital winds down -president

(Reuters) - High-speed trader Infinium Capital Management has stopped trading and is working to wind down the company after struggling with financial problems, President Mark Palchak told Reuters on Thursday.

The closure of Infinium, which was founded in 2003, reflects pressures on high-speed trading firms stemming from increased competition and regulatory oversight, low interest rates that have hurt volume and volatility, and the uncertain global economic recovery.

Currency broker FXCM Inc and a subsidiary have acquired five trading desks, physical assets and 48 employees from Infinium to start a new joint venture, V3 Markets, Palchak and FXCM said. Palchak is chief executive of the new company.

V3 Markets will operate with a "streamlined cost structure" compared to Infinium, FXCM's chief executive, Drew Niv, said on a conference call after the company reported quarterly earnings.

"We are in the early stages of clearly rebuilding a business that is in need of a greater degree of risk supervision than it had in its prior life," he said.

Infinium had been among the higher-profile electronic trading groups and was a household name among Chicago traders. The firm traded in commodities, energy and other markets.

A favored tool of hedge funds and other institutional traders, high-speed trading uses algorithmic software programs to post orders in the blink of an eye.

By acquiring assets from Infinium, FXCM and subsidiary Lucid Markets Trading are able to expand into commodities and other markets, diversifying their exposure to volatility, Niv said.

"With the crazy weather we're having and Russian tanks roiling agriculture and energy markets, sparking massive volatility in those products, financial instruments like G10 currencies are completely unmoved and remain near record-low volatility," he said.

"As Lucid implements its risk controls and other trading smarts into the V3 infrastructure, we will be dialing up trading to take advantage of these uncorrelated volatilities."

The total price for Infinium's assets was not disclosed. It included approximately $11.9 million owed by Infinium to FXCM, according to the brokerage.

Financial problems at Infinium date back years, according to a lawsuit filed against the firm in January in U.S. District Court in Chicago. The firm lost $6.6 million in 2012 and $6.1 million from Jan. 1 to July 31, 2013, court documents say.

Infinium last year shed a number of employees, including its chief operating officer, and one of its co-founders came out of retirement to lead the firm.

 

[Trembling Hand]

Yep on to the next thing for people to blame for 'their' stocks being manipulated.


Futures day traders haven't had it in a while.... must be their turn.

 

[nulla nulla]

Yep on to the next thing for people to blame for 'their' stocks being manipulated.


Futures day traders haven't had it in a while.... must be their turn.

That's interesting. I heard one of the Australian High Frequency trading firms has reduced their staffing levels and sold off surplus computers, screens etc.

 

[CanOz]

Futures day traders haven't had it in a while.... must be their turn.

Actually its kind of interesting, since that energy firm was charged with spoofing CL, the spoofing on the DAX, in the form of 100 lots has seemed to go away, now they spread out their orders and just 'bulk' up the book.

 

[skc]

Michael Lewis's new book on HFT stirring up plenty of interests.

http://www.afr.com/p/business/finan...ight_erupts_over_lewis_lz2DDV4SlG5PW0D9IE5IHM

Televised fight erupts over Lewis’s high-frequency trading book

Best-selling author Michael Lewis has yet again roiled the market with an expose of trading on Wall Street. WILLIAM ALDEN

The new book by Michael Lewis has inflamed passions across Wall Street, stoking a debate over the business of high-frequency trading.

On Tuesday, it also made for some explosive TV.

During an otherwise quiet day for the market, Mr. Lewis, along with the star of his book, Brad Katsuyama, appeared on CNBC to face off against William O’Brien, the president of the BATS Global Markets exchange, who was clearly enraged at the book’s argument that the stock market is rigged in favor of high-speed traders. Mr. Katsuyama, who runs an upstart trading platform called IEX, which tries to stop certain aspects of speedy trading, is portrayed in the book as the hero.

CNBCInsults flew. The guests raised their voices. Floor brokers at the New York Stock Exchange, glued to their television sets, whooped and hollered at the spoken jabs.

Mr. O’Brien had been waiting for this moment since he rapidly devoured the book, “Flash Boys,” on his way to work on Monday just hours after it was released.

“Michael and Brad, shame on both of you, for falsely accusing literally thousands of people and possibly scaring millions of investors in an effort to promote a business model,” he said as the segment began.

Mr. Katsuyama, pressed to defend the assertion that the market is rigged, unleashed this zinger: “I believe the markets are rigged. I also think you’re part of the rigging.”

Google "Flash Boys" and CNBC if you can't access the article.

 

[kid hustlr]

Michael Lewis's new book on HFT stirring up plenty of interests.

http://www.afr.com/p/business/finan...ight_erupts_over_lewis_lz2DDV4SlG5PW0D9IE5IHM



Google "Flash Boys" and CNBC if you can't access the article.

I Havent had time to look closely at it although I saw a couple of the videos from CNBC on ZH this morning.

Someone want to give a summary of the major issues here?

Are people complaining about trying to get front of the queue (aka classic scalping/no risk trades) or is there more to it than that?

Looked like one of the videos I watched was talking about brokerage firms selling information to high speed algo firms letting them know what stocks they'll be purchasing so they can front run them?? That sounds pretty below board to me ?!?!!

 

[skc]

I Havent had time to look closely at it although I saw a couple of the videos from CNBC on ZH this morning.

Someone want to give a summary of the major issues here?

Are people complaining about trying to get front of the queue (aka classic scalping/no risk trades) or is there more to it than that?

I only had a quick look and it appears just the same old accusations... front running (through pattern detection), multi-exchange arb etc. Michael Lewis has been a best selling writer though, so it's getting some airtime.

Looked like one of the videos I watched was talking about brokerage firms selling information to high speed algo firms letting them know what stocks they'll be purchasing so they can front run them?? That sounds pretty below board to me ?!?!!

Don't know but if they do find something like that then it's more a white collar crime rather than an issue with HFT.

 

[sir elements]

There was a 60 Minutes segment on this issue aired in the US.

http://www.cbsnews.com/videos/is-the-us-stock-market-rigged

 

[notting]

A little elaboration!!

[video]http://www.cnbc.com/id/101544772[/video]

 

[CanOz]

A little elaboration!!

[video]http://www.cnbc.com/id/101544772[/video]

Thanks for that Nots.

Entertaining....

 

[DeepState]

Just observed some algo action during trade on a modest liquidity ticker I was still offloading today. It was a join and cross routine.

I initiated a screen position narrow on the offer. Within microseconds (well, I can't tell...but it was as soon as I saw my order hit the screen) two offers joined me on the lower level. Then, a bid crossed to take out part of my position and when that particular order completed, orders jumped the spread within microseconds (can't see the difference on the time stamp) and took out some of the bid queue but leaving enough there to encourage the market to re-load.

Faster than the blink of an eye or the flap of a butterfly wing. Looking at the net house summaries, two major brokers are the axes. Both are fairly balanced. Dunno what's going on. Just sitting on the order book watching the world go by.

Happens all the time, but it doesn't lose its fascination for me.

 

[kid hustlr]

do you mean only part of your order got filled and then they are able to cross up thier orders?

that seems dodgy/wrong?

OR

do you mean a bid went up hit you, therefore the guys looking to cross where now front of the queue so they quickly crossed each other (which seems fine?)

 

[DeepState]

do you mean only part of your order got filled and then they are able to cross up thier orders?

that seems dodgy/wrong?

OR

do you mean a bid went up hit you, therefore the guys looking to cross where now front of the queue so they quickly crossed each other (which seems fine?)

I don't think anything dodgy occurred. Here's the ticket for the tranche I am referring to. It was just part of my order for the day and part of a campaign which has been going for a few weeks. I was just watching at the time.



At 14:57.54 I appear on the Offer with 15k @ 1.735. I was narrow to the offer, so I had queue priority. See two further random number trades of 15,995 and 17,435 also appear within hundredths of a second. Probably not luck.

At 15:01.40 My order receives a partial fill for 4,560 @ 1.735.

At the same time (indistinguishable time difference), a bunch of trades cross the spread, jumping over my order and filling at 173.0. Those offers into the printed bid do not take out the line. Offering an opportunity to re-load at that price. Sure enough at the same instant (again indistinguishable time) 31,765 appears on the bid at 173.0. It's been fished out. But time is given to reload before hitting the bid again (and getting another instant re-load). The tango of hit the bid on reload continues as it did previously.


The balance of my order completed later in the day for this parcel and another that was outstanding at the time at a more favourable price.


This stuff goes on all the time and has been in action for a while, albeit with increasingly sophisticated algo. Still, it's a thing of beauty when tame.

 

[Wysiwyg]

Looking at the net house summaries, two major brokers are the axes. Both are fairly balanced. Happens all the time, but it doesn't lose its fascination for me.

Just wondering where I can access the house summaries that show who trades (e.g. two major brokers) please?

Dunno what's going on. Just sitting on the order book watching the world go by.

Plying an edge via induced buying or selling.

 

[DeepState]

View attachment 58818

Just wondering where I can access the house summaries that show who trades (e.g. two major brokers) please?

I get net house summaries off FactSet. These should be available via other portals with a 3-day lag as this is permissible in the market. I used to get them via IRESS back in the day. However, it is clearly not available via all of them or you would not be asking.

 

[skyQuake]

IRESS still provides said data.

Part1 shows which brokers dealt in your stock of choice (1day delay), whereas part2 shows buys/sells (3day delay)