在一秒前市获悉场交易的消息，是什么交易呢？

来源: marketreflections 于 2010-08-18 14:04:18 [] [博客] [旧帖] [给我悄悄话] 阅读数 : (1286 bytes)

stock would have already topped in HFT (70% of all volumes US, 30-40% of europe) before non-HFT knows it, ctrp early AM top 08182010, and already bottomed before non-HFT knows it


A trader does not risk to a level, he risks to whatever price he receives upon exit when the level breaks. As high frequency traders are typically first to the trade in the downdraft when a support level breaks, the price to exit is often much further away than anticipated. By the time he has hit the bid, the manual trader has lost far more than his pre-determined stop.

两天前看了思托沃特（Jon Stewart）的晚间秀 – Dailyshow, 有一个小品讲的是高频率交易，非常好笑，和大家分享：


http://www.thedailyshow.com/watch/wed-september-30-2009/cash-cow---high-frequency-trading

小品后，思托沃特打趣道：如果有人在一天前获悉市场交易的消息，是“内幕交易”的话，那在一秒前市获悉场交易的消息，是什么交易呢？

由此联想到玛莎·思托沃特 （Martha Stewart）当年因为在ImClone 的股票下跌前一天，卖出了仅区区3,928股的ImClone 股票，而被SEC 起诉“内幕交易”，最后入狱半年加罚款。真不知道她会对今天的股市，特别是“高频率交易”怎么想。

股市自昨天开始调整，今天传来失业率上升的消息，但是如果你是高频率交易者，你还需要市场消息吗？



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