High Frequency Trading—The Age of Volatility Has Arrived (podcast)

[naturallaw]

I just thought that some of you may find this podcast on HFT interesting, many of the same types of topics I've seen recently on this forum about Bitcoin are discusssed here in the larger financial markets.

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[niemivh]

Listening now.

 

[HideousBeastManGuy]

You need Fill-Or-Kill (FOK) orders for HFTs, only one exchange allows for that, and it's CampBX.

I'm still not sure why the exchanges decided to follow the current model of the markets, it just means we will end up with the same semi-corrupt system where the big players make price and everyone else can only rarely override that decision on price (Darkpools etc).  To boot, as I just said, in the real world you can find Darkpools via FOK orders, but we have a situation where you aren't able to do this on every exchange that offers them save for CampBX.  I've only been able to spot one once, and it was a complete fluke.

[rizzn]

You need Fill-Or-Kill (FOK) orders for HFTs, only one exchange allows for that, and it's CampBX.

I'm still not sure why the exchanges decided to follow the current model of the markets, it just means we will end up with the same semi-corrupt system where the big players make price and everyone else can only rarely override that decision on price (Darkpools etc).  To boot, as I just said, in the real world you can find Darkpools via FOK orders, but we have a situation where you aren't able to do this on every exchange that offers them save for CampBX.  I've only been able to spot one once, and it was a complete fluke.

Can't you essentially simulate a FOK order with a competent trading tool? Read market depth, initiate trade if depth exists?

Granted, I've not done the basics here and read up on the technical definition of FOK, so feel free to tell me to STFU.

[naturallaw]

You need Fill-Or-Kill (FOK) orders for HFTs, only one exchange allows for that, and it's CampBX.

I'm still not sure why the exchanges decided to follow the current model of the markets, it just means we will end up with the same semi-corrupt system where the big players make price and everyone else can only rarely override that decision on price (Darkpools etc).  To boot, as I just said, in the real world you can find Darkpools via FOK orders, but we have a situation where you aren't able to do this on every exchange that offers them save for CampBX.  I've only been able to spot one once, and it was a complete fluke.

Can't you essentially simulate a FOK order with a competent trading tool? Read market depth, initiate trade if depth exists?

Granted, I've not done the basics here and read up on the technical definition of FOK, so feel free to tell me to STFU.

If you're serious about doing some HFT, it takes too long to do that currently. By the time you read, parse, and try to execute a trade based on that data, it might have changed already. So you need to be able to place an order and have it killed immediately if it's not executed.