hft; what are the facts?, page-15

strike101,

> radioactivewhale, some have said on any given day in the US
> HFT can account for 70% of volume.

This is a widely quoted statistic, but one that is misleading. It is the proportion of trading on the NYSE - an exchange that has been abandoned by everyone except HFT. Hence the figure. Also there is also a washing effect, where one retail trade gets on-traded by several HFT's. The first trade is real, the subsequent ones are not "real" volume.

Also, all algos are not HFT - just a subset.

> The authorities are either so fixated on short term
> positives (increased turnover) or so blinded by the
> people who lobby about regulating these beasts that the
> market will end up no longer serving the purpose it was
> designed for. And in the long run we will all suffer imo!

I really think HFT was just the life-form that adapted best to the environment (price-time priority rules). The problem is the rules that encourage the behaviour. It has not been "by design" but the slow effect of technology in the last 20 yrs has blinded us to this fact. The rules need to change - we do not want to regulate HFT out of existence!

> One HFT 4% of volume ,,, and so the story goes on!

Yes this is 4% of quote volume, not traded volume. No-one would have noticed if it were not for Nanex!

This kind of "quote stuffing" (or denial-of-service attack?) is there to create noise so other algos have trouble keeping up, giving them another millisecond to do their thing! It doesn't happen in Aus, just a US thing.