ICE Takes Further Steps To Protect Itself From "Parasitic" HFT Algorithms

Tyler Durden's picture

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Cognitive Dissonance's picture

They won't rest until the entire economic system is in pieces on the shadow (co-located) exchange sever farm floor(s).

Cdad's picture

They won't rest until the entire economic system is in pieces on the shadow (co-located) exchange sever farm floor(s). the room next to where Duncan Niederauer takes his afternoon constitutional...when he has a break from IPOing Chinese fraud companies, or selling the floor of the NYSE to the Germans.

Smells like a crocodile algo day to me.

Duuude's picture




None of the three clearinghouses would divulge the members of their risk committees when asked by a reporter. But two people with direct knowledge of ICE’s committee said the bank members are: Thomas J. Benison of JPMorgan Chase & Company; James J. Hill of Morgan Stanley; Athanassios Diplas of Deutsche Bank; Paul Hamill of UBS; Paul Mitrokostas of Barclays; Andy Hubbard of Credit Suisse; Oliver Frankel of Goldman Sachs; Ali Balali of Bank of America; and Biswarup Chatterjee of Citigroup.

Through representatives, these bankers declined to discuss the committee or the derivatives market. Some of the spokesmen noted that the bankers have expertise that helps the clearinghouse.

Many of these same people hold influential positions at other clearinghouses, or on committees at the powerful International Swaps and Derivatives Association, which helps govern the market.

Critics have called these banks the “derivatives dealers club,” and they warn that the club is unlikely to give up ground easily.



idea_hamster's picture

All they have to do in enforce the trades. 

Enforcing the rules rather than ignoring them is how the exchanges should protect themselves.

oogs66's picture

yes, and stop with the sub penny trading.  make everything a penny which is good enough for most people and HFT struggles when they have to compete on an even playing field.

firstdivision's picture

A week after the cocoa market saw its most volatile day on record in early March, ICE announced it was expanding the range in which trades cannot be canceled for cocoa and cotton futures.

This is a step in the right direction equity markets should adopt.

Going Loco's picture

Why not ban HFT? Do what Denninger suggested and impose a rule that all orders must stand for long enough to become an actual trade if there is someone, human or algo, to take the other side? If the berserk algos pull prices out of line with what human traders think is right then the humans will step back in and take the other side of the trade and (probably) bust the owners of the algos. The problem is not really the algos. Lots of traders use systems. I use a system for some of my trades which is working just fine even in today's manipulated market. All trading systems which are based on rules and logic can be expressed algorithmically. The problem is not really the algos. The problem is HFT.

Jambo Mambo Bill's picture

This will never be fixed, as the giant squid needs it to control the market...

And Gold still going down...

oogs66's picture

the only way to protect itself from parasites in this market would be to close

buzzsaw99's picture

if ice friend loses on trade = busted trade

anyone else = tough tittie

Mercury's picture

 ICE will be able to adjust trades made in coffee "C", cotton No. 2, cocoa, frozen concentrated orange juice and sugar No. 16 futures contracts. It will do this if "the exchange determines the original price of the trade does not represent the market value of the specific futures or options contract at the time of the trade,"

There has to be a more elegant solution than just changing prices.  How about making HFT less HF?

mickeyman's picture

How does everybody get junked?

Going Loco's picture

There was a robojunker on the thread. It left at 09:28 and went off to trawl Mish's blog. BTW a junk or two on ZH is a badge of honour.

Interesting bit of Tyler Durden psychology - you can junk a comment on his board  but there is no way to vote FOR a comment. However you can only vote FOR a post, not against it. The worst you can do to a Tyler Durden post is give it one star. I couldn't care less about this, but there are times when I would like to junk a TD post. Other times I vote 5 stars. 

Going Loco's picture

I decided my previous post deserved a badge of honour. Of course this thread is now dead, so nobody will ever see it. 

NotApplicable's picture

HFT bots vs. anti-HFT bots. So, will the new bots restore order, or will the humans be run out altogether?

Jambo Mambo Bill's picture

I think soon enough they gona have a retailer HFT version. "To improve your trading abilities!" Just get Super HFxT! Aprooved by the Federal Reserve".

lineskis's picture

So instead of having a 19 years old ph.D fixing the price with a rogue algo, we'll have the exchange fixing the price. It does not look like a free price discovery... Pick your poison...

How about forcing everyone to hold on to an order for at least 1 sec (Yeah I know it's roughly a billion of nanosec...)? No more HFT front running, no more flash crash, yeah, a silly world it would be...

Siniverisyys's picture

HFT software is parasitic but regular traders are not?  Haha.