Comments on: Why there’s less high-frequency trading

By: EllieKim

EllieKim — Tue, 12 Mar 2013 15:13:15 +0000

This and other topics that are relevant for speed traders and institutional investors will be discussed at High-Frequency Trading Leaders Forum 2013 London, next Thursday March 21.

By: wilbur2012

wilbur2012 — Wed, 17 Oct 2012 11:20:06 +0000

there is a very simple reason for less HFT activity and profits that seem to be lost on the author; the fact that the last 6 months have been the least volatile in 6 years. In times of high volatility, there is more demand for liquidity and as suppliers of liquidity there will be less demand for their services.
I find it quite unbelievable that the author still maintains that HFT is a bad thing when he actually shows a graph depicting a fall in institutional trading costs by almost 50% in the last decade! So where exactly are these negative effects?

By: qusma

qusma — Tue, 16 Oct 2012 18:24:39 +0000

This just shows that we have reached the limits of arbitrage on the time scale. I like Cowen’s idea of decreasing the size of the minimum spread from the (absurdly large) 1 cent, to something like .01 cents. Force the bots to compete on price instead of just time, and everybody wins.

By: jmh530

jmh530 — Mon, 15 Oct 2012 22:32:40 +0000

@Auros After thinking on it more, I would instead prefer something similar to a taker fee or something like that. So a quote that is out 1s or more (or something like that) has no extra fee, but the less time the quote is available before being canceled the greater the fee.

By: Auros

Auros — Mon, 15 Oct 2012 22:26:05 +0000

I love jmh530′s idea of forcing bids to stay good for some minimum period of time. Even if you made it something like five seconds, that would nuke much of the HFT nonsense, while remaining invisible to normal human beings.

By: TFF

TFF — Mon, 15 Oct 2012 22:21:44 +0000

All good ideas. If you can’t run your operation without spamming the book, it isn’t worth running. And a small fee won’t get in the way of legitimate trades — while providing clarity to the market activity.

Efficient markets require freedom of information. The present system is intentionally opaque.

By: Eericsonjr

Eericsonjr — Mon, 15 Oct 2012 20:12:11 +0000

+1 on financial transactions tax. Small, uniform, and universal. Slow ‘em down.

By: jmh530

jmh530 — Mon, 15 Oct 2012 18:52:44 +0000

Not sure I agree on the financial transactions tax. Some useful things they could do though is 1) put a requirement that orders can’t be canceled until a certain period of time has passed, 2) sub-decimal pricing, 3) make the maker-taker fee a function of the bid/ask spread (when the bid/ask spread widens either absolutely or relative to recent history, those who make liquidity should be paid more).

By: TalF

TalF — Mon, 15 Oct 2012 17:57:29 +0000

If orders are the problem, why not a financial orders tax? If the goal is to discourage HFT, seems like that would disproportionately affect the HFT guys without getting much in the way of real money traders.