Tag Archives: last ditch

Hft Banks on the media’s hype of Faebook in a last ditch error to…

Hft Banks on the media’s hype of Faebook in a last ditch error to…


HFT and The Facebook IPO

Yeah more HFT trolling. FB was in a hft “tractor beam” until it wasnt. Traders leaning on large size at an obvoius price support. Yeah its smart when you do it, but god forbid some else who know hows to program does it.
so HFT doesnt add to price discovery, until it does and FB trades around its target, which is bad, since ipos need to have wild swings so we can relive netscape all over again.
yeah i used to be concerned about these hft critics until now



I used to be concerned with critics like you until I wasn’t. Feel free to refer me to your published material that supports your view because historically, you’ve only gone on diatribes in the comment section of other peoples published material. Who’s the troll here?



In October I’m giving a presentation on “Trading US Equity Microstructure” at NYU Courant. I’ll should be able to make this available. I need to make it NDA friendly first.
Warning, it won’t be a bunch of plots of guys spinning quotes, or illustrating some freakish occurrence in the market, or a “debate” on whether HFT is good or not.
It will be rather unexciting stuff actually — SORs, rule 611, wotr ratio, fee structure, port options, self-match prevention, latency tails, dark liquidity ,etc.

I suppose I could blog myself, but I’m more busy actually putting risk behind my analysis, and not trying to prove a point in the blogosphere



I expected you to respond like that. thanks for defending your view point. I’ll keep sharing my evidence here. I’ll look for you in the peanut gallery, backing away from the opportunity to defend your view while taking stabs at me with claims like “actually putting risk behind my analysis”.


Huh? How is that a stab at you? Most of this “analysis” comes from Nanex, which is a historical data provider. They look at a bunch of data which only represents a small fraction of the market. Its like the old joke
“Can you help me find my keys?”
“Sure where did you lose them?”
” over there ”
“Why are you looking here then?”
” the light is better”

Nanex sifts through lots of quotes, lokking for a conspiracy. They dont put any capital in the market ,and only try to understand whats happening by putting up a lot of visuals, because that get most visceral response. But the least understanding.
Like I said, there are a number of books out there with a more sober view of HFT.


What is the wotr ratio?


WOTR==weighted order to trade ratio. A measure of cancels to fills, weighted by how many ticks tou are away from the NBBO. A really high number, like 100 or so, the exchange will penalize you. I try to keep a ratio in the single digits.


when is your presentation? Please send me a link for the paper when it’s ready.


NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!