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This is a very good observation that I wrote about in my undergrad studies. I also believed that markets were efficient but not precise. I used the example a few years back regarding a tweet (roughly after the Boston bombings). The tweet was regarding terrorist attacks in which markets fell sharply and then recouping all the gains as news later indicated ...


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You should read Market Microstructure in Practice, and have a look at the slides of the Market Microstructure: Confronting Many Viewpoints conference. To go back on your HFT question, you have to pay attention to the difference between low latency and high frequency trading. low latency is news trading: can be few times a week, but you have to be the ...


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In my experience HFT has to balance the reward of any strategy with risk. In the case of a news-based trading strategy, the risk can be enormous, which means the algo will need a very high expected profit in order to trade the news. After important news events, volatility skyrockets and persists for some time (sometimes even days). If the market were able ...


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It can be a couple things depending on what you are looking at: If you are looking at a single exchange's feed, it can be a Trade Message that isn't linked to any individual order ID. These can be things like block orders or off exchange orders that get reported to them. I usually ignore Trade messages when looking at intraday data. These are different from ...



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