From Sal & Joe at Themis Trading comes this terrific timeline regarding the events surrounding high Frequency Trading.
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click for ginormous chart
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Hat tip Kate Welling
Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data, ability to repeat discredited memes, and lack of respect for scientific knowledge. Also, be sure to create straw men and argue against things I have neither said nor even implied. Any irrelevancies you can mention will also be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.
"Overall household indebtedness is up from $7 trillion to almost $10 trillion since 2000. On this sum, we estimate, the American consumer has an annual interest bill of more than $500 billion; a sum, by the way, that vastly exceeds his current income growth." —Kurt Richebacher
Knowing that the vote over the weekend in Greece was really a referendum on Euro membership, a majority of the Greek Parliament said yes to staying. European Finance Ministers meet again on Wednesday to solidify the 2nd bailout package for Greece at the same time hopefully a deal is consummated between Greece and its creditors this week. The Greek 14.5b euro bond that matures on March 20th is up by 2 pts. The optimism that all will be completed and contained AGAIN to Greece has yields lower in Portugal, Spain and Italy. The iTraxx Financial Index is also narrower by...
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June 15th, 2010 at 11:14 am
HFT has absolutely no justification for anything else but some gamblers robbing investors and other gamblers. Put a ban on selling of the same share more than once a day; and a sales tax on every single sales. Yes it is a good thing to let the market be free, but there is no additional good in allowing sales at the current pace.
June 15th, 2010 at 11:30 am
HFT seems like a tax on normal investors. Except the tax isn’t by the government, it’s a tax by the banks.
June 15th, 2010 at 11:54 am
HFT contrary to popular notion, does not provide for more liquidity than would otherwise exist. HFT is NOT good for the small investor and is in fact harmful. HFT profits from their activities and the exchanges profit and that is about it. It is high time that this issue be addressed.
June 15th, 2010 at 1:32 pm
It’s settled. Real traders only use supercomputers.
June 15th, 2010 at 1:33 pm
This is not a well thought out argument. You cannot draw the conclusion that, because dark pools took off, certain exchanges started operation, blah, blah, blah, we suffered a dip (and since recovered most of that), therefore HFT was responsible. I am not buying it. These programs and the people behind them buy AND sell. During the flash crash, they should have been buying like mad. The only reason I can guess they weren’t is if they were programmed wrong, or some human stepped in to turn them off. Even then, other buyers should have stepped in like it was a 2 hour clearance sale at Best Buy. I had moved to cash and treasuries before the dip, because the market had met its upside objectives, and was waiting for lower prices to again buy (which we got). I still prefer this to having specialists rape the public when buying stocks. In my opinion, that was worse.
June 15th, 2010 at 2:15 pm
‘This is not a well thought out argument’. That is not a well thought out argument.
June 15th, 2010 at 3:19 pm
HFT is an issue; but the issue is one about equitable market access, not about market stability in spite of or due to it.
June 15th, 2010 at 4:12 pm
This truly is an awesome bit of detective work.
HFT trades more frequently. Hence the HIGH followed by FREQUENCY and TRADING.
I’m kinda surprised by this discovery. It does explain why my homemade HFT system has underperformed lately though. It hasn’t done shit in like a month. I thought it was having girl problems or something.
I will have to have a talk with it tonight and show him these volume numbers. He had better get his shit together. I’ll have a non-union Mexican HFT program in here in a minute. Or maybe I’ll pay an Indian HFT have his friggin wages.
Either way I need more frequency.
June 15th, 2010 at 6:51 pm
I do think this is a problem that is not being considered in the USA. A small tax would go some way to slowing down the constant gyrations that the HFT’ers feed on. The stock market was created as a way for public companies to raise capital. How does HFT improve these company’s ability to raise funds?
With an average duration of ownership of 11 seconds – how can this be vital to the market’s operation?
I can see that it is a super way to make money if you have the requisite computer power, logarithms, and such – but doesn’t it distort values in ways that are not socially helpful?
Then again, if the Mexican guy works out – let us know how to contact him….
June 15th, 2010 at 11:16 pm
Uh… do HFT come into your Etrade account and tell you what to do?
Then how do they “profit from you”?
HFT provides enormous liquidty. The volume shown on the chart IS liquidity. Large investor gauge how much they can trade per day by AVG VOL. If that is very high… they feel more comfortable buying to selling more. This is also REALITY.
The REAL WORLD of investments is one of $100M or even $1B in single equities. These players, we like the volume HFT provides. (In fact, we do most of our execution through HFT algo providers… so much of that is just an expression of a typical fundamental money manager who works through a HFT broker to pay VWAP).
Sorry if you have imagined up some boogy man in HFT. It used to be racism… now its bankers, TBTF, oil companies, and Obama the muslim? Nothing like a good witch-hunt to bring out the intelligent, thoughtful sort.