Alex Kachanov (kachanov) wrote,
Alex Kachanov
kachanov

выдержка из дурацкой книжонки SCOTT PATTERSON "Dark pools : high-speed traders, AI bandits, and the threat to the global financial system"

он приводит пример как наглые HFT-трейдеры навариваются на бедном несчастном инвесторе:
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Say your mutual fund manager wanted to buy fifty thousand shares of ExxonMobil. Of course, he wouldn’t simply put in an order to buy fifty thousand shares at once. The Bots would eat him alive. He’d carve it up into slices of one thousand shares a piece, or even
less. He hits the button. The first onethousand-share buy order flies into an exchange. Exxon just happens to be trading for $75.20.

But the order isn’t executed. It sits there, floundering as sellers suddenly start running away. The Bots—some using the 0+ scalping strategy or a variant of it—have jumped in front of the fund manager’s order, angling to buy ahead of him. The buy orders seemingly
materialize out of nowhere. They were hidden.

Suddenly, two hundred shares of the fund manager’s order are filled for $75.22. But the rest of the order, eight hundred shares, is still in limbo. The fund manager pounds his desk. What’s going on! Exxon ticks up to $75.22, then $75.24, where he gets another two
hundred shares, leaving six hundred unfilled. Exxon hits $75.25, then $75.26.
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я что то не понимаю, почему ордер на покупку $75.20 получил fills на $75.22? С какой такой стати?
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