ALGO's in stir's

[Games-thucked]

When will LIFFE learn , their pro-algo strategy has killed all stir products. Ridiculous size on bids offers has pushed the small guys out......result , no small guys that will become big day traders one day . Less people playing, no new blood.......bye bye REAL volumes and future of the contracts.LIFFE's short term gain long term loss....!

 

[Shakone]

Could you go into a few more details. While I know what STIRs are, I've never traded them. So what is the pro-algo strategy you're talking about? Why is ridiculous size on bids and offers a problem? Doesn't it mean you can easily get filled? What do you propose they do to make things better?

 

[Games-thucked]

Could you go into a few more details. While I know what STIRs are, I've never traded them. So what is the pro-algo strategy you're talking about? Why is ridiculous size on bids and offers a problem? Doesn't it mean you can easily get filled? What do you propose they do to make things better?

LIFFE operate a time and order size matching engine. Algo's are putting bids and offers in for 10's of thousands of lots so as a local needing to buy say on the bid side and the bid is 200k lots you have no chance of getting traded with. Even if you was one of the first few bids when the size was small, once the bid goes up to 200k in seconds it makes trading impossible.. Example today...............H14 M14 sterling spread is 05 bid 200k 06 offered 122k..................its traded 1219 lots all day and its been open 9 hours...........what chance has any small local have of getting traded with.Machines are bidding for up to 50k lots to get any of the small trades and pulls immediately as soon as a bigger trade goes thru.I feel the only way this SPOOFING and BULLYING can be combated is by charging a minimal fee for order entry per lot which is refunded when the order is filled ..Next time a machine spoofs or over bids 50k lots it will rack up charges ..................lets face it these algo's manipulate and make false markets.

read this Why High-Frequency Trading is a Scam | Shah Gilani's Wall Street Insights and Indictments

 

[scose-no-doubt]

Trading banter

 

[rsh01]

LIFFE operate a time and order size matching engine. Algo's are putting bids and offers in for 10's of thousands of lots so as a local needing to buy say on the bid side and the bid is 200k lots you have no chance of getting traded with. Even if you was one of the first few bids when the size was small, once the bid goes up to 200k in seconds it makes trading impossible.. Example today...............H14 M14 sterling spread is 05 bid 200k 06 offered 122k..................its traded 1219 lots all day and its been open 9 hours...........what chance has any small local have of getting traded with.Machines are bidding for up to 50k lots to get any of the small trades and pulls immediately as soon as a bigger trade goes thru.I feel the only way this SPOOFING and BULLYING can be combated is by charging a minimal fee for order entry per lot which is refunded when the order is filled ..Next time a machine spoofs or over bids 50k lots it will rack up charges ..................lets face it these algo's manipulate and make false markets.

read this Why High-Frequency Trading is a Scam | Shah Gilani's Wall Street Insights and Indictments

be confident in the price you want......then who cares if theres 1mill on the bid/offer, hit/lift into it, unless your strategy is solely to scalp the bid/offer quotes. the days you could get good fills on some liffe products was, from my exp, quite a few years ago & it certainly wasnt relied upon as an edge....more a bonus. we used to say stick in 20 x 1 lots (instead of one clip of 20) as this wld ensure a bigger fill based on their old algo but this soon changed to weight towards larger size - this was about 8 years ago.

are they spoofing or are they bidding and offering against other markets/cals? you sure they're not algos to box up or fly and make money from rebates? if thats a normal days vol then it doesnt sound as though theres much business to do period (do you only trade this far out?), so maybe you need to find other instruments. and if your consistently having to buy on the bid/sell on the offer then either your prices were not great originally and/or the market doesnt move much and its time to trade something else. in brent crude cal spreads on ICE it was FIFO so we wld get in early and queue but then they started running the machines 23hours a day, the earliest we cld trade was 5am so once again we were stuck at the back of a few thousand and that was that. any small edges like that soon go in whatever market. one algo would only bid (or offer) a price if the offer (or bid) was under a certain size, so if you needed to join that bid queue then i wld stick a cpl of hundred on the offer & cancel v quickly and i wld be bumped to the front of the bid. that lasted about a month.

i used to get frustrated at exactly the same thing in numerous markets, trading outrights i no longer have to care, though i have had to take a year+ out to work on it.

can your style/strategy be transposed to other markets?

 

[Games-thucked]

be confident in the price you want......then who cares if theres 1mill on the bid/offer, hit/lift into it, unless your strategy is solely to scalp the bid/offer quotes. the days you could get good fills on some liffe products was, from my exp, quite a few years ago & it certainly wasnt relied upon as an edge....more a bonus. we used to say stick in 20 x 1 lots (instead of one clip of 20) as this wld ensure a bigger fill based on their old algo but this soon changed to weight towards larger size - this was about 8 years ago.

are they spoofing or are they bidding and offering against other markets/cals? you sure they're not algos to box up or fly and make money from rebates? if thats a normal days vol then it doesnt sound as though theres much business to do period (do you only trade this far out?), so maybe you need to find other instruments. and if your consistently having to buy on the bid/sell on the offer then either your prices were not great originally and/or the market doesnt move much and its time to trade something else. in brent crude cal spreads on ICE it was FIFO so we wld get in early and queue but then they started running the machines 23hours a day, the earliest we cld trade was 5am so once again we were stuck at the back of a few thousand and that was that. any small edges like that soon go in whatever market. one algo would only bid (or offer) a price if the offer (or bid) was under a certain size, so if you needed to join that bid queue then i wld stick a cpl of hundred on the offer & cancel v quickly and i wld be bumped to the front of the bid. that lasted about a month.

i used to get frustrated at exactly the same thing in numerous markets, trading outrights i no longer have to care, though i have had to take a year+ out to work on it.

can your style/strategy be transposed to other markets?

I fear your right with regards to having to look for another market to trade that has less automated manipulation. Its definitely a bit like Terminator (rise of the machines) funnily enough look at this article hot of the press....RSJ aka Terminator.......! Algo Trader RSJ Sees Bond, Stock Expansion on Correlation - Bloomberg

 

[rsh01]

I fear your right with regards to having to look for another market to trade that has less automated manipulation. Its definitely a bit like Terminator (rise of the machines) funnily enough look at this article hot of the press....RSJ aka Terminator.......! Algo Trader RSJ Sees Bond, Stock Expansion on Correlation - Bloomberg

yep, good old PA and FA will live on though. i hate the over correlated markets also, thats what happens when you print money and give it to the TBTFs.

 

[A Dashing Blade]

Only trade FIFO markets (Bund/SToxx) but then that means you have to trade direction I guess

 

[rsh01]

Only trade FIFO markets (Bund/SToxx) but then that means you have to trade direction I guess

hi db,

not sure i understand...are you queuing bund orders? if so then good skills (i do know a guy who queues bunds also but he can afford a stop running through it 20 ticks and has the money/skills/hedges/whatever it is to get out of those situations).

obv if you get filled then that means the market is trading against your direction, no? fair enough it may be a good queue & you may still have the scratch available, but can you honestly be confident in beating the machines to the scratch in that scenario? imo you can only be getting filled trading 'with direction' of the market if you lift the offer (or hit the bid) and market goes bid (or offer) immediately. i long for those past days! add algos, machine spoofers et al and its a no win situation.

dont you just love the markets.

the algo/machine situation must have a cap, they need to make money from someone so as soon as their revenues are down will they start culling the guys in the know? thats apparently whats happened with libor (barclays), and now oil (total)....the itk circle is getting smaller chasing fewer ££s and those pushed outside will turn whistleblower.....and thats when the fun starts.

 

[Hakuna Matata]

f*ck me a thread about trading!

(just for subscription)

x

 

[rsh01]

thats 2 posts by me re trading.

love/30

15/30...

 

[Hakuna Matata]

a quick $0.02 from me on this... been out of the loop for a few months but here goes anyway

re: STIRs, the writing has been on the wall for a while, both with fixings and with algos. They are still tradeable, because people are still trading them, but my hunch is that the emphasis is less on working the bid/offer and more on a directional view, albeit in a spread. which means you need to know your onions (spreads). that does require more work than turning up pre-open and sticking in a load of fanciful orders and hoping for the best, though, so maybe that is where the loudest complaints are coming from.

re: FIFO markets... yeah, the playing field is leveled somewhat. But the ****storm mkts we've been having (esp in the EZ) don't lend themselves to directional punts (wait for the next finmin to open their gob and you're f*cked) OR ZIRP's for spreading (when a TED is basically outrights schatz or bund/bobl is outright bund)

basically, especially for euro-locals, times are hard.

jmho.

 

[rsh01]

i agree, thought at first you were trying to say you cld trade TEDs if you were directional, but then read the second part.

the 2/5/10s prop traders still doing well cld trade a combo of any 3 uncorrelated markets extremely well given enough time...imo. obv it has 0 to do with directional view.

 

[Hakuna Matata]

...

the 2/5/10s prop traders still doing well cld trade a combo of any 3 uncorrelated markets extremely well given enough time...imo. obv it has 0 to do with directional view.

there are old dogs and bold dogs...

 

[LMessi10]

We provide both a 'traditional' STIRS market-making interface (designed largely by ex LIFFE traders) plus the algorithmic execution capabilities. These can either be fully integrated or run from separate GUIs. IMHO algorithmic trading is both more accessible and affordable than ever - but from our topology of existing clients, I can say it is certainly not killing the market.

There are just as many market-makers who trade STIRS and choose not to leverage from the algo side of our interface as those who do.

Drop me a note if you are interested in discussing.

 

[Games-thucked]

We provide both a 'traditional' STIRS market-making interface (designed largely by ex LIFFE traders) plus the algorithmic execution capabilities. These can either be fully integrated or run from separate GUIs. IMHO algorithmic trading is both more accessible and affordable than ever - but from our topology of existing clients, I can say it is certainly not killing the market.

There are just as many market-makers who trade STIRS and choose not to leverage from the algo side of our interface as those who do.

Drop me a note if you are interested in discussing.

Not Killing the market!
are you having a laugh , at times in the day jun13 sterling outright is bid offered in over 100k (much more than its daily volume) by the likes of RSJ. What incentive is there for new traders to step into a market doing 10 lot clips in a queue of 100k???????????????

on a lighter note , check this out https://twitter.com/LiborWinkler

 

[Liquid validity]

on a lighter note , check this out https://twitter.com/LiborWinkler