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High Frequency Trading (HFT)

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Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

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Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

Is High-Frequency Trading the Reason Bitcoin Has Become Boring? submitted by somuchinfook to u/somuchinfook [link] [comments]

Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

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Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

Is High-Frequency Trading the Reason Bitcoin Has Become Boring? submitted by a36 to AllThingsCrypto [link] [comments]

Is High-Frequency Trading the Reason Bitcoin Has Become Boring? (current BTC/USD price is $9,062.82)

Latest Bitcoin News:
Is High-Frequency Trading the Reason Bitcoin Has Become Boring?
Other Related Bitcoin Topics:
Bitcoin Price | Bitcoin Mining | Blockchain
The latest Bitcoin news has been sourced from the CoinSalad.com Bitcoin Price and News Events page. CoinSalad is a web service that provides real-time Bitcoin market info, charts, data and tools.
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Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

The Bitcoin (BTC) market has been quiet lately. A little too quiet.   As of Tuesday Bitcoin’s volatility levels had dropped to levels unseen since 2017. In recent weeks, Bitcoin has fallen behind as investors piled into altcoins such as Chainlink (LINK) and Cardano (ADA) .  One possible explanation for Bitcoin’s consolidation may be an increased […]
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Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

Is High-Frequency Trading the Reason Bitcoin Has Become Boring? submitted by InTheKnow_2016 to mrcryptolive [link] [comments]

Is High-Frequency Trading the Reason Bitcoin Has Become Boring?

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How can you be market neutral in high frequency bitcoin trading?

I read this interesting blog where the author claimed to have built a market neutral trading algo.
I’m assuming that means that when the market went down, the algo shorted bitcoin (maybe through futures on the CME ).
What I don’t understand, is how you can stay market neutral on such short timescales of seconds and minutes, given bitcoin futures span months.
Are there other ways to short sell bitcoin on shorter time scales - How else can you be market neutral?
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How can you be market neutral in high frequency bitcoin trading?

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High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues | CryptoGlobe

fintech #trading #algotrading #quantitative #quant #quants #hft ##markets #hedgefunds #fx #forex

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues /latest/2019/02/high-frequency-trading-firms-have-highest-bitcoin-affinity-analyst-argues/
Su Zhu, the co-founder of Sensus Markets, a digital asset principal trading firm, has argued that companies focused on high-frequency trading (HFT), small family investment offices, and hedge funds have the “highest Bitcoin affinity.”
Zhu, who is also the CEO of Three Arrows Capital, a foreign exchange (FX) focused hedge fund, posted (via Twitter) a “ranking of Bitcoin affinity in the traditional financial space, from highest to lowest:” “HFT/prop firms”,“Service providers”,“Family offices”,“Hedge funds”,“Stock/futures exchanges”,“Private banks”,“Commercial banks”,“Investment banks”,“Academia.”The Role Of "Incentives And Philosophy" According to Zhu, “incentives and philosophy play a big role” in influencing the decisions and overall approach organizations take towards adopting new technologies - including Bitco.....
Continue reading at: https://www.cryptoglobe.com/latest/2019/02/high-frequency-trading-firms-have-highest-bitcoin-affinity-analyst-argues/
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Satoshi's original idea for scaling bitcoin: "High Frequency Trading", or primitive payment channels. The Lightning Network was part of Satoshi's Vision® from the beginning.

https://lists.linuxfoundation.org/pipermail/bitcoin-dev/2013-April/002417.html
I just thought it would be interesting for new bitcoiners to learn that the premise of the Lighting Network (updatable, multi-directional payment channels) was originally designed by Satoshi as a smart contract using nLockTime.
Lightning is more secure than what Satoshi described here, but it relies on some of the very same concepts.
So those who preach Satoshi's Vision® should realize that Lightning was part of his plan from the beginning.
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High-Frequency Crypto Trading: How to Get Started - Bitcoin Market Journal

fintech #trading #algotrading #quantitative #quant

High-Frequency Crypto Trading: How to Get Started As digital asset markets mature, they attract more and more of the practices used in traditional financial markets. Thus, they give rise to new investment opportunities. The question is: how can you take advantage of these opportunities?
2019 has been the year of institutional adoption. In addition to the money, institutional investors have been injecting their tried-and-proven profit-making methods into crypto. HFT (High-Frequency Trading) and dark pools are examples of these methods. What Is High-Frequency Trading? High-frequency trading uses supercomputing and low-latency connections. Through such technology, trading algorithms of various degrees of sophistication place thousands of orders in fractions of a second. These algorithms analyze markets, pinpoint opportunities, and act on them, all according to a set of predetermined parameters.
Everything else being equal, speed is the variable that determines the edge the high-.....
Continue reading at: https://www.bitcoinmarketjournal.com/high-frequency-crypto-trading/
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Crank up your Bitcoin piggy bank with a high-frequency trading bot.

https://twitter.com/NovaChain_cc/status/1139392153627418625
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High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues | CryptoGlobe

fintech #trading #algotrading #quantitative #quant #quants #hft ##markets #hedgefunds #fx #forex

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues /latest/2019/02/high-frequency-trading-firms-have-highest-bitcoin-affinity-analyst-argues/
Su Zhu, the co-founder of Sensus Markets, a digital asset principal trading firm, has argued that companies focused on high-frequency trading (HFT), small family investment offices, and hedge funds have the “highest Bitcoin affinity.”
Zhu, who is also the CEO of Three Arrows Capital, a foreign exchange (FX) focused hedge fund, posted (via Twitter) a “ranking of Bitcoin affinity in the traditional financial space, from highest to lowest:” “HFT/prop firms”,“Service providers”,“Family offices”,“Hedge funds”,“Stock/futures exchanges”,“Private banks”,“Commercial banks”,“Investment banks”,“Academia.”The Role Of "Incentives And Philosophy" According to Zhu, “incentives and philosophy play a big role” in influencing the decisions and overall approach organizations take towards adopting new technologies - including Bitco.....
Continue reading at: https://www.cryptoglobe.com/latest/2019/02/high-frequency-trading-firms-have-highest-bitcoin-affinity-analyst-argues/
submitted by silahian to quant_hft [link] [comments]

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues | CryptoGlobe

fintech #trading #algotrading #quantitative #quant #quants #hft ##markets #hedgefunds #fx #forex

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues/latest/2019/02/high-frequency-trading-firms-have-highest-bitcoin-affinity-analyst-argues/Su Zhu, the co-founder of Sensus Markets, a digital asset principal trading firm, has argued that companies focused on high-frequency trading (HFT), small family investment offices, and hedge funds have the “highest Bitcoin affinity.”Zhu, who is also the CEO of Three Arrows Capital, a foreign exchange (FX) focused hedge fund, posted (via Twitter) a “ranking of Bitcoin affinity in the traditional financial space, from highest to lowest:”“HFT/prop firms”,“Service providers”,“Family offices”,“Hedge funds”,“Stock/futures exchanges”,“Private banks”,“Commercial banks”,“Investment banks”,“Academia.”The Role Of "Incentives And Philosophy"According to Zhu, “incentives and philosophy play a big role” in influencing the decisions and overall approach organizations take towards adopting new technologies - including Bitcoin (BTC) and o..... Continue reading at: https://www.cryptoglobe.com/latest/2019/02/high-frequency-trading-firms-have-highest-bitcoin-affinity-analyst-argues/
submitted by silahian to quant_hft [link] [comments]

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analy... #crypto #btc #fintech Regulations… https://t.co/ZI0lTG3En3 - Crypto Dynamic Info - Whales's

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High Frequency Trading Firms Have ‘Highest Bitcoin Affinity’, Analyst Argues

High Frequency Trading Firms Have ‘Highest Bitcoin Affinity’, Analyst Argues submitted by ThrillerPodcast to thrillerpodcast [link] [comments]

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues - CryptoGlobe

High Frequency Trading Firms Have 'Highest Bitcoin Affinity', Analyst Argues - CryptoGlobe submitted by ulros to fbitcoin [link] [comments]

Satoshi's original idea for scaling bitcoin: "High Frequency Trading", or primitive payment channels. The Lightning Network was part of Satoshi's Vision® from the beginning.

Satoshi's original idea for scaling bitcoin: submitted by crypto-whisperer to btc [link] [comments]

Visualising High Frequency Trading in Bitcoin

Visualising High Frequency Trading in Bitcoin submitted by Zagitta to ethtrader [link] [comments]

High Frequency Trading in Bitcoin Exchanges

High Frequency Trading in Bitcoin Exchanges
Introduction
In this post I analyze the presence and activity of high frequency trading in a Bitcoin exchange. Since to date this markets are extremely unregulated, such behaviour takes places with little to no constraint. I show how over 99% of orders placed are not meant to be filled, but instead to distort the perception of the market. In addition, I try to spot common HFT strategies, such as Quote Spoofing, Layering and Momentum ignition. Given the anonymous nature of these exchanges these last results are to some extent subjective. (FMZ.COM)
What is High Frequency Trading?
From Wikipedia [1], High-frequency trading (HFT) is a type of algorithmic trading characterized by high speeds, high turnover rates, and high order-to-trade ratios that leverages high-frequency financial data and electronic trading tools.
Methodology
This analysis has been carried out with order data from the Websocket stream from GDAX, a US based digital asset exchange [2] owned by Coinbase. It is one of the largest markets (over 42 MM USD/day) [3] and it exposes a high performance socket where all orders are broadcasted. In addition, it offers some interesting features for data analysis:
Orders are timestamped (as opposed to Bitfinex, for example)
It has millisecond granularity (again, as opposed to Bitfinex) (FMZ.COM)
It says whether an order has been matched or cancelled -one could argue that disappearing orders far from the bid/ask spread must have been cancelled (and it's true), but for orders inside the spread, this information is necessary.
While data has been captured for several days (at the time of this post I'm still capturing data), for the following analysis only data from July 21, 2017 has been taken. Mind you, there are still over 2 Million datapoints. (FMZ.COM)
Since the GDAX feed does not explicitly keep information of the current best bid/ask, a little preprocessing is needed. The best bid is the highest price for currently open BUY orders, while the best ask is the lowest price for open SELL orders. Although this calculation is not complicated nor particularly slow, it's better to explicitly append the current best bid/ask as additional columns. No further preprocessing has been carried out.
Related work
While writing this article, I came across a blog post from Philip Stubbings at Parasec [4], who made a similar analysis in 2014. While the amount of data differs by orders of magnitude, the findings are the same, especially concerning flashing orders. Quoting from his site:
I collected order book event data from the Bitstamp exchange over a 4 month period, between July and October (2014), resulting in a dataset of ~33 million individual events; A minuscule dataset in comparison to the throughput on "conventional" exchanges, see (Nanex: High Frequency Quote Spam) for example. (FMZ.COM)
While the event dataset consists of ~33 million events, these events can be broken down into individual orders and their types. In total, of the identifiable order types, there were 14,619,019 individual "flashed orders" (orders added and later deleted without being hit) representing 93% of all order book activity, 707,113 "resting orders" (orders added and not deleted unless hit) and 455,825 "marketable orders" (orders that crossed the book resulting in 1 or more reported trades).
As we'll soon see in this report, I recorded 2,169,450 events in less than one day. That means, the number of events per unit of time is 8 times bigger than in 2014. Flash orders are still a majority, representing over 99% of all order book activity.

www.fmz.com

www.fmz.com

www.fmz.com
HTF Strategies (FMZ.COM)
The Bocconi Students Investment Club (BSIC) [5] describes some strategies which the HFT traders use to distort the perception of the market. For this post I'll focus on Spoofing, Layering and Momentum Ignition.
Spoofing & Layering
Quoting from BSIC [5]:
Spoofing is a strategy whereby one places limit orders, and removes them before they are executed. By spoofing limit orders, perpetrators hope to distort other trader’s perceptions of market demand and supply. As an example, a large bid limit order could be placed with the intention of being canceled before it is executed. The spoofer would then seek to benefit from prices rising as the result of false optimism others would see in the market structure.
Detection
There is evidence of high frequency spoofing on July 21, 2017 between 09:45:52 and 09:45:56. Let's take a look at the order book. Red points are SELL orders (3 BTC @ $2741.99), vertical grey lines are cancellations and the blue and green lines are bid and ask price, respectively. (FMZ.COM)
www.fmz.com
One interesting thing is that neither the bid or ask price moves.
Also from [5]:
More controversial has been the act of layering which carries many similarities to outright spoofing, but differs in that orders are placed evenly across prices with the goal of reserving an early execution priority at each given price level. If the person has no trade to execute at that price point the orders are simply removed. Despite being more benign in nature, the act of layering also distorts market demand and supply perception. (FMZ.COM)
It seems to be evidence of layering. Let's take a closer look at the minute between July 21, 2017 between 09:41:00 and 9:42:00. Orders seem to push the ASK level downwards, eventually decreasing the BID price. Next, BUY orders are placed at this lowered level, to be sold when the BID price recovers.
www.fmz.com
Momentum ignition
Still quoting [5]
Momentum ignition is a strategy in which a trader aims to cause a sharp movement in the price of a stock by using a series of trades, which indicate patterns for high frequency traders, with the motive of attracting other algorithm traders to also trade that stock. The instigator of the whole process knows that after the somewhat “artificially created” rapid price movement, the price reverts to normal and thus the trader profits by taking a position early on and eventually trading out before it fizzles out. (FMZ.COM)
To detect momentum ignition, it is important to focus on the following three main characteristics as shown in the chart below:
Stable prices and a spike in volume
A large price movement compared to the intraday volatility
Reversion to the starting price under a lower volume
The following picture from zerohedge and Credit Suisse AES Analysis illustrates this behavior. (FMZ.COM)
www.fmz.com
Conclusion (FMZ.COM)
According to an interview carried out by The Atlantic [6] to Michael Kearns of the University of Pennsylvania and Andrew Lo at MIT, this behaviour also happens in traditional trading, and its causes are still matter of dispute. Relevant extract:
[...] why would a firm engage in this behavior? Lo and Kearns offered a few theories of their own about what could be happening.
To be honest, we can't come up with a good reason," Kearns said. What's particularly difficult to explain is how diverse and prevalent the patterns are. If algorithmic traders are simply testing new bots out -- which isn't a bad explanation -- it doesn't seem plausible that they'd do it so often. Alternatively, one could imagine the patterns are generated by some set of systemic information processing mistakes, but then it might be difficult to explain the variety of the patterns.
"It's possible that the observed patterns are not malicious, in error, or for testing, but for information-gathering," Kearns observed. "One could easily imagine a HFT shop wanting to regularly examine (e.g.) the latency they experienced from the different exchanges under different conditions, including conditions involving high order volume, rapid changes in prices and volumes, etc. And one might want such information not just when getting started, but on a regular basis, since latency and other exchange properties might well be expected to change over time, exhibit seasonality of various kind, etc. The super-HFT groups might even make co-location decisions based on such benchmarks." (FMZ.COM)
References
[1]https://en.wikipedia.org/wiki/Bitfinex
[2] https://www.gdax.com/
[3] Source: https://coinmarketcap.com
[4] http://parasec.net/blog/order-book-visualisation/
[5] http://www.bsic.it/marketmanipulation/
[6] https://www.theatlantic.com/technology/archive/2010/08/explaining-bizarre-robot-stock-trader-behavio61028/
[7] https://docs.gdax.com/
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Is High Frequency Trading Stabilising ? How to Setup a Bitsgap High Frequency Automated Bitcoin Crypto Algo Trading Bot. High Frequency Trading and its Impact on Markets Live Bitcoin Trading - HIGH FREQUENCY SCALPING High Frequency Bitcoin Trading. DeriBot - The Fastest Crypto Trading Bot. Bot Can trade ETH and BTC.

High-frequency trading. High-frequency trading (or HFT) takes the reins of trade-making out of people’s hands and hands them over to powerful computers. These use advanced algorithms to High-Frequency Trading for Bitcoins. Also director primacy, mutual-fund antitrust and private secondary markets. will make Coinbase one of the first bitcoin exchanges to welcome the One possible explanation for Bitcoin’s consolidation may be an increased presence of high-frequency trading (HFT) firms in crypto in recent months. Speaking to Cointelegraph, Paolo Ardoino, CTO of Bitfinex explained that he believes HFT is a major reason behind Bitcoin’s low volatility. While high-frequency trading may not be for everyone, it can definitely offer new techniques that tech-savvy and adventurous traders may enjoy. It’s true that knowing and keeping up to date with regulations will be essential as the cryptocurrency space evolves. However, it is highly unlikely that HFT as a whole is going away anytime soon. High-frequency trading (HFT), a longtime and controversial practice in traditional markets, is becoming commonplace in crypto, too. Placing trading servers physically close to exchanges

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Is High Frequency Trading Stabilising ?

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