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?

It's what matters because that's where we are. Even then, everything before 2007 that you 'claim' supports your view of HFT's value is pure conjecture on your part. For all you know (as you really don't have anything to prove otherwise), it might apply pre 2007 too (but post 2001). You have nothing to show that HFT has produced your claimed benefits that weren't already achieved by Decimalization and Electronic Markets. While queue position and large volume are components of HFT, it is not what defines them. They are much more than that. Many people trade large volume and need to be at the front of the queue too - but that doesn't make their computers HFT. How is that focusing on the issue of fraud? So, you really haven't understood what I'm debating then - That's a shame. Or did you just choose to avoid it and stubbornly stick to your unfounded, 'sour-grapes' soapbox instead? That must be one of the most lame excuses that I've ever heard for being unable to produce any evidence. How do you know it won't convince me? Clearly, you haven't based your opinion on any proof but chosen to just accept what you want to hear without question. In fact, your comment above applies more to you as somone who remains stubborn despite research - doesn't it? Even the one document that you did link to attributes the gains to Decimalization and the advent of Electronic markets. Like you, it then makes the mistake of merely lumping HFT into that mix without any attempt to differentiate between D&ET and HFT or provide any evidence that HFT added any benefits beyond what D&ET had already done. Also, what market results? How many times are you going to make unsubstantiated claims and delude yourself that it's acceptable to just attribute them to what you 'want' it to be, before you understand that it doesn't make it so just because you claim it does? Please think before you make such statements. It really does become tedious having to point out your same error of making unproven claims repeatedly. Good Grief! LOL - What this SEC? The SEC Is Utterly Useless | Wall Street Oasis How Not to Run an S.E.C. Investigation - NYTimes.com Yeah! "Surely, they would be stopping it" Your ignorance and naivety is so stunning that it really deserves another adjective unbefitting of this board . How are you ever going to understand it as long as you immediately dismiss everything you don't want to hear, see and read as PR and sour grapes? Ain't gonna happen. You're right. I am paying a lot less than I was paying 15 years ago. But why did you choose '15' years ago? Why not 10? 15 years ago was before Decimalization and Electronic trading. Change the question to 10 years ago (After D&ET but before HFT dominance) and my answer changes to 'Yes'. I am paying exactly the same now as I was then. You seem to like comparing oranges to apples, claiming them to be the same, and then trying to claim for HFT gains that were made by D&ET. tut-tut! Read it again but this time, try not to cherry-pick the parts that ONLY support your unsubstantiated 'sour grapes' rant and see what else they found. Your bias (stemming from zero evidence) seems to make you very blinkered and blind to what you don't want to see. Hardly the trait of someone 'claiming' to want to learn more about HFT. Well yes, obviously, it isn't about guilt for you - but most people do care about whether 'guilt' is applicable to claims of fraud and it's a bit presumptuous of you to speak for everyone else with such a statement. So, you have no problem, stating as fact, that Pragma were stealing (yet again, despite having no evidence that they ever did) but you are happy to dismiss any study that HFT might be doing the same - but by many greater magnitudes of order - just so long as you can find the slightest reason (no matter how unproven) to cry 'sour grapes' - Yes, I think I got it now. Yes, you do seem to have an irrational fear of the truth. So much so that you do make it very easy to criticize you when you repeatedly rewrite text to what you want it to be. I see a recurring theme with you - no?. You really must try a lot harder NOT to see only what you want to see. Read it again. I asked "How does that seek to discover the truth?" - not - "How does that state the truth? I make no apologies for seeking to discover the truth rather than avoid it if it doesn't fit what I want. I prefer to leave the habit of denial for others. You're delusional. You aren't even close to 'focusing' on the real issues at all - you are avoiding them (fraud) like the plague with only a cursory mention of them rather than a focus. You're focusing on what you want the issue to be. You won't find a single instance of me saying that "it's costing me more" but you're happy to present that as THE issue. FWIW, I never trade Stocks, HFT doesn't affect me in the way it affects those traders. But the effect of fraud upon them affects us all. All I've concentrated on is the fraud of HFT and the lie that its apologists and supporters perpetuate about its (always unproven) value. In response, you again engage in another unfounded self-delusion. Only in your mind is the 'cost' of it THE sole issue as you carefully avoid every shred of evidence, very widely available, that the 'cost' is only the result and may be caused by fraud on a very large scale. "IF"? - Really? You are only now considering "IF" something illegal may be occurring in HFT and you only now describe it as being 'possibly' a different matter? The very issue that I raised early this thread and which you have chosen NOT to focus on but instead chose to concentrate on groundless claims of 'sour grapes' by Pragma. You, who continually claims to be someone who wants to learn about HFT? How much research could you have possibly done in furthering that claimed desire for knowledge about HFT that here, in August 2012, you still have no idea 'IF' any Securities Laws are being broken by HFT ?? And having now been alerted, has that caused you to research it before defending or dismissing it? Hardly! You then you have the audacity to debate the subject despite an admission of no research of the criticisms 'actually' being levelled - only the ones you'd like to be levelled. And you're OK with that? Really? You seemed more intelligent than that. I apologise, it's entirely my fault for not noticing sooner. You seem like a very nice person but such intellectual dishonesty and laziness only wastes everyone's time and I really can't see any point in discussing this with you any further.

Wow, I wish I was an expert on every order type of every Exchange:rofl: I think you'd have to check with each Exchange - and even each Instrument may be treated differently but one of the main differences is that not all exchanges operate a FIFO hierarchy. The order in which trades are filled is according to a ratio algorithm - Eurex being the most well-known example I guess.

While it's very easy to state that HFT was 'definitely a factor/participant in reducing spreads and costs' - and then present it as an incontrovertible truth, I've never seen any hard evidence to support it. However, I have seen results of studies that show that they haven't been a factor. In fact, some of them (like one I posted a link to) go further and conclude that HFT has actually increased the costs. I accept that you may not need the same level of supporting evidence to reach your 'definite' conclusions about HFT's claims as I do, and you have every right to, but not everyone 'does' unquestioned faith when faced with unsubstantiated claims. I also accept that The Pragma Securities article 'might' be sour grapes. I really don't know that it is - but as you don't either, I'll make that issue easy for both of us and assume it is. However, it's irrelevant. Sorry, but ad hominem attacks of messengers while conspicuously avoiding the results of their discoveries never sits easy with me. e.g. If Ted Bundy claimed that his investigations revealed that Jeffrey Dahmer was a murdering psycho, does it make Jeff any less guilty because of Ted's 'sour grapes' ? All that matters is: Were the findings of their study accurate? I'm more than happy to listen to anyone who has a counter-study that debunks their findings but I haven't seen one. All I'm hearing in response is equally unsubstantiated speculation about 'sour-grapes' as the reason for their study and that is not an acceptable substitute for an opposing study. No one said volume hasn't increased - but again, volume is NOT the same as liquidity - and that is what has dried up. Actual traded volume as a percentage of the quotes is not the only issue either. e.g. If you and I trade 1000 shares of a $10 share back and forth 100 times (or I wash those trades myself 100 times), the volume on the tape 'appears' to be 100K but, at best, the real volume is only 1K. The trades provide no liquidity because the HFT machines ensure that they can never be traded by anyone else - but I/we would get rebates from the Exchange. I don't really know what to say. You've said nothing in that paragraph but have just complained about the complainers? How does that seek to discover the truth? Using the same principle, one could just as easily reconstruct that paragraph and say: "One could have all the fraud and crime but if you don't have willing and honest participants seeking to expose it then nothing would happen. So while HFT 'might' be blatantly defrauding investors, I don't think the unwilling people can say that HFT has 'definite' value when they provide only purely subjective opinions about that value but then complain about any entity that endeavours to provide more stringent tests as being 'sour grapes' - without providing even one iota of evidence that their studies are wrong". Yes, it is very hard to take any such discussion seriously. Even the article you posted a link to states: "Spreads in the U.S. have come down rapidly in recent years, often falling to the lowest possible value in the current pricing regime, one cent. Although multiple factors are involved – most obviously the reduction in 2001 in minimum increment from one-sixteenth of a dollar to one cent – the growth of electronic market-making has almost certainly led to lower spreads" So, it attributes the reduction to decimalization in 2001 (before HFT dominance) and electronic trading. It makes no mention of any studies showing that HFT 'caused' that lower spread as you originally asserted. Furthermore, like you, it just 'states' that HFT did without providing one shred of evidence. I have said this twice already but I'll say it again. There is nothing wrong with just legally executing trades with a high frequency - or even a very high frequency - but that is not what they're doing. They are not legally executing trades and the high frequency with which they are able to pull, spoof, quote stuff etc. does not benefit anyone but them. There is no evidence, at least I still haven't seen any, that HFT has - or even could - reduce spreads beyond what decimalization and electronic trading in general has already done. By not being able to show (with hard evidence) that there is a benefit to the lay investor/trader, one must, at the very least, consider that there may not be one. If in fact, there is no benefit and if it exists purely to facilitate a crime (There's no 'if' anymore really, It has already been proven that they are breaking several Security Laws on a daily basis - all that is in question now is whether it is 'purely' for that purpose), then unquestioningly defending its wholly unsubstantiated claims of spread (or any other benefit) only further empowers them and enables the crime. I don't believe in just attacking HFT for the sake of it but if repeatedly being caught breaking the law doesn't cause you to question their (and your own) unproven claims of their benefit, then what will?

Iceberg orders can differ according to the Exchange. Some Exchanges don't hold them as native orders at all and, if required, they have to be managed locally instead. Even Icebergs that are held natively, don't reload under the same rules. So check carefully with each Exchange directly if Iceberg orders are important to you. As you're specifically asking about the ES on Globex, which operates a FIFO hierarchy order system, each 'MaxShow' does go to the back of the queue when it's reloaded - as you said. So, I think what you're asking is: If there's an Iceberg order for 500 with only 10 showing at any time and you add, say 20, to the queue while only 10 are showing on the book - (which will now show 30), are you in positions 11-30 or positions 501-520? You are in positions 11-30. If 10 are traded, 30 will still show (after the Iceberg order reloads another 10), but as the new tranche reloaded from the Iceberg order has a new, later timestamp, it is subordinate to your order and so you will now be in positions 1-20. Note: Native Globex Iceberg orders are not refreshed according to Bid/Offer levels reaching certain levels on the book. They are only refreshed after each 'MaxShow' tranche has been traded in full. To reload according to any other criteria can only be done programmatically at the local level rather than by the Exchange.

Sorry, I should have added this to the previous post but I hit enter too early and I'm unable to edit because I'm new here and my posts are still being monitored before being added. You are describing the advantages gained with the advent of electronic trading over the old, manual method - and you are absolutely correct. It was a truly wonderful thing. Electronic markets did originally level the playing field as you point out. Unfortunately, you then spoil it by mistakenly attributing that improvement to HFT - with zero consideration of the very real fact that access, speed of execution and spreads had nothing to do with HFT and that they all improved before HFT's dominance. In short, you are continually, comparing post-HFT with pre-Electronic/pre-Decimalization when the only relevant comparison, for the pruposes of this discussion, is post-HFT(dominance) with post-Electronic but pre-HFT(dominance) ...... and also well before HFT - which is my point. Because the volume is mostly an illusion, fleetingly displayed (if at all) but unexecutable, or 'washed' by buying/selling their own orders, ad nauseum, for the liquidity rebates given by the Exchanges. Google is your friend and "Whats the difference between Volume and Liquidity HFT" will be a much-needed education for you - and just in the first 4 articles. Similarly, unquestioned belief in the myth put forth by HFT about their responsibility for the narrowing of spreads is not supported by studies done by Nanex : Nanex ~ The Tighter Spreads Lie .....and, according to this study, may even be detrimental to those spreads that so many mistakenly believe have narrowed because of HFT: High-Frequency Trading Is Costing Investors Billions: Pragma Securities - Advanced Trading As I mentioned in another post, how quickly legal trades are executed is not the problem. If that's all HFTs were doing, we wouldn't have a problem - but then they probably wouldn't exist to any great extent as their risk would be too great without the rebates, permitted spoofing/layering, etc. etc. However, it is utter garbage to attribute access, 'fairness' and spread gains to HFT when it should be obvious, and is demonstrably provable, that it's the result of decimalization and electronic trading. No one ever suggested, or even thinly implied, that they didn't occur before HFTs or computers. I don't see why you feel the need to address the suggestion as if it had been made. But as you brought it up... : It's comparatively early days in HFT's history and so we may have too small a sample size to make any definitive conclusions. However, what can be observed so far is that their occurrence has been more frequent, more violent, with wider spreads and lower liquidity than ever seen before. Admittedly, HFT never promised to eliminate these events but its record so far is the complete opposite of everything that HFT claimed would dramatically improve.

Nonsense, it doesn't matter who pushed for decimilization. It was the decimilization that produced the reduced spreads - not the HFT process itself - as you originally asserted - which only started to dominate waaay after the spreads had already narrowed. If there was another group (let's call them the LFT (Low Frequency Trading - or even the cake-baking-grannies of Minnesota) who pushed for decimalization - and achieved it, the result in spreads would have been the same but would have had nothing to do with how infrequently they trade or how they make their cakes.

I presume you meant 'no credit' rather than 'co credit'. If so, I agree and inappropriately giving HFT the credit for narrowing the spread applies to Stocks and Options too. IMO, HFT supporters perpetuate this myth to justify its existence. I don't believe the order limit was in place because the eminis were created for the smaller trader. It was always designed to succeed the pit-traded SP eventually. The limit (which was gradually raised to 100, then 250 and now almost unlimited) was put in place while the CME ironed out a few teething problems on Globex. The limit prevented 'sweeping the book' by the bigger players until the engine was stable and the volume traded grew. Most were still trading the SP back then and phoning their orders in. Many of them were resolute in refusing to 'go electronic' so the volume took a while to pick up but the spread was still 1 tick under 'normal' conditions. Worth pointing out that I never experienced more than 2 tick slippage (although I accept that there must have been times that I might have been), during the 'flash crash', despite HFT, the spread grew to 10 full handles (40 ticks!). I should clarify that HFT, if taken to be no more than its name implies, could never be a problem. How fast and frequently 'legal' trades are executed is irrelevant. It's the fact that they are being allowed to enage in tactics that are illegal according to Securities Law. e.g. Orders are often being placed with the sole intent of NOT being executed and are rendered not executable due to the speed with which they are pulled. Layering, spoofing, quote stuffing, wash trades - all of which are illegal - occur every day but only in rare cases are they punished with paltry fines and permitted to do so with no admission of any guilt. e.g. High-frequency trades earn $2.3m fine - FT.com It is also troubling that these volumes seem to be growing with no increase in margin being placed to cover the positions. e.g. Knight Capital Group acquired $7 Billion in Stocks at one point when it had less than 10% of that in cash for margin? If there is payment to HFTs for trades, it will encourage wash trades, quote stuffing, spoofing et al. If you add to that no limit on how much can be traded (i.e. no margin requirements), strangling the market in 4 tick ranges (sometimes for hours) while 100's of thousands of contracts 'appear' to be legitimately traded is going to be lucrative. And that's exactly what we see every day soon after the open. It started in about 2003 during which I recorded the lowest RTH range of 3.25 points in the ES. As with everything 'bank' related these days, it isn't the lack of regulation that's the issue, it's the woeful lack of enforcement. Of course, it is still possible to make money in the ES (even easier in other markets) but price 'discovery' has been replaced with price 'control' and such strangulation of the market in such narrow ranges for extended periods removes a lot of trading opportunities that used to exist. By way of coincidence, Denninger just posted an article on his website yesterday about this same HFT issue. HFT Mess -- A *SIMPLE* Answer in [Market-Ticker]

The spread has never been an issue on the ES. I began trading it in 1999 on a dedicated Globex Terminal and it's always had a 1 tick spread during normal volatility. That was true even when the order size was limited to a max of 30 contracts!

A common misconception - probably initiated and perpetuated by the HFT crowd which attributes the reduced spreads to HFT rather than the real cause - 'decimalization'. It was decimilization that was responsible for the decreased spreads in Stocks by 2002 when HFT still only acccounted for about 10% of the market. http://www.gao.gov/new.items/d05535.pdf FWIW, HFT doesn't increase liquidity either. It increases volume - not the same thing - especially in melt-ups/downs.

I raised the question about why onesmith's post was deleted if, as claimed, management confirmed that the post was not a personal attack. It's hard to imagine that it was off-topic if it named the subject of the Thread Title that many times. There has been no response from any of the moderators. I don't want to debate the reasons. It's your board so you can make whatever rules you want - no matter how inconsistent or biased they may be. However, it's in every member's interest to know why a post was deleted if it did not contain a personal attack. And it's in your interest to let us know why. Only then can we ensure that we don't make the same mistake in future posts. Otherwise it wastes your time moderating/deleting them and increases your workload. I'd have thought it would be important for you to reduce that workload, particularly as you wrote that: "moderating this thread is not something I enjoy!" It's difficult for us to meet your request to: "Lets all get on the same page" , if you can't be bothered to let us know what that page is that warranted the deletion of a post that allegedly did not contain a personal attack.