http://qed.econ.queensu.ca/pub/faculty/milne/322/IIROC_FeeCh...
Everyone would notice a 9% increase in spreads.
If you believe HFT is "skimming money from their trades", can you explain the specific mechanics (i.e., what orders are placed when)?
From what I learned from a guy who did HFT back in 2007 HFT skimming money from their trades, thats why they make more money when markets are volatile.
In some ways it's just a more sophisticated version of the traders who in the nineties made their money from each trade they made happen whether it went good or bad.
The more customers they go to investe, re-invest etc the more money they made.
Don't think thats a big secret.
If that happened because HFT market markets decided not to use the TSX anymore and instead haunt exchanges that were amenable to HFT, that's evidence that HFT was helping individual investors.
Sure but that is not really the point is it?
I'm simplifying a simplification, and I personally would be among the first to point out that this is still just a one-point sample of a horrifically multidimensional space. My point is not to specifically claim that HFT is good, a matter that I still have no personal opinion on, but to point out the question begging. If HFT is shown in fact to be a net gain for consumers, then you should not blithely carry on with the presupposition that it is bad.
*"...If that happened because HFT market markets decided not to use the TSX anymore and instead haunt exchanges that were amenable to HFT, that's evidence that HFT was helping individual investors..."
Which claims that because people move to places that are not regulated/taxed it's a proof that HFT was helping individual investors.
That was in return in the context of me asking whether the reason why the Canadian market lost out was because it did so alone.
In other words. If ALL markets included taxation would the same drop happen? Or in even other words. If something can't handle being taxed is that an argument for not taxing it? Wouldn't it just be evened out.
I am not assuming HFT is bad or good. I am actually trying to figure out what exactly it's good for.
I understand how it's good for those who trade on the market, what I have not yet seen is any examples of how that transcends to society as a whole. And until someone can give me obvious examples of that I don't believe it's irrational for me to be sceptic.
Most Canadian stocks are not traded on US exchanges. So no.
As for "skimming", I'll repeat my question: can you explain the specific mechanics (i.e., what orders are placed when)? Note: if you believe FIX/OUCH has a "SKIM" command, can you link to it?
That would also kill a lot of mutual funds, exchange-traded funds, asset managers, and others. These depend on the availability of frequent rebalancing of portfolios at low transaction cost. Add in a tax to this and you penalize it significantly.
I'm not sure what you mean by "one flat rate." Exchanges already charge a flat rate for connectivity (the rate is per month, usually a couple thousand bucks or so).
Actually the exact opposite will happen.
Only the HFTs will want to move away, the rest will want to move to such a market. For the rest of them, operating in a market that allows HFT is pretty much the same thing as operating in a market for lemons: https://en.wikipedia.org/wiki/The_Market_for_Lemons
Asymmetric information in markets means 'the bad drives out the good'.
Just as running an honest used car market will attract buyers and sellers, running an honest stock exchange will attract traders.
This is what I can't understand about this stories, and makes me doubt the claims against the HFTs.
You should consider asking yourself why most such trading networks actually go to great effort to encourage HFTs to trade on them. (Hint: no liquidity no customers.)
And it wasn't just Tradebot doing it. There were many firms already active with similar styles in the early 2000s like GETCO, ATD, Madison Tyler (now Virtu) and a bunch of smaller guys. HFT does not depend on Reg NMS, fragmentation, or rebates. HFT firms are super successful in futures markets with a consolidated limit order book and fees for both sides of the transaction.
There is absolutely no reason to presume that. It could be one flat rate.
>We could make the markets go super-slowly, but you know what will happen then? Correlated securities in other countries will trade at high frequency and dominate the price discovery process for "our" listings. That won't help our economy, it won't help reliability, and it won't help us assess taxes.
If our intention is to kill HFT (and it probably should be), we could simply levy a very tiny transaction tax on trades. It would instantly render the practice unprofitable.
Retail and institutional investors wouldn't even notice the tax (although they would probably notice the fact that HFT isn't skimming money from their trades).