Paul-TC

"even if it may still exist" could never be considered 'a question'. It's a statement of having no certainty about whether it still exists. Even if it was a question, there is enough information readily available on the web for it NOT to be a question nor a subject about whose existence you're unsure before you start discussing it. lol - Yeah, well - nice try - but I really don't have any issues with anything much beyond your ignorance of what's commonly known and your laziness in not researching a subject before wasting my time and presuming to debate it with uninformed statements - that's all. As I said before, it does become tiresome trying to have a discussion with someone that intellectually dishonest and lazy. To that burden, I now have to add: 'Having to repeatedly spell this out as it obviously didn't register the first time'. As much as I'm sure you'd like to believe otherwise, it really isn't that much of an issue to cause me any problem not discussing this with you any further - OK? Let's just leave it at that (you probably won't - but I will).

Try this: Order Types I just noticed that the list on that website while quite thorough, isn't entirely complete - e.g. 'FaK' is also held at the CME

I only meant that, as there is no way to determine your PIQ exactly, any formula you do use to estimate will be based on a personal judgement or discretion rather than having a probability based formula giving much beyond 50/50 accuracy. I didn't mean a 'random' formula if that's what you're asking. e.g. E=MC2 won't be much use. . OTOH, if you use a feed that provides an API or other program access to more detail about the composition of the queue, you'll be able to improve on that ratio. I agree, Anything that improves a strategy, by even a small amount, is worthwhile. Originally, it wasn't clear to me whether accuracy in determining your PIQ was important to you. From this reply, I see that it isn't As I don't know how you intend to use this information within your strategy, I can't comment on whether knowing your PIQ, even as a rough guess, will really be of any use at all. I can't see how it would be but if it works for you, fill yer boots and good luck. The terms are usually in such a small font that even a Spell Checker can't find errors. P.S. FOK orders are held at the CME. However, not all brokers/platforms offer every order type.

It hasn't been stopped. "If it may still exist" There you go with the unresearched "IF" again, that allows you to not question too hard the fantasy you want to believe? Some 'claim' to have stopped the practice voluntarily (there's no proof that they have) and the SEC proposed an all-out ban 3years ago!! http://www.nytimes.com/2009/09/18/business/18regulate.html?_r=1 Since then, despite all the chest-thumping, the SEC has done absolutely nothing about it! Just earlier this year, they changed their stance and are now only proposing instituting fees instead of their original 'all-out ban'. Flash Trading Gets New Scrutiny By Regulators Now that is semantics. It's an arb. That someone saw it as a licence to front run, doesn't change the fact that they were front running an arbitrage opportunity and they could only profit from it once it became an arb in reality. i.e. If it had not been front-run, it would still have been an arb opportunity once the orders hit the book - which is exactly what their front running algo detected. I'd say most trading tools are predictive - not just algos and HFTs - but I wasn't saying that ALL are as you incorrectly concluded. I only used the front running (of even an arb) as one example of where not everything is necessarily predictive. There are many others. e.g. A breakout strategy, say, buying at 1400 or selling at 1395 (whichever comes first) is a non-predictive strategy. I suppose that even here, if you wanted to be completely anal about it, you could say that you're still predicting that the price won't stay within that 5 handle range for eternity. But that's beyond pedantic. In that case, even putting one foot in front of the other predicts that the ground will still be there by the time your foot hits it.

I didn't mean my example to sound as if it was a one 5000 lot elephant. I had hoped by writing "some time later, orders are cancelled' rather than " some time later an order is cancelled" would make that clear but I'm sorry that it didn't. In any event, the 5000 could be made up of 5000 X one lots and your PIQ could still be somewhere between 1 and 5001 without any means of really knowing where.

I do have a simple question before you move to the more complex markov, time decay etc. suggestions. When orders are cancelled, how do you propose to know whether they are orders that were in front of you in the queue or behind? It seems to me that the range of possibilities is too great to be of much value beyond the most rough of estimates. e.g. You join a queue that has 5000 up and add 100. After your order another 5000 is added making the total 10,100. A short time later, orders are cancelled and the total now shows 5,100. You could be anywhere between positions 1 and 5001. As an aside, Globex did originally make available the 'structure' of every price level. i.e. you could see every order behind each Bid/Ask size. A group of us were given a Demo of its capability but that functionality was removed by the time it went live and never saw the light of day - at least not for the Retail trader.

I would have thought it obvious that I knew it was a question when my response was clearly in the form of an answer. Arbitrage is little more than buying for less than you're selling. The two legs might take place in different Exchanges (or Instruments) but it's still no more than a fancy term for Buying low and Selling high. As such it's a legitimate practice chosen by some who do well with it. It still involves risk - i.e. that the spread will remain in place long enough for both legs to be filled and that no one else beats you to it. To the extent that you believe that the arb opportunity will remain available long enough to profit from it, then Yes, there is some level of prediction in any belief about the future. i.e. If you didn't believe it would remain available for long enough, then you wouldn't make the trade. However, that doesn't mean 'everything' is a prediction and I don't agree that my definition suggested that it was. e.g. Just using an arb trade as an example: If there is no arb opportunity currently available but you receive a flash quote showing a large order or orders that will create one as soon as it/they hit the book, and you can place your order(s) ahead of them, you can then profit from the upcoming arb using those large orders to offset your open position - and no prediction was required.

No - because that is not compatible with...... "trying to detect" and "sniff out where orders might be" ...both of which describe information that is unknown and an attempt to 'calculate' that information (without any guarantee of being correct) and then place trades according to the effect on the market that the 'best-guess' presumes will happen. A prediction doesn't have to be about direction. It's still a prediction by any other name whenever you're trying to 'guess' the value of 'any' data that isn't available to you yet.

LOL - Yes, and there's no Chinese Wall preventing Retail and Investment sharing how to lobby. Even Glass Steagall didn't stop that.

Yes, there's not the slightest doubt in my mind that trading the markets is about risk control - not crystal ball gazing. And crystal ball gazing is all anyone's algo is trying to do - no matter how simple or complex. Of course, if they are basing their algos/decisions on 'inside information', then that's not crystal ball gazing and therefore, a whole different story. It's 'the sort of things they exploit' that's the key. What they say they're exploiting might not be what they're actually exploiting. Or to put it another way: If algos could ever be so prescient, why would anyone with unlimited access to virtually unlimited money, data, computing power, speed of access, software, zero commissions, payment for orders etc., need to commit fraud on a daily basis, cheat and so fervently and expensively lobby to protect against those illegal methods being stopped? I hate to admit this but I was a freelance Consultant specializing in banking software. I apologize but rest assured I will be going to hell

If the algos decisions are based on 'inside information' (I was amazed at what, and how much, flash data is transmitted to the chosen few), then I'd call that front running. I don't think it's front running if the algos decisions are based on data that is available to all. I see how one could consider it so, precisely for the reason that you nailed: It boils down to the definition of 'information'. One definition of 'information' is: 'knowledge communicated or received'. That implies that they have data or 'facts' that no one else can have when all they have are products of calculations and rules of execution. IMO, there is just as much chance of their resulting trading decisions being wrong as someone just trading a SMA. Without doubt, the algos are proprietary, could be so complex and require so much computer power that 99.99% of market participants could never be able to replicate the same calculations. However, at the end of the day, even the 'processing poor's' trading rules and indicators are algos. I can't replicate the results of ALL of those either onto my screens but it isn't a disadvantage and probably much better for my results to not even try. FWIW, In a previous life I was a Software Developer for over 20 years (except we called them Computer Programmers back then). I believed then (and still do) that I can code anything. That belief caused me to think it was THE edge that would make the difference in my trading. I'm sure many Software Developers crossing over have made the same mistake - and they always will. After initially spending many years writing volumes of complex systems and indicators, I found better results when I stopped that approach. I don't auto-trade and now have very bland screens with just a couple of indicators - even those are mostly ergonomically helpful rather than seeking to predict. So, anyone's algo is of no consequence to me and probably not to anyone else either. In fact, my opinion is that they aren't as much of an advantage as even they, themselves assume. Of course, coupled with the dark side of HFT that so many don't want to acknowledge even exists, their effectiveness become something else.

I agree Algos are benign and there's nothing wrong with them IMO. I don't think how one chooses to group or class the two matters all that much - they are what they are. However, as Algos and HFT can exist independently of one another, I personally wouldn't describe one as a sub-class of the other. OTOH, I would place flash orders as a subset of HFT because they need HFT for them to be of any use. Hmmm, I'm not sure if I've understood you but are you saying that flash orders are more or less the same as a sophisticated algo? Or that a sophisticated algo can achieve the same level of front-running as flash orders provide? If so, I don't think I can agree. If, as you said, the algo is given the same data as everyone, the best even the most sophisticated algo can do is make estimations based on complex calculations. By contrast, flash trading removes much of that need to estimate as it provides precise data (to a select few) about EVERY order before they hit the tape and permit them to front run them if desired. A pure algo can't front run without that advance info. In that respect algos are no different to what many traders attempt to do when predicting future price action or trends - albeit using more complex code and more powerful bots. I concur with your description of the front running achievable with flash orders (Obviously, the timeframe is much shorter than the daily close - but I knew what you meant). But I wouldn't describe the next bit as front-running at all. The fact that it involves 'prediction' with 'confidence' resulting from some complex algorithmic calculation is not the same as the 'certainty' with 'no risk' resulting from being provided with data that is 'inside information' and not available to just anyone. I don't think your version is a pauper's version of front-running. I see no front-running within it but just a complex set of code being applied to data that is (almost) 'freely' available to everyone. My take on flash trades is that I don't see why anyone should ALWAYS be able to see, and act upon EVERY order (if they wish), before they've even hit the market. Obviously the regulators agree as front-running is still illegal. Technically, it would be breaking that law to receive flash orders and/or act upon them (I don't know but maybe it would even be an offence to try to get and pay for them). Just because TPTB turn a blind eye to the chosen few breaking that law, doesn't mean that they would permit just anyone and everyone to do it - even if they offered to pay. And that's probably because it would not have any value if they did let everyone have that data. The effect would be exactly the same as not letting anyone have it - which is probably why it's still on the Securities Law books.

What? You reaching unfounded conclusions - again? Just try to imagine my surprise Sorry, I didn't mean to hurt your feelings - hit a trading nerve did it?

Thanks BlueHorseshoe. At least this addresses the issue. , It isn't the algorithm that's the advantage in modern-day front-running. Algorithmic trading is not a problem and I doubt it ever could be. Though the term is often used interchangeably with HFT, they are not the same thing at all. Neither is it true that you're 'picking through the data - exactly the same data that every other market participant can see' nor that 'the data is available to all'. An important subset of HFT is 'flash' trading where the exchanges effectively have a club of favored high frequency traders who get to see orders in a very short period of time – but still a period of time – before the rest of the market (who weren’t members of that club) would get to see them. So now, 'front running', which is still technically illegal, is not illegal for everyone - apparently. I wish front running was the only issue - or even the main problem. It would be the least of our problems. Even here though the method and scale on which it is now conducted is not within the shades of grey of your 20 year old example. The permitted "flashing" of orders to HFT machines — for a fee - is not comparable in its scope or effect on the overall market.

Unresearched concession isn't what I want or expect from anyone. It's that very same unquestioned concession to unproven claims that is your problem. Therefore, it would be hypocritical of me to expect anyone to make the same mistake about a differing position without doing their own research. 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. You're dreaming if you think you're not attacking those with opposing views to yours. Descriptions of Pragma's findings as 'sour-grapes' and snide comments of paranoia or 'conspiracy theorist' is a product of your own sour-grapes towards anyone who may be doing no more (but far more than you) than trying to discover the truth. Given what is now known, It is a partcularly ignorant stance as HFT breaches of Securities Law is neither a theory nor paranoia anymore but a proven fact. All that's left in question really is the scale of the fraud. As I said, I'm sure you're a nice person and while I am no fan of how you reach your beliefs, it's nothing personal. I'm a greater fan of freedom - no matter how it is wasted. However, I just find it very hard to feel motivated to continue a discussion about anything with someone who hasn't even researched what they're defending - or ranting against. Even now, rather than research that which you seek to discuss you instead, immediately issue a list of bullet points for debate. One of which: 'HFT and fraud' for example is a subject to which, by your own admission, you have nothing to contribute. Adding the afore-mentioned, insinuations of possible paranoia or conspiracy - even before anyone has addressed your list - casts immense doubt about your (in)ability to sincerely question your own beliefs. 'HFT and fraud'? BTW, the items in your list before this one seeking to 'define' HFT have no bearing on the issue of the fraud taking place. As you can't provide one iota of evidence to support the claim that HFT was responsible for any benefit not already created by D&ET, I am equally unmotivated to continue that discussion or opinions about definitions. Continuing to do so will merely serve to deflect discussion away from the only issue we should be focusing on. I realize that you're very keen for that diversion to take place - and I made the mistake of allowing that to happen before - but it only serves to distract from the issue of fraud that we should all be very, very concerned with. So...., 'HFT and Fraud' Isn't that something you should research BEFORE presuming to debate it?