Author Topic: HFT skimming the market  (Read 14795 times)

Bohb Daishi

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Re: HFT skimming the market
« Reply #30 on: May 06, 2014, 01:19:27 AM »
Paying a stock $45.42 instead of $45.41 does not REALLY affect long-term returns.
But of course, none of us like be skimmed!

The effect can be bigger than 1 cent.

These days when I see a stock 40.00 bid 40.06 ask, and I bid 40.03, I immediately see the ask move to 40.09 .  Then when I decide to just take the ask, so up my bid to 40.09, I see the ask suddenly move to 40.11 .   The traders are all trying to game me.  Even if I had been able to take the ask at 40.06 or 40.09, it likely would have been for 100 or 200 shares.  I'm buying in much bigger size than that.  The only tool I have is patience.  I can put the bid in at 40.05 or whatever and go away for a few hours.  If the traders (be they human or computer) see I'm not anxious, then they stop trying to game me, or perhaps they just stand aside until someone takes my bid.  However, when you do that the stock can move while you're away.  You may intend to hold for many years, but first you have to complete the purchase!  My belief, from my own experience, is that this is much more work than it used to be.  I'm the opposite of a day trader.  I don't want to sit at the computer watching and playing games.  Don't have time for it.  When they make me spend my time on this stuff I'm unhappy.

I think you are mistaking natural market movements for "traders trying to game you". If you are buying 100 or 200-lots, you aren't even worth their time to game you. You are just a small crumb from a massively larger cake. Insignificant. The $5 that they might make off you isn't worth the risk they take trying to manipulate the market.

The only situation where this MIGHT be true is in equity options, where the bid/ask spread is very wide. Those market makers are the biggest predators I've ever seen. Even Core looks like a saint compared to them.
« Last Edit: May 06, 2014, 01:21:44 AM by Bohb Daishi »
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