SIUYA

Not a matter of errors - but improvements....??? "In other words, volume at bid tells you the number of aggressive sellers who have used market orders to get filled. Volume at ask tells you about the number of aggressive buyers." Those buyers may be using limit orders themselves - they maybe using fill or kill or other such order variations as well - they are not necessarily just market orders. All you can say for certain is that if the market was bid ask and they hit the bid, they crossed the spread. (would you say the same thing if they were putting a limit order to sell at the offer at 56 when the market went 56 bid as their order is placed - they would hit the spread of 56-57, but still maybe not intentionally - when measuring it you would have to but they still entered a limit not a market order.) (I know I am using the word 'may' again :doh:)

I am going to run with this Paul as it clearly seems something that you have definitely got issues with..... Paul - if it may still exist? is a question. It may be cynical or rhetorical, or just a question. If it may still exist, is more a quantifying statement. Let me put this on the record for you - I am not defending HFT as it exists today. I am not defending or even think front running or other illegal activity is acceptable. - and the debate is clearly what constitutes this regardless of your interpretation of the law. "If people are breaking the law then something should be done about it" not "People are breaking the law something should be done about it"......see the difference. "Some 'claim' to have stopped the practice voluntarily (there's no proof that they have) "- therefore they must me still doing it.....??? WTF I would hate to live in your country under Pauls rules.... - that person once slept with another man - that makes her a adulteror and as we have no prove they are no longer doing it they are clearly still guilty - lets stone her to death. While not trying to distract from the thread.....this seems to have stemmed from I thought that most/majority were predictive. You did not think so .....and examples where given as to why, based on the definition of predictive. Point made....thanks...... but you still seem hung up IF, or by your definition that they ARE doing something illegal. Fine - you think (you are 100% sure, convinced, definitively know) they are doing things illegally - I suggest you write your congessman, SEC and stop trading in the markets - as clearly they are rigged. Until then I certainly hope you support to the letter of the law every other countries laws - especially those ones that people find abhorrent in certain parts or the world but are legal elsewhere - Or is this just something you have against HFT....or me. For the record in simplistic terms - I believe - humans will always find ways around bending or breaking rules and having rules written to further their own self interest. All we can do is minimise the harm this might have on the rest of us. '''''''''''''''''''''''''''''''''''''''' Again - so as to keep Blues thread on the idea of how best to understand HFT and his ideas around it, I will refrain from using the word if, maybe or similar derivations and I will conceed that Paul-TCs interpreptation of the law is correct - please ignore these when i use them paul - HFT are acting illegally..... (I thought I had already done this, and Paul I would hope you think about your own bias rather than "There you go with the unresearched "IF" again, that allows you to not question too hard the fantasy you want to believe?" - if you truly think the world is black and white - at least understand it is not for everyone else. ) .......................... I know, I know :doh: its pathetic - but the markets are quiet.

Blue - as Paul suggests maybe you are complicating it unnecessarily when a guesstimate may be all that is required...or will at least do the same thing. eg; you guesstimate slippage as being where you have to cross the spread all the time v where sometimes you will get set, others you wont. Experience from a test walking forward in real life might help show what to expect.

semantics maybe, but isn't this the reasons why when revealed flash trading was stopped/discouraged/discontinued......even if it may still exist. It was seen as a loophole. It was not seen as an upcoming arb - but more a licence to front run to certain individuals. ie; there was no risk, and the arb occured because of a loop hole in the rules for some individuals. Even though the point of doing an arb is maybe a subset of simply buying lower and selling high - it is meant to be the 'near' instantaneous doing this that is risk free - and that is why its considered separate to the speculation of buying low and selling higher. This point being that arbs should naturally be arbitraged out of existance, whereas speculation is just that. (again semantics as you lump them together - which I am happy to go with) Given a lot of the arb opportunity has a lot more to do with the ability to speedily trade various markets, and pull and submit the orders there. It maybe a reason to encourage markets to not be fragmented? Regardless - in your experience or by your definition then are the majority of algos used in the market predictive? or are the HFT trading ones mainly predicitive or merely arbs? Or are the HFT now merely making the most of loop holes in the systems - with zero risk.

Which is why I asked it as a question.....plus i added the question afterward, and used the word majority...., or are you saying by your definition everything is a prediction then? - even the arbitrages are predicting they will be quicker than others and will get both legs on at the same time. The market makers will get a hedge on that does not cost them....because even if the opposing side to your hedge or trade appears to be there - there is no guarantee of this. Are there any guarantees in trading ?

isn't that one of the miss conceptions about all these algos (or the majority of them) - They are not predictive. They are not really intending to be. (Can there be a predictive algo or is it merely another way of saying - 'odds are if this then this'??) They are either about executing an order in a manner that breaks it up into lots or a manner designed to lessen market impact, or they are are trying to detect these order flows and sniff out where orders might be and be able to exploit these - the distinction between the predictive power here is they are using the fact that there is a spread to get on either side of this - they may be exploiting the tools given them by the exchange, or they may be exploiting the fact that by quickly getting in front of an order, they have a greater probability of others crossing their spreads. (this might be the controversial one ) or they are trying to exploit either arbitrage opportunities, between instruments, or markets, or others miss pricing due to speed. or they may just be market making or other portfolio type algo's designed to limit or spread risk

sounds like a bank......................

Would doing your own value based research into a stock - no matter how complex then be considered front running - just because you managed to purchase the stock before others discovered the same value? Or what if you used a simple (not complex) algo to do the same? IMHO - the issue is about if the information is available to the public and not a select few - with an unfair advantage associated with this allowing them to manipulate the markets. What you do with that information, complex or simple is up to you. No matter how broad or narrow your definition - it would be hard to say there is something wrong if you are predicting based on information everyone has. You are merely deriving/summarizing your own assessments into a trading decision. Once it is out there its your assessment. '''''''''''''''''''''''''''' Front running could be thought of as a subset of inside trading (different definitions apply for different jurisdictions) - but lets assume a broad one - acting on information that is not freely available to the public that you reasonably expect to have an effect on the price. (Now freely available to the public is arguable - Floors previously had a geographical restriction, and can anyone purchase and utilise these flash orders, due to speed etc; This is why all these issues are not cut and dry, and why flash trading created the controversy when it was revealed....a lot of the legal issues also revolve around issues as to who is the law designed to protect, and what is the over riding basis of the law - things like fair and orderly are hard to define unlike a speed limit for a car.)

yes - as a long volatility type - looking for outliers I subscribe to Talebs ideas. These were something many long volatility option traders have always done - pay for the time decay and wake up one morning to find windfall gains. Which is why I think why everyone is focused on the 'costs' of HFT, they might be missing what I would consider one of the bigger issues. One of the complaints is that HFT distort the price discovery mechanism for the share market without any added benefit - maybe on a micro second basis but how does a long term investor worry about this. (something for discusion ?)) Shouldn't the dislocation from HFT allow long term value investor the change to get set (maybe not in massive volume) in stocks they like at certain values. They might be looking to set buys at lower levels for this - but probably not as often they sell like many others when the panic is on, or at the bottom if they have time. ( I have no research on this except that many long term market investing institutions dont outperform the market) Mind you maybe we should just look to buy volatility and hope they have more Dormant programs ala Knight.

a bit more trash talk.... http://scholarship.law.duke.edu/cgi/viewcontent.cgi?article=1211&context=dltr&sei-redir=1&referer=http%3A%2F%2Fwww.google.co.uk%2Furl%3Fsa%3Dt%26rct%3Dj%26q%3Dis%2520hft%2520trading%2520illegal%253F%26source%3Dweb%26cd%3D9%26ved%3D0CGgQFjAI%26url%3Dhttp%253A%252F%252Fscholarship.law.duke.edu%252Fcgi%252Fviewcontent.cgi%253Farticle%253D1211%2526context%253Ddltr%26ei%3Dc3cqUKeALcrU0QXaooCwDw%26usg%3DAFQjCNFXLFcDGs1RKqqq6b8-AqdlS0vLVQ#search=%22hft%20trading%20illegal%3F%22[/url plus.... http://blogs.reuters.com/felix-salmon/2012/08/14/hft-charts-of-the-day-trading-cost-edition/

Maybe I am being stupid here Blue, but an answer to your question maybe to change the time frame. Competing with reading quotes is going to be tough a retail person. It is something that people often talk about -" I would not want to give away my secret for fear everyone else does it and the edge is ruined".....this maybe for arbitrage opportunities, but if you are trading with others in a directional POV, then the more going your way the better....and then do you need to predict, or just follow? '''''''''''''''''' All quotes in the machines are an illusion - if they have the ability to be pulled because they can see something coming through then maybe that is illegal/unfair etc - but then who is giving this ability.....the exchanges? Plus there are the issues of where do you draw the line. market maker quotes are generally indicative, do you say to an institution, that order you gave to buy 1 million, cannot be cancelled, how much would everyone be liable for. If the market is about price discovery, then looking at quotes as opposed to traded volumes might be the best you could hope for. Drawing an arbitrary requirement to be liable for the quote of 1 sec, 1 minute or 300 milliseconds 'might' be an answer - but not if there is a two tiered market.

not at all. My feelings were not hurt, my trading nerve is unblemished....plus the conclusions re my trading are not unfounded regardless of your thoughts. I just thought it ironic given your love of research, or dont you believe all the research you read? I would be happy to surprise you -it would bring joy to my day, alas I am more interested in the HFT, and I am sure your intellectualy superior mind is too above being surprised. Given my research flash trading has been proposed to be banned, and it appears the exchanges no longer necessarily offer it..... so what is the main issue with HFT again?

Best bit is - most research tells me i should never have made money in the markets, but hey - it is something I have done since the early 1990s - despite the research. I guess this applies to most people who make money in the markets as well, and I am assuming you dont trade as most research says that it's either impossible or you are highly likely to fail.

they were not bullet points for debate - they are your claims that I thought i would clarify, and for the discussion might ask if this understanding is correct...... Re the fraud/theft/criminal activities - I thought it was you who is claiming this.....? I was just paraphrasing your stance, and i thought this was your POV.....and I previously suggested it possible/probable - I have not seen evidence, just claims of it.....in fact I have seen more evidence of fraud in banks and the recent insider trading scandals - maybe on your logic we should ban the banks and hedge funds.....these guys have multiple instances So if I agree with you I am wrong, if I disagree with you I am wrong. I still dont get the issues you claim - what is the "only issue we should be focusing on" - and if i thought I was reading this right, the only diverging issue right from the start seemed to be weather or not HFT reduced costs and spreads, and i never defended HFT, yet you seem absolutely unequivocally against it.......... ....not even sure how i am diverting anything..... '''''''''''''''''''''''''''''''''' Man oh man......what a day. (and now for the personal side line....do for those not interested feel free to skip) Ok Paul - not sure what else i can do..... if you tell me i am wrong, and say for the sake of discussion you are right. I conceed everything you say is right. You then continue on with this ....lets go. Research into stubborn: stub·born/ˈstəbərn/ Adjective: Having or showing dogged determination not to change one's attitude or position on something, esp. in spite of good arguments or reasons... Difficult to move, remove, or cure. Sorry does not apply here - already conceeded. But wait you dont want that because you want everyone to do their own research. --- hmmm what to do now ??? See how silly this becomes Paul. Oh.....and that little quip about my trading - pure gold....this was it "The manner in which you've arrived at your stubborn conclusions (Namely: without any supporting evidence 'for..', or any research of the 'against..') is not conducive to debate on the subject. It's hard to see how someone who is so comfortable with arriving at conclusions that way could ever accept anything they don't want to hear. I can only wonder how you could possibly trade successfully with such a flaw." yep.....I just trolley out someone else's research, rather than logically draw conclusions that make sense to me to suit my bias and what i have seen, (WMD research, or the pharma industry....???) I never question anything, never want to get into a discussion for things, that and even when i concede i might be wrong, I just rely on the ratings agencies, I double up....blah, blah, blah. Problem is this has nothing to do with anything, and you dont seem to wish debate or discuss - you just want to attack. so fuck it.. For all my flaws..... Given your general response to things these are my thoughts about you......... You seem to want to take your bat and ball and go home - you maybe a spoilt child, and that a questioning of others interests is seen as an attack (Pragma)- you maybe a little sensitive, (personal interest maybe?)(maybe a HFT reject or failure - maybe they forced you out of your won business.) you cant seem to accept an apology, I made it clear it was not a rant and yet you continue with it and wish to move on - you maybe egotistical and an alpha male who is just a bully you are bullied by your partner, and feel that its best to throw your weight around with someone else..... you could be like some women (much like some I have know that even when i agree with them they carry on an on and on - (no aspersions on females who I adore)) you have control issues, and cant get over somethings - parental issues possibly??? you think you are everyone intellectual superior and everyone should comply with your research, or do their own for which you think no one else can have an opinion as you are right - maybe you are, and you probably might have made a good nazi or colonialist....either way a boring snob if so. (this is the option I am going for in my thoughts and conclusions about you - seems the nicest one and i would not want to dull your sensitivities) You know Paul I am confused.......you may be completely normal and having a bad day, or simply just a complete twat. But clearly, you cant get over something....best part is you think I am stubborn.....:doh: ''''''''''''''''''''''''''''''''''''''''''''' If you would like to get back to the HFT discussion by all means, but if you wish to hang around for alternative reasons then I guess there is always the ignore button....I suggest you ignore me as your intellectual inferior.

Please dont go Paul..... I could concede that you are right and that everything you say is the truth.....fine. I sincerely apologise for ranting.....you mis-read it. Lets work on that basis and start from the beginning.....as I am a little confused you seem more intent on attacking me than anything now - that's fine, it does not bother me. If we can get that over with.... So please correct me if I am wrong here - to help others and Blue with his thread discover the truth.... what is HFT.... HFT can be defined as the present ultra HFT trading that now dominates the market (we are not talking about HFT as it has exisited Lets say prior 2007 as many studies exist from there to the present). Plus no one cares about the past. Pros of HFT The markets currently trade as they do as a result purely of decimalization and electronic trading. (Even if these where in the past), an HFT have contributed nothing to this. Cons of HFT HFT as it presently stands - as it presently represents itself does not reduce spreads from the recent normal (as we have to go off some comparison) sub penny spreads. (kind of hard to reduce further, but lets go with this one, because the quotes are illusionary) HFT adds to costs because....?? help me out on this one as I can only assume that its the costs of crossing larger spreads than the illusionary quotes that the HF quoters provide, and real liquidity needs to accessed in the real market....I would not want to assume incorrectly here....so I will let you answer this one. This might be best be described as high frequency quoting, as they provide no extra liquidity HFT and fraud The HFT are committing fraud. (even though the SEC may be incompetent or corrupt) because in most countries we are talking about here- innocent until guilt is proved by the courts or regulators and not the mob is the norm. But as I cynically mentioned - when it comes to finance and banks, thats not the case - or is this in dispute as well? So HFT are clearly breaking exchange/SEC regulations....its just that nothing is really done about it. Other market participants All those who complain about HFT as it currently stands are not pushing their own interests at the same time but are purely interested in (what - the market interests, the best interests of the tax payer, the institutions, mums and dads....?? need help on this one) (I also never stated as fact that any one was stealing eg; Pragma.....but my natural inclination is to look behind why someone complains about others who do similar things....do they have a legitimate interest, or is it sour grapes due to competition - again i can only bend over backwards so much and apologies if you took my ranting as such and miss read it - i am not an olympic gymnast. I used to be a market maker and know what its like to see people erode my business. But we are not talking about the past.) The real issues I am also a little confused on the issues - as I originally stated that I thought the issues for HFT was that they may be committing fraud, and there are risks to the exchanges systems, and market crashes etc - it was just that everyone else is saying HFT costs me money, and because of that they were missing the bigger issues, while pushing their own barrow.....so please just list again so we can start from the begining - the issues - the real issues. The above is the truth, as you see fit, or as the rest of the world sees it....whatever. Please help us out here. I actually dont have a fear of the truth as I philosophically dont believe their is 'one single truth' Paul - Unless you are slightly paranoid, conspiracy theorist, axe to grind or just a plain f...t, - (so far i have deliberately not attacked you, and I probably wont) then I dont think I can be any fairer than this.......?

update.....turns out it had happened before Knight $440 Million Loss Sealed by New Rules on Canceling Trades - Bloomberg

Give me your money - I will pretend I am trading silver for you, I will return some of the money to you after a year. Less than what you give me, but more than if you traded it yourself. A win win situation.

where are you based, what futures do you wish to trade, what is your time zone.....etc? I use Interactive brokers - however i used to also have an account with MFGlobal, so my recommendation clearly means s..t (plus are you sure you mean low leverage at 1:100?)

In terms of getting up to speed early, being able to 'get' concepts is crucial. This helps quickly develop a plan, a market philosophy, a rationale for why the market does what it does and then even simple things such as the concept of shorting, leverage and what a derivative is. IMHO - not 'getting' these things can be a hinderance ---- mind you sometimes not getting these things might also be a help if you are at one with the market and can just say - its going up, down and then going with it. No thought, no argument, one concept to get and accept. Its usually this that slows people down more than anything - combine this with the lack of work or real time commitment. Years ago I was told or read some wise words. Spend 30 minutes a day reading the financial press (or maybe spend as long as you do on the sports page), make some notes about whats happening and try and learn from it. You will pick up a lot over the course of a year. 180 mins a week - 52 weeks a year.....156 hours a year....works out to be less than one month of full time applied learning.

really only you should be able to answer that. how did you make the decision to trade the option? if it was the underlying then watch that, or if you have a method using only the options watch that. As the option is a derivative of the underlying I would assume the former. Watching the option chart is a good way to learn how options respond and change over time and price movements, but the underlying option price driver will likely be the underlying instrument itself.

envied maybe but not hated....(unless your the sort who thinks everyone is stealing your job.) A lot might depend on pure dumb luck it also might depend on stumbling into a bull or a bear market and the luck (or lack of skills or method) sorts itself out when the bull or bear turns. This might take years, of success before the luck runs out.

A: Gaps. Dont worry i am not arguing with you, I am adding an extra measure that when assessing a strategy then leverage is a component. Otherwise simplistically - why not just say the past draw downs have only been X, therefore we can leverage ourselves to this....plus for all those people who say I return 100% per month - its not generally scalable - hence why leverage is a valid component to understand....it is certainly not a mute point as many have found to their peril in the past.

As I said before Paul - you are taking HFT as it currently exists....post 2007. Now if you have watched people who trade a lot of volume in this manner, and would be generally considered HFTs they continually need to be in front of the que.....it is part of the strategy. HFT by its very nature made the most of the tools available to it and the fact is they now dominate the market and the spreads are very tight. (But this seems to be what you are debating) I am not sure that some academic paper is going to convince you if the market results dont. Now yes HFT may be devouring itself, and maybe doing illegal trades as you keep insisting - best talk to the SEC, as if you like evidence, then surely they would be stopping it. Plus these are not my definitive conclusions - you may have reached some, I am trying to better understand what happens now in HFT without the PR and sour grapes. Re the costs - again are you talking about HFT as they currently exist? You seem to refer to studies that come from 2007 onwards for your definitive claims. So while I accept there is a lot of sour grapes, and a lot of PR from both sides, I am not defending them as they exist but surely its not just a co-incidence that as HFT in pre and post 2007 has come to dominate the markets and do the volume, and costs have come down (check an old brokerage statement from 15 years ago).....is is this ALL because of computers and decimalization. the results of their discoveries are what - that it costs them more money as they now have to cross the spread when previously they did not have to. Wow - what an insight - a bit like the horse owners complaining about those dang noisy cars. (much like your Ted Bundy comparison - this is not about guilt - unless of course such studies are saying the HFT traders are stealing our (whoops I mean your) money - whereas previously we used to do it )- so no one is disputing their finding that it may be costing them more. A bit like Walmart underselling people....... I am not attacking the messenger, but its a bit tough to get criticism from some one for saying you believe the HFT PR, when here I will prove with my own PR you are wrong. My point is that the focus should be on the real issues - not 'its costing me more' - but those of the risks of the current HFT. You seem to want to demonise the HFT with your own PR Re the liquidity v volume and quoting. Maybe I am being a little too simplistic in my assessments......but I have seen this over the years in many forms. Plus as an ex-equity options market maker that used to constantly deal with people making the same conclusions you have reached.....and if you apply it to many situations in real life.....quotes are largely an illusion. Every had a real estate agent tell you what your house is worth. Ever made a market in something yourself. (In options you used to love those people who wanted to trade at a theoretical fair value price, and then complained if they did not get set) Ever tried to raise money and then go back to the person who said 'yeah i will seed your fund'. Are the HFT under any obligation to set other traders? Now again I will repeat myself.....if the issues are that the HFT are doing something illegal then its a different matter, or the playing field is not level (and it appears its not with the HFT special orders), or they are stuffing quotes, front running and other such market manipulation practives then yes focus on that - not whinge and cry when 'that person renigged on a quote because they had a faster machine than mine', or I did not want to pay the offer, or sit in the machine on the bid, or participate when the sellers were smashing the stock even though I am a long term investor. Isn't this one of the reasons for why dark pools originated? The dreaded word of the truth - Sorry Paul, hard to criticise me when I never claim to state the truth, but you want to, and again, I have referred back to the point that you have taken the recent HFT dominance as the measure from which to measure and then pour negativity on HFT as if it never existed prior to 2007 and its current dominance.....and I am happy to agree with you. Plus then we get to your version of the truth - the illegality of their trades......ok....as I have constantly said, I think this is an issue and if its proven that they are acting illegally you had best talk to the SEC. These are real issues......not people who complain that their business is being reduced due to people who are doing something they used to.....remembering that they too are probably HFT. (Cynic as I may be it pretty easy to see when someone is pushing their own barrow, next we will have the French imposing transaction taxes to punish the speculators - the laws of unintended consequences) Actually why bother.......the banks have been continually breaking the laws for years, are constantly fined for doing so and settle without criminal charges and continue on....... Paul - we are agreeing on a lot of things here - I am not sure if you can see past the PR on that, and if it makes it easier I will concede to the world - I was wrong HFT have never contributed to reducing costs or spreads....I will go one better if it makes it even easier - HFT are increasing costs, thieving bastards who take our money and they took our jobs, and corrupt the youth.....better now?

Hi Paul TC, I think we agree on a lot of things here, and decimalization is definitely a factor, as were the NBBO rules the rise of the computers and access to markets among many of the things. While you may be right that HFT (in its current form) has not decreased spreads further, and is now causing a lot of problems, HFT participants in the past were definitely a factor/participant in reducing spreads and costs. This is not to get into an argument for arguments sake, I would also like to better understand HFT as it currently is - (and maybe Blue this is not the thread for it (if you think that then a new thread might be one to discuss the workings/merits/history of HFT)) - but there are some things that for me, maybe be simple definition differences, or versions of history..... so maybe you could give more light on a few things. Or if we clarify a few things as you see them.....(I don’t care either way for HFT, but I do think the complaints against HFT are just as misdirected) HFT trading has always been around in some form and for the other reasons of quoting in 1/16ths, lack of access to markets, the protection of floor traders and spreads by the exchanges it was the new participants once given the ‘tools’ that naturally reduced the spreads. The old guard was trying to protect their patch. It was not the mums and dads, nor generally the institutions that buy and sell throughout the day who keep spreads in. It is the HFT….and yes they can have co credit, and clearly not all the credit (and maybe I phrased myself poorly in that way – but stick with me here). You may have all the rules and regulations, but if you don’t have the willing and profitable participants then nothing would happen. So while HFT are not the only reason I don’t think people can say they have no value, and while they complain about the ‘benefits’ of HFT not being benefits and that they contribute nothing, its hard to take any discussion on things seriously. Wall st /the exchanges was dominate and now that HFT is dominate people are complaining about the same issues – I was clipped, my spread is too big, these guys are front running me…..same issues different participants....when the real issues might be different. Now…..clearly the HFT has morphed into something different…..as the Nanex guys show its only from 2007….and so I guess you could say these new ultra HFT traders are causing real issues, and ultimately I think this is where a lot of the distinction needs to be made between just HFT, and these HFT now. I think you nailed it with the quote – “when the only relevant comparison, for the purposes of this discussion, is post-HFT(dominance) with post-Electronic but pre-HFT(dominance)” Re the Volume illusion point….quotes which the Nanex guys talk about and the actual traded volume as a percentage of the quotes is the issue. Volumes have increased, and while they may have decreased since the post 2007 highs and GFC periods, they are still higher – a result of the combination of HFT, computers, decimalization etc; Quotes have always been illusionary. Trading volumes are where you wish to trade and actually trade are important, and limit orders still get hit. (The two tiered system is another issue). I still have it yet explained to me how this is any different apart from speed, and volumes of quotes as to what has always been done. Its just front running trying to pick up where the orders are. (as opposed to market making, arbitraging etc) So if you wish to say that it is utter nonsense that the HFT traders don’t contribute as participants then I think you are throwing everything out and blaming other market participants for not adapting. It is equally nonsense to say they don’t contribute. Nobody seemed to mind when the HFT traders did and do provide liquidity, The Pragma securities article is a bit of sour grapes – they are basically saying ‘we were once liquidity providers but now we have to cross the spread to get set because other people are doing the trades in front of us……this is costing us.’ Even they say changing things would lead to reductions in volumes…..so it is definitely an issue of them protecting their own interests first. (no different to the HFT). The dominance of HFT as front running is of course concerning. I 100% agree with you with the issues regards extra order types, legal trades, spoofing and the maker-taker model s, and I also think that people are missing the real issue that may occur as a result of the HFT. Instead they are blaming them for front running their orders, and this is a side show in which the participants may have changed, and new issues have been brought up – the correlation of markets, the speed of contagions and errors, and the effects and looping of these errors….as Knight, and the flash crash has shown. Current HFT may have other issues that we can agree on, and the debate may get sidetracked from those – especially at the national levels, and getting all hot under the collar about claims from one side or the other, does not help. I thought this was the best article of them… http://www.sps.ed.ac.uk/staff/sociology/mackenzie_donald/?a=78186

range bars - and once I have my trade on, I try and do other things, but keep an eye on it- EUR USD similar today - spent hours doing nothing, then fell and rallied sharply.