> If you genuinely can't hit a price being shown, ever; I'd call that market a fraud.
Which is exactly what many are complaining about; welcome to the conversation.
> Spread width n millis before execution. Spread at execution. IF the latter is consistently wider it's not a market it's a con, take your business elsewhere.
Again, that's the complaint they have, see, you do understand the debate.
I'm not the one making the claim nor am I against HFT, I'm simply highlighting the fact that there are those making the claim and they do have valid arguments and they do claim to have evidence so go see their evidence.
Yeah see this is just plain silly and emphatically does not show vanishing quoted volume when you hit an order. It shows prices being adjusted when things happen on other markets.
The test is can I put a single order in to hit a price being shown on onesinglemarket and consistently miss when nothing else is going on. Because that really is fraud. This just plain isn't. This is taking info from another market and updating your price as fast as possible so you don't get arb'd as a market maker.
Why is the test one single market? Because if you're transacting a very large, (ie market moving) qty for something on multiple markets you'd expect that information to move the other markets where that instrument is being quoted. So now it's just that market makers are set up to deal with info from the other markets really fast. Maybe their link from one exchange to the next is faster than your link to the second exchange. That's clearly what is happening here. This is incredibly competitive nature of quoting really, really tight. You can't do it otherwise, you have to be wider. This is also falls under the normal definitions of efficient market hypothesis.
Note these guys who are complaining still get better prices for their market moving qty than they would get in the absence of HFT. That is with no HFT they could successfully transact all their volume at a much worse quoted price on all those markets and their investors are worse off. Effectively the worst price they get as the market moves with their big trade as they execute at multiple prices would be the best price anyone would ever show in the absence of HFT.
But hey if you're sucking as a funds manager while charging a fee that is a wealth tax in excess of 1% per annum of total wealth you've got to blame something, right? Short sellers are a popular one too despite being the basically only counter-mechanism we have for bubble inflated asset prices. And if you're a broker, some nerds cut your lunch, make them stop with their superior skills, dammit.
The width of the spread you actually get is the only thing that matters, but there is a mountain of BS fearmongering to divert your attention. That's where this convo started.
I think we've all fully expressed ourselves now. All the best.
Which is exactly what many are complaining about; welcome to the conversation.
> Spread width n millis before execution. Spread at execution. IF the latter is consistently wider it's not a market it's a con, take your business elsewhere.
Again, that's the complaint they have, see, you do understand the debate.