Have you lot e'er got the feeling that your marketplace orders are oft filled at prices worse than the NBBO displayed on your trading screen? Apparently, this may hold upward the effect of deliberate manipulation of the marketplace yesteryear high frequency traders. These HF traders submit thousands of quotes per minute to the NYSE ("quote stuffing") together with and then cancel them inside 50 ms. This slows downwardly the central information queue thence much that yesteryear the fourth dimension a quote is transmitted to you, it is stale already, fifty-fifty if your trading server is collocated at the exchange. (Checking the fourth dimension postage stamp of the quote is of no help: the fourth dimension postage stamp is based on the fourth dimension the quote enters the queue, non when it exits the queue.)
If you lot tin no longer believe inwards the quotes, is at that spot whatever integrity left inwards the market? Much equally I intend that HFT may hold upward useful liquidity providers, I can't run into how this specific do could hold upward skillful for anyone over the long term.
(Hat tip: Jim Liew of Alpha Quant Club.)
Tidak ada komentar:
Posting Komentar