If you watch the order book you see a lot of trades go through. If you can take $ 0.0001 every trade, you make money. 0001 second, you can make 1000 trades a second ( 1000 ms = 1 sec ). 1 second is an eternity for a HFT algorithm.įor anybody that can’t grasp this think of it like this: The more time you have and the bigger you can make the price in terms of decimals, the more money you can scrape off every trade. High Frequency Trades happen in these periods. Time goes in milliseconds, if not smaller like microseconds. Here’s an investopedia article about Decimal Trading with the SEC rules sources If somebody can point me to some proper DD on HFT’s, please do drop a link. I’m aware this could just be a decimal floating point, but it wouldn’t be a surprise if it actually goes this far. There used to be a picture here but I hit the max of 20 Here is a closing statement from IBKR presenting. We normally see 2-4 decimals on the price in the book or on the charts (128.54, 128.5498). It’s very fast computers we’re dealing with. Since it’s just an order, it’s just an order, right? What would be the easiest way to do so in terms of trading? Hide it in orders as sizes. how do you make programs communicate with each other? Simply put by sending messages they can understand. With HFT algo’s running the show, a different form of communication was needed. In the old days you had to make a call and tell somebody on the other end to do something with the order. High frequency trading has completely taken over for years now. This is a known thing right? As we know by now most orders get internalized and routed through darkpools. What’s the easiest way to communicate with numbers seen by every exchange? Order size. L2 or 元 just gives a more in-depth view of the order. It’s about Order size, which is available on L1 data. I had discussions on Discord about whether this was only applicable to L2 data and I say it isn’t. It’s quite interesting to see it play out. I’ve been watching these Market Maker Signals. As these things take time to gather, process and analyze the data I will do a follow up in the next few weeks with L2 data. All the findings displayed here are with L1 data. At the time of writing I am using L1 data. MARKET MAKER SIGNALS SOFTWAREI use IBKRs TWS and wrote my own software to use their API. I spent most of the intraday watching the chart and orderbook. If you follow his daily posts about the MM Signals you probably seen me get mentioned as I’ve provided my data to him for use in his daily updates. I’ve since contacted /u/mlebjerg and we continue to do research on this. If you’re on Discord in the market-talk channel then you’ve probably seen me throw out pictures of orders sizes and calling out what happened, or what might happen within the next or next few minutes with regard to these ‘signals’. Inspired by /u/mlebjerg ‘s post about Market Maker signals ( ) I decided to put more time and research into this. This is a long one but I’ll try to keep it as ELIA as possible. With this post I’m going to show how this applies on a millisecond scale. A lot of these signal trades and responses happen in milliseconds, something you don’t see on a normal chart. High Frequency Trading Algorithms run the show and communicate via signals disguised as orders sizes. I present this to you all to open a discussion and maybe even grow a wrinkle.Ībstract (TL:DR - You should really read it though, grow a wrinkle.) But I also wouldn’t call it all speculation. The reason being it’s a low volume low trades stock right now, compared with others. These are observations done on 1 security: GME. MARKET MAKER SIGNALS MODS(well technically it is, but not the usual kind, mods please change if wrong.) This is a data analysis, not a technical analysis. Therefore I’m a complete reddit noob so please be gentle. Red/green mixed crayon smoothie with a whole yellow on top and a hollowed out blue one as straw is in my opinion the best crayon smoothie ever. I drink crayon smoothies and sniff paint 24/7. Market Maker Signals Study on GME - Breaking Down Charts and Trades into Milliseconds.Īuthor: TimoV ( /u/hatter11 ) in collaboration with /u/mlebjerg
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