摘要： Given the commodification and decline of high frequency trading, I was a bit surprised to see that Michael Lewis wrote a book on the topic. Not only that, but based on the reviews (I haven't read the actual book), it sounds like a scary "tell-all" book revealing how HFT rips off "the little guy".
Given the commodification and decline of high frequency trading, I was a bit surprised to see that Michael Lewis wrote a book on the topic. Not only that, but based on the reviews (I haven't read the actual book), it sounds like a scary "tell-all" book revealing how HFT rips off "the little guy".
How to avoid paying the HFT
It's very simple: the HFT is selling liquidity - don't buy it. This can be accomplished in a number of ways. The simplest is merely not crossing the spread. If the Bid/Ask spreadis $50.80/50.90, you can simply refuse to pay $50.90 for shares. You place a limit order for 100 shares @ $50.80 - then whenever someone comes along and is willing to sell for $50.80, they will first sell to the HFT (who's order is already out there) and then sell to you. Alternately, if you want to be the first to trade, you can place an order to buy 100 shares @ $50.81. In addition, you'll even collect a rebate for adding liquidity
But what if the market moves?
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Full Text： chrisstucchio.com
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