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The Trading Mesh

Haim Bodek's Blog

Why HFTs Have an Advantage, Part 4: Winner Take All -- The DAY ISO

January 23, 2013 Comments (1)           

This article is part of a series that was originally published on the Tabb Forum at http://tabbforum.com/opinions/why-hfts-have-an-advantage-part-4-winner-take-all-the-day-iso and is reproduced here with the author's permission.
 
Perhaps the most powerful order type in the HFT arsenal, the DAY ISO is the only order type that can light a new aggressive price on an exchange that locks an away market, providing an end-around to Rule 610 and the ban on locked markets and...

Why HFTs Have an Advantage, Part 3: Intermarket Sweep Orders

January 8, 2013 Comments (0)           

This article is part of a series that was originally published on the Tabb Forum at http://tabbforum.com/opinions/why-hfts-have-an-advantage-part-3-intermarket-sweep-orders and is reproduced here with the author's permission.
 
Though ISOs were meant for large institutions sweeping through the book, an unanticipated consequence has been that HFTs leverage the order type to get ahead of slow SIP data feeds on price moves. Brokers that don’t use ISOs in fast...

Locked Markets, Priority and Why HFTs Have an Advantage: Part 2: Hide & Light

December 19, 2012 Comments (0)           

This article is part of a series that was originally published on the Tabb Forum at http://tabbforum.com/opinions/locked-markets-priority-and-why-hfts-have-an-advantage-part-2-hide-and-light and is reproduced here with the author's permission.

Part 2: Hide & Light
As high-frequency trading (HFT) scalping strategies began employing “spam and cancel” strategies that dominated top-of-book trading activity (see: Locked Markets, Priority and Why HFTs...

Locked Markets, Priority and Why HFTs Have an Advantage: Part I

December 11, 2012 Comments (0)           

This article is part of a series that was originally published on the Tabb Forum at http://tabbforum.com/opinions/locked-markets-priority-and-why-hfts-have-an-advantage-part-i and is reproduced here with the author's permission.
 
Part I: Spam and Cancel
In 2005, Regulation NMS was adopted to bind U.S. equity markets into a unified national market. REG NMS was implemented market-wide in 2007, a year particularly notable as an inflection point for the rapid growth of...