a******n
发帖数: 164 | 1 因为老有人认为HFT就是做MM,贴张HFT的图.
嗯,不知道怎么操作,发个link吧.
知道怎么贴图,帮忙贴一下.
http://www.scribd.com/fullscreen/30295187 | W******r
发帖数: 789 | | f******h
发帖数: 48 | 3 The last two "trading the tape" and "statistical trading" are not arbitrage
nor market maker. They have been existed for more than half a century and
has nothing to do with hft. So, I assume you mainly focus on the first one
liquidity providing. If you ask your boss or anyone who has traded before
1998, they will told you that there's way much more liquidity than now(I'm
not arguing whether more liquidity is better, just stating a fact), because
the spread is one quarter of dollar then, so it pays to submit limit order
and wait. Now, the spread is only one cent, so not worth much to wait.
Even worth, some htf even jumps in the queue. here's what they do. assume
now the bid and ask are 4 and 4.01. htf my be able to buy at 4.0001 or sell
at 4.0099, slightly better than the bid ask price. by doing so, they steal
orders from 4 and 4.01 and tamp retail investors' incentives to use limit
order. the market liquidity becomes even shallower. Meanwhile, they claim
they create liquidity.
Of course, there're some other strategies. e.g., they may sometimes detect
any mutual fund buying or selling and then try to front running. This has
nothing to do with retail investors, though.
In one word, the whether they provide liquidity is still in debate.
【在 a******n 的大作中提到】
: 因为老有人认为HFT就是做MM,贴张HFT的图.
: 嗯,不知道怎么操作,发个link吧.
: 知道怎么贴图,帮忙贴一下.
: http://www.scribd.com/fullscreen/30295187
| a******n
发帖数: 164 | 4 Thanks for the clarification. Yeah, the better price is one of the
privileges granted to MM.
arbitrage
because
assume
sell
【在 f******h 的大作中提到】
: The last two "trading the tape" and "statistical trading" are not arbitrage
: nor market maker. They have been existed for more than half a century and
: has nothing to do with hft. So, I assume you mainly focus on the first one
: liquidity providing. If you ask your boss or anyone who has traded before
: 1998, they will told you that there's way much more liquidity than now(I'm
: not arguing whether more liquidity is better, just stating a fact), because
: the spread is one quarter of dollar then, so it pays to submit limit order
: and wait. Now, the spread is only one cent, so not worth much to wait.
: Even worth, some htf even jumps in the queue. here's what they do. assume
: now the bid and ask are 4 and 4.01. htf my be able to buy at 4.0001 or sell
| G*********t
发帖数: 344 | 5 这个上面好像是地球人都知道的东东。那个“Technical trading" 和“Momentum
trading" 就是你不相信的技术分析的一部分。
太搞笑了。
【在 a******n 的大作中提到】
: 因为老有人认为HFT就是做MM,贴张HFT的图.
: 嗯,不知道怎么操作,发个link吧.
: 知道怎么贴图,帮忙贴一下.
: http://www.scribd.com/fullscreen/30295187
|
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