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Should computer pragrammed trading be banned?
arty
post Posted: Apr 26 2015, 09:40 AM
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In Reply To: arty's post @ Apr 23 2015, 06:49 PM

A little update on the Sarao case:

http://finance.yahoo.com/news/woking-wall-...-142253933.html

"The man is a legend!" just shows how wide-spread - and unregulated ! - the use of HFT algorithms is.



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I trade daily, but I am not a licensed adviser. Whether you find my ideas reasonable or not: The only person responsible for your actions is YOU.
I follow two rules: (1) There are no sacred truths. All assumptions must be critically examined. Arguments from authority are worthless. (2) Whatever is inconsistent with observed facts must be discarded or revised. We must understand the Market as it is and not confuse how it is with how we wish it to be. (inspired by Carl Sagan)
 
arty
post Posted: Apr 25 2015, 12:34 PM
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In Reply To: nebo's post @ Mar 17 2015, 10:55 AM

QUOTE
I also dont "day trade" but rather short term, because the robots do days, so i dont.

Hi nebo,

That's one way of adjusting to a changed environment: Just don't fight above your weight.
The other option is: If you can't beat them, join them.
  • For example, you can sign up with a broker that gives you access to those Dark Pools. You may not see the volumes in real-time, but you can place a few strategic orders at different half-step levels and track the direction by noting which orders are taken out.
  • You can also keep an eye on regular micro trades (on ASX and ChiX) and analyse what's going on there. There are plenty of algorithms that evaluate trades relative to bid/offer positions. Combining charts on scales with Daily, half-hourly and seconds ticks usually helps me catch Intraday swings and use consolidated HFT and bot trades as direction finders. I'm not that ambitious that I have to catch the absolute High and Low of those quick swingers; as long as I get the overall direction right, catching half, even a quarter of a 10-minute swing can pay reasonable wages.
  • Longer-term swings, e.g. where a secret accumulator prepares for Corporate Action, can be quite reliably identified by keeping an eye on notices from "substantial holders". Unless the holding levels oscillate around 5%, indicating a fundie doing some swing trades on a slightly larger scale than we do, I check a Broker Report when I suspect a gradual increase - which rarely happens overnight. Those reports may not tell me the exact client, but show which brokers are net buyers and which net sellers.
That type of trading does require intensive observation in front of a screen, so it may not suit everybody. It does suit me though.



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I trade daily, but I am not a licensed adviser. Whether you find my ideas reasonable or not: The only person responsible for your actions is YOU.
I follow two rules: (1) There are no sacred truths. All assumptions must be critically examined. Arguments from authority are worthless. (2) Whatever is inconsistent with observed facts must be discarded or revised. We must understand the Market as it is and not confuse how it is with how we wish it to be. (inspired by Carl Sagan)
 
flower
post Posted: Apr 23 2015, 07:20 PM
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In Reply To: nebo's post @ Mar 17 2015, 10:55 AM

nebo--what is your experience--- if any of switching to a weekly chart, realise one is in a stock longer possibly than intended, but you would eliminate bot influence surely?



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Combining Fundamental comments with Fundamental charts.
 
arty
post Posted: Apr 23 2015, 06:49 PM
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Here is water on some Luddites' mill: http://www.nytimes.com/2015/04/22/business...crash.html?_r=2

Navinder Singh Sarao makes a handy scapegoat behind whom all big HF algo traders will hide. How dare he milk the markets for his own personal advantage! That right should remain reserved for the Wall St outfits that operate to benefit their directors and shareholders. sadsmiley02.gif



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I trade daily, but I am not a licensed adviser. Whether you find my ideas reasonable or not: The only person responsible for your actions is YOU.
I follow two rules: (1) There are no sacred truths. All assumptions must be critically examined. Arguments from authority are worthless. (2) Whatever is inconsistent with observed facts must be discarded or revised. We must understand the Market as it is and not confuse how it is with how we wish it to be. (inspired by Carl Sagan)
 
nebo
post Posted: Mar 17 2015, 10:55 AM
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In Reply To: stezz's post @ Mar 12 2015, 10:16 PM

I personally dont mind the algos.
Market has always been want my money...come get it.
I have always bought and sold off someone I have never seen.
Today they just take 10 shares at a time, for a whole day or two. is silly but that is what happens.
I don't buy at market anymore , haven't for years.
I also dont "day trade" but rather short term, because the robots do days, so i dont.
What i personally don't like is the dark pool side of things.
The whole idea is so the public did not see a build up of volume, for a bid etc.
To my mind it is no coincidence that his happened and the off market takeovers that occur with regularity now instead of takeovers at premium.
Got a problem in your company, Sell in dark pool, announce at the statutory maximum time period.
Want to buy a big chunk, buy in dark pool.
before we had dark pools, we could see in volume,things happening.
now not so much. This is about constant disclosure, which is supposed to happen but does not.
regards,
Nebo


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stezz
post Posted: Mar 12 2015, 10:16 PM
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In Reply To: nipper's post @ Mar 12 2015, 02:51 PM

For a long time I was watching the bot trading on the asx wondering how they made money from their trades and while I had my suspicions, it wasn't until I read the flash boys by Michael Lewis that it all became clear.

After reading his book it is clear to me that CHI-X wouldn't exist if it were not for the existence of HFT (imho)

fwiw I still see front running by on many asx stocks when I submit an order and it helps understanding the tactics and methodologies of the bots when placing orders.

 


nipper
post Posted: Mar 12 2015, 02:51 PM
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on the newswires
QUOTE
The corporate cop has shut down high-frequency trading activity that breached rules set in 2010 in both the ASX and Chi-X dark pools with the aid of its new market surveillance system. In its latest market surveillance report, ASIC said its much faster surveillance technology had identified a "persistent pinging strategy" in a top 20 ASX listed security trading in ASX's Centre Point dark pool and Chi-X Australia's "hidden public dark venues".

High-frequency traders ping with very small orders to find buyers and sellers in stock in order to "front run" them, buy the stock ahead of the broker and then sell it to them at a profit.

ASIC said the behaviour has ceased after they intervened. Between July and December 2014 it also reviewed and amended 26 order execution methods and trading algorithms. Its surveillance analysts also uncovered hacking of retail online share trading accounts.

"While enforcement outcomes are important from a deterrence perspective and send a message to industry that market misconduct will not be tolerated, ASIC's early engagement with participants about inappropriate conduct or poor compliance is crucial to maintaining market integrity,' said commissioner Cathie Armour in a statement.

ASX chief Elmer Funke Kupper argues rival Chi-X Australia mainly serves the interests of high-frequency traders. Chi-X chief John Fildes rejects his claims and cites the money ASX is making out of HFT with the connections in its data centre. Mr Kupper says ASX's Centrepoint dark pool has cut out the downside of HFT while keeping the liquidity benefits.

The US Securities Exchange Commission has been accepting multi-million settlements from some market participants, including UBS, for facilitating similar pinging, or "sub-penny" orders.

Greg Yanco, senior executive leader of Market Participant Surveillance, said ASIC is now better equipped to recognise and respond to market misconduct.

"We can now analyse equities and derivatives data in far greater detail than the previous system allowed for. We've also created new insider trading and market manipulation reports to more efficiently analyse large volumes of trading data. "These improved surveillance capabilities position ASIC better than ever before to detect, investigate and prosecute trading breaches," Mr Yanco said.




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"Every long-term security is nothing more than a claim on some expected future stream of cash that will be delivered into the hands of investors over time. For a given stream of expected future cash payments, the higher the price investors pay today for that stream of cash, the lower the long-term return they will achieve on their investment over time."
- Dr John Hussman
 
mullokintyre
post Posted: Oct 3 2014, 09:34 AM
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From Bloombergs
QUOTE
A high-frequency trader was indicted for “spoofing” -- placing and immediate canceling orders as a way to manipulate commodities markets -- in what the U.S. Justice Department says is the first criminal case of its kind.Michael Coscia, 52, of Rumson, New Jersey, the principal of Panther Energy Trading LLC, was indicted by a federal grand jury in Chicago and charged with six counts of commodities fraud and six of spoofing. He’s accused of illegally reaping almost $1.6 million as a result of orders placed through CME Group Inc. (CME) and European futures markets in 2011.

Coscia last year settled civil claims by the U.S Commodity Futures Trading Commission by paying a $2.8 million fine and consenting to a one-year trading ban.

The anti-spoofing statute is part of the 2010 Dodd-Frank Wall Street Reform and Consumer Protection Act. Some trading firms have found the definition too vague and pressed CME to be more specific, two people familiar with the matter said last month.

Mick





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arty
post Posted: Sep 6 2014, 11:56 PM
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All you need is a faster computer that can beat the ones of Goldman Sux & Co.
I've just been sent a description of this little beauty:
http://www.idgconnect.com/blog-abstract/87...rt-greater-plan

No wonder so many passwords are being cracked by sheer brute force - with a beast like that at China's disposal...



--------------------
I trade daily, but I am not a licensed adviser. Whether you find my ideas reasonable or not: The only person responsible for your actions is YOU.
I follow two rules: (1) There are no sacred truths. All assumptions must be critically examined. Arguments from authority are worthless. (2) Whatever is inconsistent with observed facts must be discarded or revised. We must understand the Market as it is and not confuse how it is with how we wish it to be. (inspired by Carl Sagan)
 
flower
post Posted: Jun 27 2014, 11:56 PM
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The chickens are coming home to roost:

http://www.bloomberg.com/news/2014-06-27/m...ays-action.html

For years, brokers and traders have assured anyone who cast aspersions on America’s electronic stock market that the concerns don’t add up. Then came Eric Schneiderman.

New York’s attorney general has spent a year digging for dirt on two of the main features of modern market structure, dark pools and high-frequency trading. This week, he hit a vein with a 30-page complaint against Barclays Plc. (BARC)

Schneiderman’s suit against the British bank alleged Barclays executives lied to customers while secretly cozying up to high-frequency firms. In doing so, he emboldened those who contend the private venues are havens for bad actors taking advantage of mutual and pension funds. The action provided ammunition to those who say the stock market’s opaque structure mainly serves insiders.

etc etc etc.





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Combining Fundamental comments with Fundamental charts.
 
 


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