High-frequency trading considered harmful

Posted Nov 25, 2022 10:34 UTC (Fri) by paulj (subscriber, #341)
In reply to: High-frequency trading considered harmful by ghostbar
Parent article: Networking and high-frequency trading

How much of HFT is about seeing overlapping bids and asks, and being fast enough to interpose oneself into the trade and buy the ask and sell to the bid before the actual bidder and asker can do so - thereby 'stealing' a little margin that would otherwise have gone to one of the original parties?

How much of this liquidity provision concerns trades that would have happened at the same - or better - price if the markets involved rate-limited or slot-limited trading?

High-frequency trading considered harmful

Posted Nov 25, 2022 12:06 UTC (Fri) by smurf (subscriber, #17840) [Link]

Well, you won't ever see overlapping bid/ask. The exchange never adds an "overlapping" order to the order book – it executes the trade instead.

> How much of this liquidity provision

IMHO there is no proof whatsoever that HFT adds any liquidity to the market in the first place. On the other hand, AFAIK nobody seriously disagrees with the assertion that it does add a fair amount of volatility and instability.