HSI games

[John_Galt]

K I've been trading the HSI for past few months on the sim and have become very curios about some of the **** going on there.

How much liquidity is hidden?
anyone notice that there can be orders taking 1,3,10,11,27 lots from levels which have nothing bid/offered. Sometimes an order won't even take the offer but just take an invisible sitter in the bid/ask spread. Sometimes it might even appear to take a level much higher than necessary. E.g. take 4 lots offered at 12870 when there is something at 12868 and 69.

HKFE states that blocks or crosses can only take place with orders above 100 lots, so that doesn't explain this.

What is up with the consistent appearance of large orders, always of the same size, both sitting in the book and apparently hitting something in it. I say apparently because its rather odd seeing 30 lots take 12890 when there is only 1 lot offered there?

5, 10,11,27,30, 32, 52 are significant numbers in this case. Some of these I have no doubt are bots, others I'm not sure. Anyone know what they could possibly be doing and how they are doing? (I would like to know how to trade in 27 lots when the orderbook is only has 10 lots in total sitting on the offer).

Any rumors about getting rid of the silly lunch break?

Also if I add to my bid/offer will I be taken to the bottom of the queue/priority when someone wants to take my level?

 

[DC STOXX]

Interesting you have picked up on the quantity's the trader use.

What you describe happens in every single futures market. Its called reloading, to hide a traders true quantity. I imagine if one wants to sell 100 HSI it would be easier if he only showed 10% of his desired amount.

 

[nine]

What is your data feed for your HSI dom. I sometimes wonder if thats part of the problem.

I gave up the dom about 9 months ago when I finally went to chart trading alone on SPI and STW. After about 4 weeks I was over my addiction to seeing the numbers and just settled down to trading the chart structure. Now I've dropped STW because volatility fell off and moved back to good old HSI after 16 months off and don't miss the dom at all.

 

[mel_pub]

If you add by modifying you loose your priority, it's like cancelling. If you place another order only the later will be at the bottom of the queue.

An iceberg order always displays the same size until it is completely filled.

Now say you want to accumulate, you're interest is to set an hidden order just above the bid. And that's what an algo will do. Depending on the agressiveness of the algo, if you set a new best bid, you might be joined or overtaken. It might be an indication of interest, depends on wheter algos have anti gaming logic or not

 

[John_Galt]

DC STOXX:
Is this reloading a function which is automated/available in TT? I ask because then I could look into it a little more to try figure out what these guys are doing.

Nine:
I used the IB data feed. It shouldn't be. I spoke to some friends at a prop getting their data from TT and its even dodgier.

An iceberg order always displays the same size until it is completely filled.

You mean to say that on HKFE the iceberg is always refreshed as the same size once it his taken?

e.g. 20 offered at 12900 is taken, another 20 will appear and so on until there is only an odd amount left?

Now say you want to accumulate, you're interest is to set an hidden order just above the bid.

The HKFE site doesn't mention one thing about hidden orders, but they are definitely there!


Well if the algo's order is hidden then technically you won't know if it joined you. You still retain priority over hidden orders if you come in after them yeah - since your actually offering visible liquidity?

Do you mind elaborating a little on what this anti gaming logic is?

Cheers

 

[mel_pub]

You mean to say that on HKFE the iceberg is always refreshed as the same size once it his taken?

e.g. 20 offered at 12900 is taken, another 20 will appear and so on until there is only an odd amount left?

There is a "display size" attribute to the order
e.g 50 offered at 12900 display size of 5
3 are taken at 12900 -> you will still see a 5 ( hidden part =47)
20 are taken at 12900 -> you will still see a 5...

If an other visible order join the bid it will take priority over the hidden parts

Well if the algo's order is hidden then technically you won't know if it joined you.

That's what he wants so you won't join him. He doesn't join you with a visible, he overtakes you juste one tick with a hidden. He will still have priority since it is placed at a better price (price priority >visible priority > time priority)

You still retain priority over hidden orders if you come in after them yeah - since your actually offering visible liquidity?

Yes at the same price level. But since you don't see them, you'll have a hard time joining them.
You need to monitor the tape to detect hiddens, and guess wether an hidden bid or an hidden ask was hit (whether it was close to best visible bid or ask, and aggressiveness) This is way too fast to follow on volatile futures like HSI. So you need an algo to help you.

The more ticks between bid/ask the more gaming takes place. That's why you'll see it so much on quiet, slow moving, illiquid midcap stocks with wide spread, and why it is almost irrelevant for Eurostoxx or S&P.

 

[John_Galt]

what exactly do you mean by gaming?

I've been able to follow it on DOM but its just been confusing as there was no real formal explanation on HKFE system. By algo helping me, you mean developing some sort of indicator to track this action perhaps and then graphically chart it?

 

[mel_pub]

gaming = exploiting the algos of the others by making some moves and looking at the results, then drawing conclusion. ex spotting a vwap, twap...

Yes some kind of automated computer that is fed with good and timely data and that will run some sort of algorithms. Memorizing patterns, and doing statistics...
The cost however might be quite high and not necessarily worth the investment (although the HSI is perhaps the most interesting future in this regard)

Like nine said if I were to trade the HSI, I'l just accept the slippage and would concentrate on swings on charts

 

[RedDuke]

There is a "display size" attribute to the order
e.g 50 offered at 12900 display size of 5 ....

Hi mel_pub,

I have never heard of such display attribute. Is it only available to HKFE or other futures exchanges exhibit it too?

Thanks,
redduke