# Tag Info

8

The flickered orders are postonly bid at 15.16. The exchange slides it back to 15.15 to avoid a locked market. Submitting firm sees the slideback and cancels. Then tries again. When the 15.16 offer is executed or cancelled out, the offer moves to 15.17 then the postonly bid at 15.16 goes through at the targeted price and gains good queue position.

6

Re the first part of the question: Quants play no role whatsoever in the actual execution tasks of trading regardless of frequency or whether we talk systematic trading or not. Its done by traders/execution traders (especially on the discretionary side) and not by quants. As your title suggests your focus is on hft, I still would claim quants do not really ...

6

There is a wide literature on optimal execution, among others: Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion, by Lehalle, 2009, Vol. 4, No. 3: pp. 40-46 Optimal Control of Trading Algorithms: A General Impulse Control Approach, by Bouchard, Dang, Lehalle, in SIAM J. Finan. Math., 2(1), 404–438 Optimal starting times, stopping times and ...

6

For reference, note that execution strategies for some types of futures contracts can be very different from equities. An example are Interest Rate Futures, e.g. here. The main reason lies in microstructure differences. For some more details see the white paper "US Treasury Futures Roll Microstructure Basics" by Quantitative Brokers (I have no affiliation ...

6

You are correct that large orders should be algorithmically broken-up. Perhaps the most straightforward algo is the VWAP (volume-weighted average price), which most brokers offer. Since a VWAP is easy to compute, the trading details are often transparent to the user. There are more sophisticated algos, like Arrival Price, though not every broker offers ...

6

The shops I've worked for have had access to multiple brokers, but not for redundancy as your question implies. It's often because no one broker can handle every task. For example, I might need a floor broker, a dark-pool broker, an algo broker, and a separate prime broker. Each agency handles a different requirement. Even if one broker could handle all of ...

5

This isn't exclusive to VWAP; any assumed trade price (NBBO, Arrival Price, etc) has the same vulnerabilities. Many shops often lump market impact with slippage and transaction costs when modeling the difference between the ideal price and the realized price. To model the impact during a backtest for a given trade price, assess a penalty: This penalty can ...

5

It depends if the large incoming sell order is a market order or a limit order. If it is a market order, it will immediately "sweep" through as many levels of the bid book as neccessary to get the required volume. There is no chance for someone to add more bids to execute against the market order. A limit order will execute against all the bid volume ...

5

Most exchanges will cross a large order with numerous smaller orders so long as the large order sufficiently crosses the book to cause a fill. This is obviously dependent on specific instructions on the large order causing the cross as well as the orders on the other side of the book. As for the second part a new order coming in should only cross with the ...

5

If your original algo's goal was the follow the top-of-book quote, then it should have had some minimums before it would join a new quote. For example, the reference quote must have a minimum size shown and must be live for a minimum amount of time before you'll join. Also, it helps to "stack the book" by breaking your quote into smaller orders at worse ...

4

If you want to be more aggressive without revealing your hand, place your orders as hidden orders inside the bid/ask. Algos on the other side will fish with small size orders to see what is hidden however. The fishing will not reveal the size of your order, but reveal that something is there. Can get some size done this way. The advice above regarding ...

4

If you look at the ladder, you might have some insight, but it's mainly speculation. The only way to be really "sure" in my opinion would be to have some insight from a broker. Otherwise, what I'd try to look for is to recognize execution schemes, but again you have to know the algorithms of all the participants in order to determine "who" it was. In my ...

4

Everyone can do what HFTs do, if they spend the necessary time and money to build and run the infrastructure required. This may involve becoming a regulated broker/dealer, but it is in no way an invite-only club. Now, to your specific question, you'll find some information on Haim Bodek's site. Bodek does content that ISO's and Day ISOs are used to gain ...

4

I have heard of several allegations in the recent days, but they are mostly baseless. However, there are a rare, few trading venues whose matching rules are most often accused of giving unfair order execution advantages to certain firms. These usually arise from violations of the standard price-time priority: IEX's broker priority rule. "All orders will ...

4

Think of it like a forward trade on the settlement price. If you are buying with a TAS you are agreeing to go long the futures contract at the settlement price (+/- the offset), and whoever you trade with is agreeing to go short at the same price. It is guaranteed because the exchange becomes the counterparty for both traders and there is a margin deposit. ...

3

With respect to what you need, you have to consider different aspects of optimal trading: the Almgren-Chriss framework (cited by Anna, since Jim and Alex -amongst others- extended it) focus on obtaining an optimal trading rate, it is nice but not really what you need. You can nevertheless use it to plan / schedule your trading during the day. but what you ...

3

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work. There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.

3

Look into OLF's Findur http://www.olf.com/software/financial-capital.html highly customizable trading platform, will not give you everything you mentioned out of the gate but has capability to get there with some development effort

3

To get a feel for it think about an extreme scenario. Suppose I have an order to buy $100bln VWAP in IBM over the course of one day. My "cost" relative to VWAP will be near zero, b/c I will be on the buy side of every trade that day. However, my market impact will be extremely high b/c IBM will fall like a rock the next day, leaving me with huge losses. ... 3 Can't speak to the cash equity space, but at futures shops I think it is common to have the phone number of a give-up broker in case the power goes out or something, but it is uncommon to ever use them. 3 This could be very difficult to determine in practice, because the axe (who controls the supply and demand) wants to hide his tracks. Also consider the axe's aliases. I mention this because you would need to take into account the axe disguising his trades through another market maker (for example, Goldman trading through ARCA, or even showing sales between ... 2 Here is a good mental model. The exchange's matching engine processes incoming orders one at a time: all effects of an order on the book are settled before any further incoming orders for the same instrument are looked at. So, when a marketable order comes in, it is matched against resting orders "atomically", producing one or more fills. If this completely ... 2 In addition to @madilyn's answer, there is one point that needs to be addressed and that is often called an unfair advantage although it is merely a competitive advantage. Take the US Equities market. There are now several venues on which the same symbols are traded. If one HFT acquires information about one symbol in one venue - e.g. due to a limit order ... 2 So to summarize the comments given, dark pools seem to do the following: banning of specific firms by the dark pool requiring a minimum order size banning of firms by the participants flow analysis to separate different types of players To me it seems that this covers most of the reasonable actions they could possibly take and whether this is done seems ... 2 Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let$\lambda_{emp}(\delta)\$ be the empirical distribution. Then one can define a metric by $$m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)|$$ After you have decided upon a suitable ...

1

I guess this remark refers mainly to "penny stocks". In the US (it is not true in Europe where crossing is far more regulated) it may be possible to choose to cross at any point inside the bid-ask spread. It means that if it is closer to the bid than to the ask, it will advantage the buyer. In Sub Penny Trading in US Equity Markets (by Romain Delassus, ...

1

Based on the conditions you set forth this would be relatively simple in the CQG API. You can, for example, set up condition triggers in the IC. All you're really asking is for an API action following one of the triggers. Pseudo code would be something like this: Handles event trigger: If (additional conditions) then execute trade. Are you just shopping ...

Only top voted, non community-wiki answers of a minimum length are eligible