High Frequency Trading

Bimi

Handel.

Kiedyś szło się raz w tygodniu na bazar i kupowało, lub sprzedawało, co tam było komu potrzeba.
Ci co chcieli mogli i spekulować na zmianach cen - kupowali ziemniaki w październiku po 10, trzymali w piwnicy przez zimę i sprzedawali w kwietniu po 30...

A dzisiaj?
Komu by się chciało targać worki z kartoflami w czasach gdy handel i spekulacja nie wymaga ruszania dupy z fotela?
Ba, nie trzeba nawet siedzieć na fotelu. Wystarczy odpalić na kompie trading bota i iść się w tym czasie wylegiwać na plażę. Albo do jakiejś uczciwej roboty. Smile

Tzw. High Frequency Trading stanowią ogromną część codziennych obrotów na światowych rynkach (niektóre źródła wspominają 70%). W tym temacie chciałbym zwrócić uwagę na kilka kwestii, cytując różne teksty - jedne są ciekawe i intrygujące, gdy inne śmieszne i absurdalne...

How long does the average share holding last? Just 22 seconds

The consensus suggest that investors dabbling shares should be in it for the long-term, yet the average holding is less than a minute thanks to computer driven 'high frequency' trading.

Michael Hudson, a former Wall Street economist at Chase Manhattan Bank who also helped establish the world’s first sovereign debt fund recently said: "Take any stock in the United States. The average time in which you hold a stock is – it's gone up from 20 seconds to 22 seconds in the last year.

"Most trades are computerised. Most trades are short-term. The average foreign currency investment lasts – it's up now to 30 seconds, up from 28 seconds last month. The financial sector is short term, yet they talk as if they're long term."

Computerised high-frequency trading, which makes up about 70pc of all trades, is the subject of the book, The Fear Index, published late last year.

In it the main character Dr Alex Hoffman, invents an algorithmic supercomputer that uses artificial intelligence to analyse every nuance of the stock market. The hedge fund he sets up using the system makes billion-dollar profits for its clients – until something starts to go wrong.

http://www.telegraph.co.uk/finance/perso.....conds.html

New $300 Million Transatlantic Cable Makes Stock Trades 6 Milliseconds Faster

In the high-speed world of automated financial trading, milliseconds matter. So much so, in fact, that a saving of just six milliseconds in transmission time is all that is required to justify the laying of the first transatlantic communications cable for 10 years at a cost of more than $300m.

The laying of the new transatlantic communications cable is a viable proposition because Hibernia Atlantic, the company behind it, is planning to sell a special superfast bandwidth that will have hyper-competitive trading firms and banks in the City of London and New York queuing to use it. In fact it is predicted they will pay about 50 times as much to link up via the Hibernian Express than they do via existing transatlantic cables.

The current leader, Global Crossing’s AC-1 cable, offers transatlantic connection in 65 milliseconds. The Hibernian Express will shave six milliseconds off that time.

Of course, verifiable figures are elusive and estimates vary wildly, but it is claimed that a one millisecond advantage could be worth up to $100m (Ł63m) a year to the bottom line of a large hedge fund.

http://publicintelligence.net/new-300-mi.....ds-faster/

Predicting break-points in trading strategies with Twitter

The importance of being able to identify changepoints in financial time series has been stressed by many authors, both for econometric forecasting and for enhancing the performance of trading strategies. Strategies which work well in one type of context may lose money under different circumstances so it is crucial for traders to be able to identify break-points as they occur. Our basic hypothesis is that these breakpoints are usually linked to factors outside the markets such as breaking news or the changes in the socio-political context. The buzz on the internet especially on social networks like Twitter provides an advance indicator of these changes. In this paper we propose a novel approach for identifying micro-breakpoints based on Twitter. In order to measure the impact on trading strategies, of knowing when changes occur, we used a simple genetic algorithm using Forex data as the reference benchmark. It makes a decision every two minutes whether to hold US dollars or euro.

http://www.mendeley.com/research/predict.....s-twitter/

Bimi

I w końcu wiadomość, która mnie dziś rozbawiła, skłaniając do założenia tego tematu:

Curious What Just Took Down Gold?

Gold just slid by almost $10 in the span of a few minutes, starting at 2:40 pm.

Curious why? Here is what took it down. From 2:38 pm.

And that, ladies and gentlemen, is an idiot market, driven solely by headline scouring algos.

Why, if one really wanted to crash the market, one could just tweet "Bernanke resigns" and the S&P would be down by 50% in the next millisecond...

http://www.zerohedge.com/news/curious-what-just-took-down-gold

Bimi

GPS 'spoofers' could be used for high-frequency financial trading fraud

Financial institutions depend on timing that is accurate to the microsecond on a global scale so that stock exchanges in, say, London and New York are perfectly synchronised. One of the main ways of doing this is through GPS, and major financial institutions will have a GPS antenna on their main buildings. "They are always visible because they need a clear view of the sky," Humphreys told Wired.co.uk.

He explains that someone who directed a spoofer towards the antenna could cause two different problems which could have a major impact on the largely automated high-frequency trading systems.

Humphreys and his team are not simply theorising: they have created the world's most powerful GPS spoofer and have tested it on GPS-based timing devices used in mobile phone transmitters.

"So far no credible high profile attack has been recorded but we are seeing evidence of basic spoofing, likely carried out by rogue individuals or small groups," Humphreys explains. "Whilst the leap to more advanced, untraceable spoofing is large, so are the rewards. It's therefore guaranteed that criminals are looking at this. All it takes is one person to put one together and publish it online and we have a major problem."

http://www.wired.co.uk/news/archive/2012-02/22/gps-spoofing

Bimi

Is Artificial Intelligence Taking Over the Stock Market?

In case you weren't aware, machines are now reading the news. Actually, a few thousand machines—probably more—may have already read and scanned what you're about to read for any hint of tradable information. Of course, this isn't just limited to blogs or news disseminated on the web, but social media too.

Late last year, a company decided to launch "streams of data from Twitter and the securities discussion site StockTwits that are 'normalized' and ready to be fed to computers for analytical processing...designed for use by hedge funds and high-frequency traders."

Now, you've got to admit, machines scouring the web for tradable information is a bit sci-fi. Are they just collecting information though or buying and selling on it instantly? The answer is both.

You see, the notion of A.I. taking over the stock market, or even the entire financial markets as a whole, may seem a bit far-fetched for some but for long-time floor traders of the world's largest stock exchange, it's simply part of doing business.

Yesterday, for example, well known market commentator and Director of Floor Operations for UBS, Art Cashin, pointed out that a hypothesis began circulating among those on the floor of the NYSE that an instantaneous and uniform selloff around 10:00 a.m. was the result of a "computer using artificial intelligence" to parse a highly anticipated speech from Federal Reserve Chairman Ben Bernanke for any indications of providing further stimulus to the markets.

dalej: http://www.financialsense.com/contributo.....ock-market

Bimi

Welcome To Sub-Nanosecond Markets

Just as market regulators were finally getting wise to the fact that they have no clue how modern market works, what modern market topology is, or how High Frequency Trading impacts the stock market (think Flash Crash), here comes Certichron, the supplier of a time service center at a Savvis market center in Weehakwen, which says it has now mastered sub-nanosecond readouts which are now "compliant with the FINRA Order Audit Trail System and is likely to be compliant with any Consolidated Audit Trail that might be specified by the Securities and Exchange Commission." In other words, here come sub-nanosecond markets.

czytaj: http://www.zerohedge.com/news/welcome-sub-nanosecond-markets

Bimi

It turns out that The Economist is actually having a debate, together with an unscientific poll (if it was "scientific" every vote would have been frontrun by some deranged subpenny algo) on the question of whether "High Frequency Trading contributes to the overall liquidity of markets." There even are formal representatives defending either side. Anyway, we urge readers, not like it will make a difference, to go here and be heard on the matter. Comments and votes can be cast here.

http://www.zerohedge.com/news/does-high-.....-vote-here

Bimi

Catching The "Silver Crusher" Algorithm In The Act

There was a time when catching the silver "whack-a-mole" algo, or process, or intervention, or manipulation, or whatever one wants to call it, in action was a myth: an urban legend, perpetuated by silver conspiracy theorists. Until today that is. Courtesy of Nanex we now have direct evidence of just what the reflexive market (in which derivative products such as ETFs influence underlying assets) goes to town by taking silver to the woodshed at a whopping 75,000 times per second! From the broken market sleuths at Nanex: "On March 20, 2012 at 13:22:33, the quote rate in the ETF symbol SLV sustained a rate exceeding 75,000/sec (75/ms) for 25 milliseconds. Nasdaq quotes lagged other exchanges by about 50 milliseconds. Nasdaq quotes even lagged their own trades -- a condition we have jokingly referred to as fantaseconds." Translation: so desperate was the desire to crush silver at precisely 13:22;33, that the Nasdaq order flow directive ended up moving faster than light. Frankly, we don't know about you, but when someone is willing to bend the laws of relativity, just to get a cheaper price in silver, to perpetuate a failing monetary system or for any other reason, we quietly step aside...

czytaj dalej: http://www.zerohedge.com/news/catching-silver-crusher-algorithm-act

Bimi

Pro stock traders looking to Twitter, Facebook for tips

The next big stock tip might be as close as a Twitter feed.

Professional traders are developing computer programs that scour Internet posts in search of the next stock market darling. Their technology analyzes everything uttered about a company — good or bad, racy or mundane — and spits out trading recommendations.

The logic is that the popular sentiment expressed by millions of people on sites such as Twitter and Facebook yields investment clues that can't be gleaned from financial statements or analyst reports.

http://articles.latimes.com/2012/mar/30/.....a-20120331

Bimi

Człowiek versus maszyna: jak patrzą na rynek akcji

Ty widzisz w wykres minutowy w ten sposób:

A w ten sposób maszyna widzi 9.5 sekundy, w jednej z tych minut:

źródło: http://www.nanex.net/aqck/3140.html

Bimi

Fasten Your Seatbelts: High Frequency Trading Is Coming To The Treasury Market

In what may be the gray swan that all hell is about to break loose, we read that one of the world's largest hedge funds, British Man Group with $58 billion in AUM, is about to launch High Frequency Trading - the same high volume churning, sub-pennying, liquidity extracting, stub quoting and quote stuffing parasitic algorithms that frequently crash the equity, and as of recently the FX and commodity markets, into that most sacred of markets: US Treasurys. The official spin: "The Man Systematic Fixed Income fund, yet to be launched, will try to identify and profit from dislocations in liquid government bond markets." What this really means is that the final frontier of market rationality is about to be invaded by artificial momentum generating algorithms, who couldn't care less about fundamentals, and whose propensity to crash and burn at the worst of times, may end up costing the Fed all those tens of trillions it has spent to keep the Treasury market calm, cool, collected, and largely devoid of any volatility and MOVEment. But all that is about to change: "The unit is run by Sandy Rattray, who co-developed the VIX. VIX volatility index, also known as the "fear index", widely used to measure investors' perception of risk." As a reminder, the VIX index is only relevant when there are surges in volatility, something which we are confident Mr. Rattray will no doubt bring to Treasury trading momentarily.

dalej: http://www.zerohedge.com/news/fasten-you.....ury-market

Bimi

‘Real’ investors eclipsed by fast trading

Trading by “real” investors is taking up the smallest share of US stock market volumes in over a decade, according to a recent study.

The findings highlight how US trading activity is increasingly being fuelled by fast turnover of shares by independent firms and the market-making desks of brokerages, many using high-frequency trading engines.

Though many argue that such trading lowers costs by narrowing spreads, critics insist it makes it more difficult for institutional investors to trade larger positions, in turn fuelling a rise in the use of off-exchange “dark pools” and more complex algorithmic trading techniques.

The proportion of US trading activity represented by buy and sell orders from mutual funds, hedge funds, pensions and brokerages, referred to as “real money” or institutional investors, accounted for just 16 per cent of total market volume in the form of buying, and 13 per cent via selling in the final quarter of last year, according to analysis by Morgan Stanley’s Quantitative and Derivative Strategies group.

That has fallen from an average of 27 per cent for institutional buys from 2001 to 2006, and 20 per cent for sells over the same period. The highs were at the beginning of 2001, as far back as Morgan Stanley’s analysis goes, when buys and sells were some 35 per cent and 25 per cent, respectively.

czytaj dalej: http://www.ft.com/intl/cms/s/0/da5d033c-.....z1t5K1d06c

Bimi

Norwegian day traders cleared of wrongdoing
By Michael Stothard in Helsinki

Two Norwegian day traders who outwitted the automated trading system of a big US broker have been cleared of all wrongdoing by the country’s highest court.

The two men were handed suspended prison sentences for market manipulation in 2010 after they worked out how the computerised system would react to certain trading patterns – allowing them to influence the price of low-volume stocks.

Their appeal against that ruling was upheld by the Supreme Court on Wednesday, which cleared them of market manipulation.The verdict will please the trading community in Norway, which had come to view the duo as Robin Hood figures, beating the big financial houses at their own game.

c.d. na stronie FT: http://www.ft.com/intl/cms/s/0/e2f6d1cc-9447-11e1-bb47-00144feab49a.html

Bimi

Wash Trading By High-Frequency Firms Said To Face U.S. Scrutiny

High-frequency trading firms are drawing scrutiny from U.S. regulators seeking evidence that they may be distorting market prices by conducting transactions with themselves, said two people with knowledge of the matter.

So-called wash trades, in which a party buys a contract from itself, could be executed inadvertently by firms with multiple algorithms active in the same stock or derivative, said the people, who requested anonymity because the review isn’t public. Such trades, which can alter the price of shares if they are executed above or below market rates, would be illegal if deemed intentional efforts to manipulate stocks.

The Securities and Exchange Commission and Commodity Futures Trading Commission have sharpened their focus on high- frequency and algorithmic trading since May 6, 2010, when about $862 billion was erased from stock values in 20 minutes before share prices recovered from the plunge. Regulators have expressed concern that some firms and electronic exchanges don’t have sufficient controls to prevent a range of events -- from improper trades to programming glitches -- that could roil markets even when there is no wrongdoing.

czytaj dalej: http://www.bloomberg.com/news/2012-06-22.....utiny.html

Bimi

Latest Market Glitch Shows 'Trading Out of Control'

Wednesday morning's stock snafu had a familiar ring to it — mysterious volume in trades that simply could not have been made by a human comes surging out of nowhere, causing brief but acute market mayhem.

By now, many players on trading floors have gotten used to the disruptions that can come from the highly automated new world of high-frequency trading.

But that doesn't mean they like it.

"This algorithmic trading is kind of out of control," Phil Silverman, managing partner at Kingsview Capital, said as officials at the New York Stock Exchange tried to make sense of what happened. "It seriously hurts investor confidence."

By mid-afternoon, no one still quite knew exactly why about 150 stocks experienced a blinding surge in market volume, causing momentary disruptions in the prices of nine Dow components and a slew of others across various categories.

The NYSE said in the afternoon that it would cancel trades in six different stocks affected by the glitch, including Wizzard Software, China Cord Blood, E-House Holdings, American Reprographics and Quicksilver Resources. Trades executed at 30 percent higher or lower than the opening price will be canceled, the NYSE said.

Nearly 40 issues spiked more than 10 percent between the lows and highs, although prices of most of these issues stabilized in afternoon trading. Following are the 10 issues that gyrated the most in terms of percentage change between the day's low and the day's high price — Wizzard Software, China Cord Blood, E House, American Reprographics, Rare Element, Navidea Biopharm, Almaden Minerals, Quicksilver, Radioshack and Nordic American Tanker. Some of these shares trade on NYSE MKT, formerly NYSE Amex.

Authorities involved in reviewing the matter said Knight Capital, a trading outfit that employs algorithms used in high-frequency trading, said it experienced "technology issues" with its market-making procedures.

Ultimately, the broader market reacted little to the disruption, which was limited by circuit breakers and mechanisms at the NYSE to help contain the damage of HFT mistakes.

dalej: http://www.cnbc.com/id/48443271

Bimi

Bimi napisał:

Latest Market Glitch Shows 'Trading Out of Control'

Algorithmic Trading Glitch Costs Firm $440 Million

Yesterday an update to Knight Capital Group's algorithmic trading software caused >massive volume buys and sells, resulting in large price swings on the New York Stock Exchange. As a result, the NYSE canceled some of the trades, but today the loss to Knight has been calculated at $440 million. Ignoring adjustments for inflation, this makes the cost of this glitch almost as much as the $475 million charge Intel took for the Pentium FDIV Bug, which might warrant adding this bug to the list of worst bugs. In light of this loss and the May 6, 2010 Flash Crash, perhaps investors will demand changes from firms using algorithmic trading, since the SEC is apparently too antiquated to do anything about it.

http://developers.slashdot.org/story/12/.....40-million

Bimi

Zyskali 3 milisekundy

Na wschodzie Azji uruchomiono nowy szybki kabel podmorski. Połączył on Japonię, Hongkong, Malezję, Singapu i Filipiny. Kabel zapewnia transfer rzędu 40 gigabitów na sekundę, a opóźnienia w przesyłaniu danych pomiędzy Tokio a Singapurem zostały zredukowane o 3 milisekundy w porównaniu z innymi kablami. Tylko pozornie jest to niewiele. Te milisekundy decydują bowiem o przeprowadzeniu olbrzymich transakcji finansowych.

http://kopalniawiedzy.pl/kabel-Japonia-Singapur-dane,16441

Alvin88

Obroty w odcinkach kilkuminutowych w mln$ z rozbiciem na poszczególne główne giełdy elektroniczne (systemy transakcyjne) różnymi kolorami:

Tu jest fajny obrazek jak się to przedstawia w czasie - stąd pobrane - tekst i komentarz, polecam....

Bimi

Somebody Stole 7 Milliseconds From the Federal Reserve

Last Wednesday, the Fed announced that it would not be tapering its bond buying program. This news was released at precisely 2 p.m. in Washington "as measured by the national atomic clock." It takes seven milliseconds for this information to get to Chicago. However, several huge orders that were based on the Fed's decision were placed on Chicago exchanges two to three milliseconds after 2 p.m. How did this happen?

dalej: http://www.motherjones.com/kevin-drum/20.....al-reserve

Bimi

http://www.csmonitor.com/Media/Content/2.....hael-Lewis