Insider dealing schemes. or how to discreetly funnel a lot of dough (and how to detect this hidden infiltration) - page 20
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A broken exchange robot in FORTS trading on the MICEX-RTS futures market has caused a multimillion-dollar loss for its owner, Interfax reports. This was reportedby Interfax.
According to Metallinvestbank's head of dealing centre Sergei Romanchuk, the robot "crashed" on USD/RUB futures. According to Interfax, the exchange robot bought currency at 33.9 rubles and sold it at 32.75 rubles for two minutes at 18:00 Moscow time on June 21, making transactions totaling about $700 million.
At the same time Romanchuk estimated the maximum loss from the actions of the exchange robot at $4.3 million. An Interfax source in the financial market believes that the loss amounted to at least two million dollars.
Who owns the robot, the MICEX-RTS did not disclose. Market participants believe that only a robot owned by a large bank could afford such volumes of trades. At the same time, a MICEX-RTS representative said that there would be no cancellation of trades made by the robot. "Each participant is responsible for his robot and his own actions," the exchange said.I work in a team. But that's not our profile. We practice medium term. In principle, there is a platform that allows to use elements of HFT. But is it worth bothering in this direction? Is it worth the trouble?
It's not my place to worry about it, but I'll cut in. The profitability of HFT is grossly overstated, in rumours. This market has its own liquidity, which is limited. The competition there is high. Moreover, I look at real scalpers with amazement. They are usually on the same horizons - they are not extinct as a class. The question is, who do they win money from?
Yes, there are problems with scaling on a large capital base.
Yes, competition is high.
No, it is not HFT that is being taken away. It's more the other way around.
HFT is a way to make money with little risk. The risks are usually proportional to the time a position is held. Do you know any medium-term trading algorithms that actually make money and have a Sharpe Ratio greater than 10?
Yes, there are problems with scaling on a large capital base.
Yes, competition is high.
No, it is not HFT that is being taken away. It's more the other way around.
anonymous:
HFT is a way to make money with little risk. The risks are usually proportional to the time a position is held. Do you know any medium-term trading algorithms that actually make money and have a Sharpe Ratio greater than 10?
Even though it's not my business, but I'll cut in. The profitability of HFT is grossly overstated, in rumours. This market has its own liquidity, which is limited. The competition there is high. Besides, I look at real scalpers with amazement. They are usually on the same horizons - they are not extinct as a class. The question is who do they win money from?
I totally agree. Just for the sake of interest, you can look at the 2012 BFI stats. Now they have changed the conditions and it is probably the best competition for traders that exists at the moment. You can clearly see that the insane percentages of HFT are offset by the liquidity that these algorithms can eat up. The bottom line is that there is now parity between HFT and institutional investors. But market efficiency is increasing, the costs of maintaining the HFT infrastructure will rise exponentially, while the rabidity of the algorithms will fall. Institutional investors, on the other hand, are doing just fine - the almost unlimited and increasing liquidity makes the opportunity for them to make money almost limitless. I think in a couple of years on "HDI" institutes will simply crush HFT with their huge deposits and one more reality of life will prevail: the right one is not the one who earned more interest, but the right one is the one who made more money.
No, it is not the HFT that is being taken away. It's more the other way around.
Yes, possibly. But for institutionalists, with medium-term horizons and beyond, it's not a problem. You are giving them liquidity, and the fact that you have to pay 30-50 points for it is a mere trifle. There is virtually no impact on the sustainability of the results.