some usefull links for enthusiasts to embrace the new (old) automagic trading technology
Must watch Nanex video (real time capture of order flow) - note they are milliseconds on the clock High Frequency Traders Infest Mastercard http://www.youtube.com/watch?v=sDriNz8oAlc
THE MICROSTRUCTURE OF THE ‘FLASH CRASH’ (6May2010) http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695041
Flow Toxicity and Liquidity in a High Frequency World http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695596
Have posted before, but search topics "Market Impact Model", "Market Makers", liquidity etc to get players, makers and takers.
Asymmetric incentives to provide liquidity (paid per bid sold), versus costs to take liquidity (cost per share purchased).
Automagic trading has outright benefits to those who understand the metrics that go into programming an algo. Long term and short term parametric (quantitative) data analysis is absolutely key.
