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HFT Accounts For 76% Of All Orders In Europe
By now everyone knows that when it comes to the US stock market, only two things matter: i) will the NY Fed's Kevin Henry, ETF wizard extraordinaire, in conjunction with Citadel buy SPY 2% above the NBBO in the last second of trading using his favorite SPY and ii) how much momentum will the USDJPY ignite in cross-asset HFT algos sending the S&P to daily all time highs. In other words, in the new normal the only thing that matters for US "risk" is the symbiosis between the central bank and the HFT industry, which now dominates virtually all markets with an iron fist.
But what about Europe: just how prevalent is HFT there. Now thanks to a new report by ESMA titled "High-frequency trading activity in EU equity markets" we know: in the lifetime total of all orders, HFT accounts for 76% of all orders by, 49% of all trades and 43% of total value traded.
We provide estimations for HFT activity based on the primary business of firms (direct approach) and based on the lifetime of orders (indirect approach). The first proxy is an institution-based measure (each institution is either HFT or not), while the second proxy is a stock-based measure (an institution may be HFT for one stock but not for another one).
The results based on the primary business of firms provide a lower bound for HFT activity, as they do not capture HFT activity by investment banks, whereas the results based on the lifetime of orders are likely to be an upper bound for HFT activity.
In our sample, we observe that HFT activity account s for 24% of value traded for the HFT flag approach and 43% for the lifetime of orders approach. For the number of trades the corresponding numbers for HFT activity are 30% and 49%, and for the number of orders 58% and 76%. The difference in the results is mainly explained by HFT activity of investment banks which is captured under a lifetime of orders approach, but not under a HFT flag approach.
Which means that just like in the US, HFT will never be dethroned in Europe where the "value" of stocks is almost entirely in the hands of one Mario Draghi and a few million HFT algos.
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Unrigged..
And why would you need Banksters and Bonuses when Algo's, programmed by a few Math PhD's can do it all? And actually, the Banksters need to think about that quite soon?
But we need moar LIQUIDITY!
Without liquidity, we would only have valid trades, and where would that get us?
Price discovery?
Just wondering. If no CB person gave a speech and no Econ reports for a whole week would the markets go into hibernation? Have the machines become self aware?
HAL!!!!!!!!!!!!!!!!!!!!
I am actually surprised it's not at 110% yet.
Ha! Beat me to it! +1000!
76% of orders yet only 49% of trades, meaning that approx 27% is illegal activity
Huh? Since when is it illegal to place an order without getting a fill?
Moar proof efficient liquid markets need ... no, demand ! .... the machines. Human traderz are soooo 20th century .
I wonder if Kevin Henry googles himself LOL? He must be a cult hero at the Fed with all these ZH articles, which means you know damn well all those NY Fed employees read ZH now too. Keep exposing the pathetic fuckers, and if you are reading this NY Fed. GO FUCK YOURSELVES, your day in the sunshine is coming soon!
Kevin Henry has the perfect job. His only role is to do the bidding of The Fed. No fears about winning or losing money. You lose, we print. What a joke it has all become...
Yellen and Dudley know the Algos key on their statments and how to ramp markets.
One big game of rampathons.
How long before skynet decides that carbon based life forms are no longer needed?
That also means that on days where the vix was at 11 that almost no human was trading AT ALL
And secondly, it's the governments who sold microwave transmission installations to those HFT trading firms so it's all a centrally planned rigged game wherever you look.
can we guess they pay no taxes on the profits Funny that.
People who insist this game is a sound and fair way to grow and maintain a prosperous economic system are fucking delusional at best. If you really want to know what its like to invest in this type of market do this: Go to your bank, withdraw all your savings in cash, and make a pile on the floor with the cash. Now, shit on the cash, then pour gasoline on the shit fouled pile and light it on fire. There, you just got a crash course in investing in modern equities markets.
You cheating bastards. Can you say that to an algo?
OK, can we officially label the markets a complete fucking joke now?
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I'd like to see a number of what would constitute the numbers of just the Joe Average guy?
<1%?
•?•
V-V
76%? Yeah, but you must consider, a lot of these HFT guys are already gone for the holidays.