Phantom quotes ~ forex trading strategies types
Have you ever got the feeling that your market orders are often filled at prices worse than the NBBO displayed on your trading screen? Apparently, this may be the result of deliberate manipulation of the market by high frequency traders. These HF traders submit thousands of quotes per second to the NYSE ("quote stuffing") and then cancel them within 50 ms. This slows down the exchange data queue so much that by the time a quote is transmitted to you, it is stale already, even if your trading server is collocated at the exchange. (Checking the time stamp of the quote is of no help: the time stamp is based on the time the quote enters the queue, not when it exits the queue.)
If you can no longer believe in the quotes, is there any integrity left in the market? Much as I think that HFT may be useful liquidity providers, I cant see how this specific practice could be good for anyone over the long term.
(Hat tip: Jim Liew of Alpha Quant Club.)
More info for Phantom quotes ~ forex trading strategies types:
