High Freq - Bot-Trading | Bitcointalksearch.org

jordan.dev

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Quote from: runam0k on August 12, 2013, 12:40:24 PM

The science is impressive, of course, but that's not a reason to advocate the use of it here.

I believe the opposite, I think their future are inextricably linked. Bitcoin is onto-itself a form of financial wizardry.

I think the proof-of-work block chain technology, Bitcoin and it's components have a real future as part of the fabric of HFT.

The underlying assumption being, at least for me, that the adoption of Bitcoin as a technology adapted for parts of HFT that traditional financial tech aren't well suited for.

See George Kledaras, http://www.advancedtrading.com/can-bitcoin-solve-wall-streets-soft-doll/240157515, disclaimer, I've spoken at length with Mr. Kledaras about these types of problems.

runam0k

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Touchdown

Quote from: jordan.dev on August 11, 2013, 07:05:25 PM

Extracting profit by performing a service (in this case sub-millisecond trading) for the owners of the funds / banks isn't only important, I'd say it's perfectly moral. So long as your not cheating, and everyone knows the rules.

Yes, but patently not important to bitcoin or the bitcoin denominated market. It's potentially detrimental, in fact, to bitcoin and the bitcoin denominated market.

The science is impressive, of course, but that's not a reason to advocate the use of it here.

Obviously if bitcoin gains significant traction and the attention of big funds and banks, HFT (and other financial wizardry) in the bitcoin denominated market is inevitable (unless, perhaps, HFT is banned or otherwise hobbled in the real world - not totally beyond the pale if you consider the market dips and crashes already attributed to HFT).

JohnDow1968

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Quote from: daybyter on August 10, 2013, 12:36:29 PM

There are exchanges with lots of currency pairs. No need to move money from one exchange to another.

Even I understand that. But still the fees are killing that right. Might this also be the reason why it's so hard to get FIAT in/out of lets say.... MtGox?

jordan.dev

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Quote from: runam0k on August 11, 2013, 08:33:32 AM

I didn't say it wouldn't happen. I'm just saying it's shit and bitcoin would be better off without it / careful what you wish for. HFT will be pure profit extraction by banks and funds from people who are actually interested in holding or trading bitcoin denominated stock, nothing more.

Yes, but that's a double negative, saying we'd be better off without something that is inevitable is like saying, "well we'd be better off if we all lived forever..."

Extracting profit by performing a service (in this case sub-millisecond trading) for the owners of the funds / banks isn't only important, I'd say it's perfectly moral. So long as your not cheating, and everyone knows the rules.

People attack HFT, even legal HFT as being "immoral" or "illegal" because they don't understand it, so I guess I'm just overly sensitive since I'm a big fan of the science.

Physicists invented/discovered nuclear weapons, we don't blame them for nuclear war.

jordan.dev

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Quote from: daybyter on August 10, 2013, 04:56:17 PM

So are you interested in such technology? Interested in helping to create the required infrastructure?

Hell yeah! Lets do it... I make a market right now on a 15 second latency because, well, most exchanges have to spend their research and development dollars on legal compliance rather than technology...

monsterer

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Quote from: runam0k on August 09, 2013, 10:04:47 AM

What happened to the days where (most) market participants would actually look at the company, the management, the business plan, etc, and actually place a value on shares. Huh

Those are long term traders. HFT is intra-day trading.

joesmoe2012

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Ching-Chang;Ding-Dong

Quote from: runam0k on August 09, 2013, 10:04:47 AM

Please, no. HFT simply undermines how markets operate, increasing trade volumes yet doing nothing to increase liquidity. HFT presents a new barrier to entry and exists purely to skim money.

This is fantastic btw - an animation of 1/2 a second of real world
trading activity in Johnson & Johnson stock Shocked

- mind blown:
http://www.nakedcapitalism.com/2013/05/ian-fraser-the-beauty-and-insanity-of-hft.html

What happened to the days where (most) market participants would actually look at the company, the management, the business plan, etc, and actually place a value on shares. Huh

The article above says it best, "high frequency trading has nothing to do with the efficient allocation of capital, and everything to do with socially-useless proprietary trading that runs counter to the interests of long-term investors".

"Watch High-Frequency Traders (HFT) at the millisecond level jam thousands of quotes in the stock of Johnson and Johnson (JNJ) through our financial networks on May 2, 2013. Video shows 1/2 second of time. If any of the connections are not running perfectly, High Frequency Traders can profit from the price discrepancies that result. There is no economic justification for this abusive behavior.
Read more at http://www.nakedcapitalism.com/2013/05/ian-fraser-the-beauty-and-insanity-of-hft.html#zEoMZVoX1Rmv95TX.99 "

@mtgox

runam0k

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Quote from: jordan.dev on August 10, 2013, 02:05:32 PM

Gripe about it's "Lack of efficiently allocating capitol" all you want. I don't believe that HFT/MFT/Algo-trading will avoid cryto-currencies. It's just that the infrastructure doesn't exist yet for the real players to plug-in.

I didn't say it wouldn't happen. I'm just saying it's shit and bitcoin would be better off without it / careful what you wish for. HFT will be pure profit extraction by banks and funds from people who are actually interested in holding or trading bitcoin denominated stock, nothing more.

daybyter

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So are you interested in such technology? Interested in helping to create the required infrastructure?

jordan.dev

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Quote from: runam0k on August 09, 2013, 10:04:47 AM

Please, no. HFT simply undermines how markets operate, increasing trade volumes yet doing nothing to increase liquidity. HFT presents a new barrier to entry and exists purely to skim money.

The article above says it best, "high frequency trading has nothing to do with the efficient allocation of capital, and everything to do with socially-useless proprietary trading that runs counter to the interests of long-term investors".

I disagree, I think that the future of trading Bitcoin is the same as trading any other instrument in the world today.

It's just a matter of implementation, and it's coming.

Gripe about it's "Lack of efficiently allocating capitol" all you want. I don't believe that HFT/MFT/Algo-trading will avoid cryto-currencies. It's just that the infrastructure doesn't exist yet for the real players to plug-in.

daybyter

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There are exchanges with lots of currency pairs. No need to move money from one exchange to another.

monsterer

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Quote from: daybyter on August 10, 2013, 07:32:57 AM

You only considered technical trading. Triangle arb might work.

There are theoretical massive wins to be had through arbitrage in bitcoin, but it's just so, so hard (and slow) to get fiat in and out of exchanges that this is currently impossible.

How do I know it's impossible? Just take a look at the difference in BTCUSD across exchanges - it's massive. That says arbitrage is currently not possible because otherwise the gap would already have been arbitraged away to 0.

monsterer

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Quote from: JohnDow1968 on August 10, 2013, 05:06:14 AM

So high freq. on an exchange with 0.6% fee (Gox) is not going to work at all?
The price needs to move at least $1.2 to make 0% profit. Is that correct?

That's correct.

In order for proper high freq. market makers to be profitable the fees need to be handled differently, as it stands now the higher the price of bitcoin, the further the price will need to move to make break even on a round-trip trade at 0.6% fee:

* At $100/BTC, its ~$1.2
* At $200/BTC, its ~$2.4
* At $1000/BTC, its ~$12.11

So, as price rises it becomes more and more difficult to break even, unless the market gets more and more volatile at the same time.

Something like a fixed spread fee of some number of satoishis might work, as you have in some forex ECN brokers.

daybyter

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You only considered technical trading. Triangle arb might work.

JohnDow1968

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So high freq. on an exchange with 0.6% fee (Gox) is not going to work at all?
The price needs to move at least $1.2 to make 0% profit. Is that correct?

jordan.dev

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Quote from: monsterer on August 09, 2013, 04:17:40 PM

Quote from: daybyter on August 09, 2013, 12:34:06 PM

Uhm...are there any 'high-frequency' exchanges? Most of the ema-crossing bots make maybe 1 trade / day. So a bot, that makes 1 trade / hour is already 'high-frequency' in the bitcoin world, I guess. Most exchange will ban you, if you request data more often than every 15s, or so. So I guess bitcoin HFT is not comparable to 'real-world' HFT.

Request frequency is simply not the problem with HFT on BTCUSD, it's the massive, massive spreads which exist due to the huge transaction fees.

HFT bots are mostly market-markers which make profit by providing liquidity on both sides of the spread, but given a 0.6% trade fee, at BTC being $100, break even is when price moves $1.211 which is a vast amount. This is why trades are so infrequent, nothing to do with exchange limits.

Cheers, Paul.

Hence the reason we traders like to call Magic the Gathering Online ~~Exchange~~ by it's real name: A joke.

No market makers (those whom trade for free to tighten spread), one sided trades markets, lagging trading engines, a liquid and orderly market does not this create.

monsterer

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Quote from: daybyter on August 09, 2013, 12:34:06 PM

Uhm...are there any 'high-frequency' exchanges? Most of the ema-crossing bots make maybe 1 trade / day. So a bot, that makes 1 trade / hour is already 'high-frequency' in the bitcoin world, I guess. Most exchange will ban you, if you request data more often than every 15s, or so. So I guess bitcoin HFT is not comparable to 'real-world' HFT.

Request frequency is simply not the problem with HFT on BTCUSD, it's the massive, massive spreads which exist due to the huge transaction fees.

HFT bots are mostly market-markers which make profit by providing liquidity on both sides of the spread, but given a 0.6% trade fee, at BTC being $100, break even is when price moves $1.211 which is a vast amount. This is why trades are so infrequent, nothing to do with exchange limits.

Cheers, Paul.

daybyter

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Uhm...are there any 'high-frequency' exchanges? Most of the ema-crossing bots make maybe 1 trade / day. So a bot, that makes 1 trade / hour is already 'high-frequency' in the bitcoin world, I guess. Most exchange will ban you, if you request data more often than every 15s, or so. So I guess bitcoin HFT is not comparable to 'real-world' HFT.

runam0k

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Touchdown

Please, no. HFT simply undermines how markets operate, increasing trade volumes yet doing nothing to increase liquidity. HFT presents a new barrier to entry and exists purely to skim money.

This is fantastic btw - an animation of 1/2 a second of real world
trading activity in Johnson & Johnson stock Shocked

- mind blown:
http://www.nakedcapitalism.com/2013/05/ian-fraser-the-beauty-and-insanity-of-hft.html

What happened to the days where (most) market participants would actually look at the company, the management, the business plan, etc, and actually place a value on shares. Huh

The article above says it best, "high frequency trading has nothing to do with the efficient allocation of capital, and everything to do with socially-useless proprietary trading that runs counter to the interests of long-term investors".

JohnDow1968

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I just found out the bot is of the "high-frequency" type.
How could that work out?

daybyter

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I still don't know, what you want to do? Code a tradebot? I'm working on such code, so I guess it's obvious, that I find it useful.

JohnDow1968

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Anybody else something to add?

JohnDow1968

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Jordan-Dev. Thank you for the input so far. Makes a lot of sense.

John

jordan.dev

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Quote from: BtcBling on August 03, 2013, 10:01:03 PM

Bot is pot of gold... with correct settings very profitable - but hard to configure correctly. Nice gamble for every minute!

I think the pot-of-gold is the stability in BTC prices that allows bigger investors to be reassured they won't be moving the price 5%-10% entering/exiting the market...

BtcBling

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Quote from: jordan.dev on August 03, 2013, 04:11:43 PM

I operate multiple bots for market-making activities on Bitfinex (www.bitfinex.com)

With that in mind, they're pretty agnostic.

The goal is just provide liquidity and to narrow the spread and give traders an opportunity to trade at any given time near the mid-point in the price-spread.

HFT trading bots have all but removed any and all arbitrage in more traditional trading markets (equities, options, futures, etc.)

However, the lack of liquidity on most BTC exchanges today provides an opportunity for those interest in this type of trading to help provide liquidity at or around the current traders whom wish to trade at any given point in time.

So I'd argue the necessity of bots is less a "good/bad" thing - more of a question of "How important is liquidity?"

(and what happens when the market behaves in a way that liquidity bots aren't prepared for and they remove all their liquidity ala "Flash Crash")

Bot is pot of gold... with correct settings very profitable - but hard to configure correctly. Nice gamble for every minute!

jordan.dev

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I operate multiple bots for market-making activities on Bitfinex (www.bitfinex.com)

With that in mind, they're pretty agnostic.

The goal is just provide liquidity and to narrow the spread and give traders an opportunity to trade at any given time near the mid-point in the price-spread.

HFT trading bots have all but removed any and all arbitrage in more traditional trading markets (equities, options, futures, etc.)

However, the lack of liquidity on most BTC exchanges today provides an opportunity for those interest in this type of trading to help provide liquidity at or around the current traders whom wish to trade at any given point in time.

So I'd argue the necessity of bots is less a "good/bad" thing - more of a question of "How important is liquidity?"

(and what happens when the market behaves in a way that liquidity bots aren't prepared for and they remove all their liquidity ala "Flash Crash")

sukiho

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my view is that bots can do it fine, its the same as chess, theres really no need for human feelings in it, on the other hand you have to have a bot that does what you want and if your only doing a trade once or twice a week you dont really need a bot to do the actual trading most of the time, just when you are sleeping or away from the computer and a trade looks likely

the high frequency small amounts, I guess thats just an attempt to influence the market, you would need a bot for that or you would go crazy

and the link you posted, pure spam if not scam I would guess

JohnDow1968

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Great discussion so far... Wink

daybyter

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I think it makes sense...

JohnDow1968

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Hi,

Is Bot-Trading in the BTC/Crypto arena useful? Does it make any sense at all?
So far I believed bots are messing up the exchanges and influence the price??? Mostly bad...
Can somebody help me out I got no idea. What are the pro and con's if there are any.
Obviously a watchdog looking after your funds does make sense, but a feel for the markets is only for humans right?

Lot's of questions came up while I got this link in my inbox:
http://www.bitly.com/BTC-Trader
I've heard of simple MA bots, but what about if bots become more advanced?
All those very small buy & sells on MtGox (bitcoin.clarkmoody.com orderbook) don't make sense to me at all. Are those trade bots already?

Let me hear your thoughts.

Topic: High Freq - Bot-Trading (Read 2589 times)