ASX Non-Genuine trading issues, page-10

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    @BotKiller
    @antibody

    They (ASIC) do have some points - they aren't supposed to make the law, they are only supposed to enforce it.

    I do think that HFT and algorithmic are often confused. HFT is an often pernicious subset of algorithmic trading, and while I am sympathetic at least to algos, I have no sympathy for HFTs. I fail to see how they support the market system - the efficient reallocation of fallow capital.

    Some trades that appear as "algos" are, as antibody points out, just the broker breaking up an order to avoid market impact when the trade is executed. As a retail trader, you can get similar exections on Interactive Brokers - I think - for only about $6 per side.

    The ping orders and queue stuffing are one of the things that the HFT crowd do that others have no defense against. And it should be relatively easy for ASIC to prosecute on these I think.

    There is a fundamental rule that you can not add an order to the stack unless you are intending execution. Presumably, all the HFTs (and many other algos) have tested algorithms and have the statistical proof that these algorithms work. If questioned by ASIC for non executed orders, they should release the stats to ASIC.

    The way that the Germans limited HFT ping and hoax orders (there is a difference) was to limit the ratio of executions to non-executed orders. But after limiting the number was still stupid, something like 8000 to 1.

    Oh, and the other myth propagated by the algos, is that they provide liquidity. They don't. Just as liquidity can be provided, liquidity can be taken. Certainly when closing orders in the HFT sphere, they are taking liquiidity, not providing.

    It would be very easy to limit them if there was a will.

    MFx
 
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