Jun

19

HFT, from anonymous

June 19, 2015 |

NANEX.net (the modern day Robin Hood of high frequency information dissemination) has a couple of absolute 'doozies' on the website lately.

I won't go into the specifics but all should read the latest from the site once or twice a month. It's great entertainment. Kind of like a celebrity gossip site for people in the game.

Just one thing to note with a comment:

Quotes for Large Stocks and ETF's are cancelled in less than 100 ms 35-45% of the time and cancelled in less than 1 second in 55-75% of the time.

Intriguingly, a notably lower percentage of quotes are cancelled for mid to low priced Etf and stocks.  I wonder why that is. I gather there is an institutional reason to do with the infrastructure. In the blink of an eye (takes 200 ms — twice the time in which 35-45% of quotes cancelled). I feel my blood temperature rise.

But, where we once had the horse and cart, we now have the Maserati Quattroporte! And as such we need to move on. (take a look at microwave technology's entry into data transmission in markets if you want to be really disheartened).

If your view is that you cannot beat them then there are ways to join them. Virtu is one such and there are plenty of shops out there.

We shall see if this activity is stopped or lessened by regulatory activity in due course (I don't see how, when many from the regulatory field have left to join the party).

I thought that Virtu going public, and magnanimously allowing ordinary stockholders to join in the fun, would lessen the future returns from this activity in true 'Baconion' fashion…I guess we shall have to wait and see.

It certainly would be the apogee of Bacon's "coppering the public".


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1 Comment so far

  1. Ferdinand on June 19, 2015 6:07 pm

    Also timely:
    http://www.flowtraders.com/
    On 18 June 2015 we announced our intention to float on Euronext Amsterdam

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