Noticing More Poor Fills

[Predictor 11]

I've been noticing a higher percentage of bad fills in ES, like losing 2 ticks on market orders. I had this happen today even though the market didn't appear volatile.

 

Is this a sign of increased HFT activity or merely a coincidence? It may also just be result that doing more "micro trading".

 

Thoughts discussion

[MightyMouse 12]

I've been noticing a higher percentage of bad fills in ES, like losing 2 ticks on market orders. I had this happen today even though the market didn't appear volatile.

 

Is this a sign of increased HFT activity or merely a coincidence? It may also just be result that doing more "micro trading".

 

Thoughts discussion

 

HFT adds liquidity. So, a 2 tick slip might be a lack of HFT.

[Predictor 11]

There is debate on this... it is also said the HFT have caused a decrease of institutions to sit at the limits which could increase slippage. There was a report. I think it might be true. if the institutions decrease their trading on the futures then the retailers will follow suite.. hope the exchanges are paying attention.

 

HFT adds liquidity. So, a 2 tick slip might be a lack of HFT.

[MightyMouse 12]

There is debate on this... it is also said the HFT have caused a decrease of institutions to sit at the limits which could increase slippage. There was a report. I think it might be true. if the institutions decrease their trading on the futures then the retailers will follow suite.. hope the exchanges are paying attention.

 

HFT preys on the institutions. If you are correct and institutions are not sitting at the limits, then HFT is unprofitable and it will die. They cannot survive attemtptint to profit from short term retail traders.

 

What did it do after the 2 tick slip?

[wrbtrader 10]

There is debate on this... it is also said the HFT have caused a decrease of institutions to sit at the limits which could increase slippage. There was a report. I think it might be true. if the institutions decrease their trading on the futures then the retailers will follow suite.. hope the exchanges are paying attention.

 

You used the word "if"...there is no if. The fact is that they have decreased their trading and so have retailers to the tune of about 10 billion dollars so far in January in comparison to January last year. In fact, there's been a record amount of money pulled out of the markets in comparison to prior years of trading activity and investing activity...depending upon which report you read they are saying its the most amount of money they've seen pulled out of the markets in the past 5 - 7 years.

 

The HFT did not cause this...its caused by the global economic crisis. There's just a lot folks (traders) keeping their money on the sidelines and as usual the result will be wider spreads, more slippage and less trade opportunities.

 

How does the markets usually respond to us retail traders when such occurs?

 

Well, every time I've seen something similar to this before in the past...yet not as a record amount of money being pulled out of the "trading arena"...trading fees will usually increase, data vendors increase fees on accessing their data and so many other things start to increase in cost that most retail trailers will have a very difficult time in adjusting to the increased cost of trading.

 

In fact, I've seen LESS interest in trading discussions at most forums that's its easily noticeable while noticing MORE trading discussions by the veteran traders that trading has become more difficult.

 

You can see all of this in how "traders and investors have responded" via the price action of the $VIX or $VXX (take a look at their daily and weekly charts). They're getting lower and lower as many key participants and the average Joe retailer in the markets continues pulling their money out of the markets in record numbers.

 

Lets put it this way, when brokers start making phone calls to encourage more traders to trade under the facade of "I'm just calling to see how things are going for you"...that's when you'll know its really bad.

Edited January 21, 2012 by wrbtrader

[Tams 20]

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transitioning from paper trading to real money is always an eyeopener.

[Predictor 11]

Well the institutions have perhaps adapted to use market orders or iceberg limits.

 

Does the FOK a market order that gets filled at desired price or killed?

 

It went right back where it was before. It happened in less then the blink of an eye. Its also possible that everyone had MIT orders set where I went to market.

 

HFT preys on the institutions. If you are correct and institutions are not sitting at the limits, then HFT is unprofitable and it will die. They cannot survive attemtptint to profit from short term retail traders.

 

What did it do after the 2 tick slip?

[MightyMouse 12]

Well the institutions have perhaps adapted to use market orders or iceberg limits.

 

Does the FOK a market order that gets filled at desired price or killed?

 

It went right back where it was before. It happened in less then the blink of an eye. Its also possible that everyone had MIT orders set where I went to market.

 

It could be that the market was simply laughing at you. It happens to me all the time.

[Moyyim 10]

I've been noticing a higher percentage of bad fills in ES.......

 

Is this a sign of increased HFT activity....

 

 

 

What % of daily volume traded in the actual ES / Futures markets is attributed to HFT ?