High Frequency Trading Ideas

I but started reading Larry Harris' mass "Trading as well as Exchanges" (thanks to Max Dama's glowing mass review) as well as already a brace of potential high frequency trading techniques stood out:

"Quote matching" - a technique whereby front-runners house a trammel purchase gild but a cent (for stocks) higher than the best bid price. If the gild is filled, they as well as then house a trammel sell gild but a cent lower than the best ask. Assuming the best bid-ask quotes don't move, the worst they tin create is to lose 1 cent by selling the percentage dorsum to the best bidder, piece the nearly net they tin brand is the bid-ask spread plus rebates for providing liquidity minus two cents yesteryear having the sell long trammel gild filled. This could run out quite profitably if the bid-ask spread is wide. But of course, the best bid-ask create alter constantly, thence front-runners would demand to cancel as well as right their trammel orders constantly, as well as the optimal algorithm for doing this could teach quite complicated. Meanwhile, if yous are a bona fide liquidity provider, yous would bring to avoid providing this gratuitous pick to the front-runners yesteryear constantly monitoring who is inwards front end of you. As usual, this chess game tin chop-chop degenerate into an HFT arms race.

"Manipulation of halt orders" - a.k.a. "gunning the market", a technique whereby the marketplace gunners purchase aggressively thence equally to trigger large purchase halt orders that they believe are inwards house at a higher price. When these purchase halt orders are filled, the prices are driven higher still, as well as these manipulators as well as then sell their position profitably.

One of my one-time momentum strategies was a victim of these marketplace gunners, as well as afterwards that lamentable sense I refused to role halt orders whatever more, at to the lowest degree for stocks. However, hither is a enquiry for our knowledgeable readers: tin other traders truly meet what halt orders at that topographic point are on an gild mass (whether for stocks, futures, or Forex markets)? And if so, would a trading robot that simulates halt orders yesteryear sending out purchase marketplace orders when the halt toll is touched run improve than manually placing a purchase halt gild on the gild book?