A point about HFT that [Fred] is not quite grasping is stock vs. futures. I'll explain it this way. Let's say the CME allowed HFT to use penny quotes and made the rest of us use 1/4 point spreads for the SNP futures. Then let the HFT quote stuff a million prices and quotes within those quarter points as you're trying to route your orders to the CME. ( You think it's just the current bid and ask prices, no, they stuff the entire book all the way up 5 points of 50 cents in a stock).

Let's say you are buying a 100 mini lot on scale 1211.25 down to 1110, it gets to your 1st 25 lot but you are not filled and you say to hell with it, I'll take the 100 down here. The price is now offered at 1112 and normally you can simply take a 1112 offer or at the market get filled 1112.25.

But if your quotes are stuffed and we rally (so you were correct in cancelling and taking them down) your order to buy is so far back in the QUEUE of traffic it doesn't show up on the CME for a few seconds, and you're not filled and if you're using a market order let's say you're now filled (on stocks) 1116 or call it about 1/3rd of a % higher.

Now you'll say, well I was wrong originally and scale should have been… to 1111.5.. or if you don't get it forget it and never use market orders.

Okay now you can see my point [concerning] my 2010 trades when my no fill column in the spread-sheet was huge, or it was obvious that using a market order for as little as 500 shares was as usual an awful thing to use.

On other hand it's just trading. When you get [filled on] your full line you don't want them and when you get a partial fill you know you should be all in.


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