HFT High Frequency Trading Programs

The story came out in July, but I heard about it today.
I made a search in T2W but no results appeared. Sorry if other person already began a thread on this topic.



ps. btw, my very first time I open a new thread in T2W

zerohedge.com were covering HFT a lot recently. Search through their articles if you want to read more.

The mainstream media are suddenly running stories in this stuff as though it's all new and secret. It's not particularly new at all, it's just that the people who engage in it protect any edge they do have pretty assiduously. And that goes for the ones that are NOT abusing the system, but of course it's doubly true for those that are basically raping and pillaging.

But HFT firms are as often as not price makers these days, so they are imho a key liquidity source for the market at times. It's all part of the changing trading landscape. Main thing is to be aware of it....

guess i won't be bothering with level2 anymore then?

Washington, D.C., Sept. 17, 2009 — The Securities and Exchange Commission today unanimously proposed a rule amendment that would prohibit the practice of flashing marketable orders.

A flash order enables a person who has not publicly displayed a quote to see orders less than a second before the public is given an opportunity to trade with those orders. Investors who have access only to information displayed as public quotes may be harmed if market participants are able to flash orders and avoid the need to make the order publicly available.

"Flash orders may create a two-tiered market by allowing only selected participants to access information about the best available prices for listed securities," said SEC Chairman Mary Schapiro. "These flash orders provide a momentary head-start in the trading arena that can produce inequities in the markets and create disincentives to display quotes."

Currently, flash orders are permitted as result of an exception to Rule 602 of Regulation NMS that exempts these orders from requirements that apply generally to other orders. The Commission is concerned that the Rule 602 exception may no longer be necessary or appropriate in today's highly automated trading environment.

The Commission today voted unanimously to propose the elimination of the flash order exception from Rule 602. If adopted, the proposed amendment would effectively prohibit all markets - including equity exchanges, options exchanges, and alternative trading systems - from displaying marketable flash orders.

In its proposal, the Commission is seeking public comment and data on a broad range of issues relating to flash orders, including the costs and benefits associated with the proposal. It also seeks comment on whether the use of flash orders in the options markets should be evaluated differently than their use in the equity markets.
* * *

Public comments on today's proposal must be received by the Commission within 60 days after its publication in the Federal Register.

The full text of the proposed rule amendment will be posted to the SEC Web site as soon as possible.

Press Release: SEC Proposes Flash Order Ban; 2009-201; Sept. 17, 2009

Good stuff, seems like for once common sense has prevailed to put an end to this:




Goldman Sach's stolen algo: Tool for Legal Frontrunning




Political pressure had been on them to ban this legal highway robbery anyway:


"July 24 (Bloomberg) -- Senator Charles Schumer asked the U.S. Securities and Exchange Commission to ban “flash orders,” saying the transactions give high-speed traders an unfair advantage over other investors.

“Flash orders allow certain members of these exchanges to obtain access to order flow information before that information is made available to the public,” Schumer wrote. That allows “those members to use rapid trading programs to trade ahead of those orders and profit from advanced knowledge of buying and selling activity,” he added.

The senator said that if the SEC doesn’t prohibit flash orders, he will introduce legislation that would."

I heard some news about forbiding this programs.
Anyone knows?

how on earth would that even work? Dream on.