this person is awesome, he is a pool of knowledge of market microstructure. thanks a lot chat with traders, really appreciate your efforts to educate retail traders about financial markets and trading. keep up the great work.
Arnav Sharma did you evem listen to the show...he was a programmer hacking a competitive advantage that lost millions of others peoples money...then told on everyone else.
+Ivan Rogachyov - I appreciate the kind words, Ivan. If you liked this interview with Haim, you might also like the interview I did with Eric Hunsader from Nanex: chatwithtraders.com/ep-071-eric-hunsader/
22 minute mark very important. Arbitrage really is only achievable if you can effectively execute a strategy consistently. Backtesting and execution are two entirely different things and oftentimes strategies that work in a backtest cannot execute consistently in real practice. I’ve found that it can be difficult to guarantee a fill without significant slippage on strategies that work solidly and simply in a backtest. Will continue to try and achieve this, but nevertheless been addicted to this series of talks with the guys from the Wall Street code doc.
What do you mean exactly with slippage on strategies? Do indicators change their position in the candles afterwards or is there like price slippages? Some people say it is better to trade futures also since its more solid.
@@Unkletravellingmac The actual market never only has 1 price as most data banks, especially for candlestick or bar data, seem to sell you. There is always a bid x ask spread and even if you are trading 'tight' markets your fills are never exactly where you need them. As most non-thorough backtests tend to overlook. A strategy that wants to execute on the close of a time bar every minute on the minute relies on getting as close to that close price as possible. But if everyone wants that close price to the long or short side, the market will only allow the fastest person to get that, then it will tick higher or lower. This is slippage. The difference between where your backtest IMAGINES you GOT filled and where you actually do. Even if you account for bid x ask spread, real execution of a strategy on the open market will be different. Not to mention the fact that every algorithmic trader hates, "past performance is not indicative of future success." You could do all of this correct, but if you turned on a long only strategy that worked well from 2009 to 2021. Your first year, if not using proper bet sizing to be in it for the long haul, more than likely would have wiped you out. Algorithmic trading is not the holy grail, there is no holy grail. You really do have to get lucky, and contrary to what mainstream media tells you, timing is in fact everything. Don't kid yourself. There still are emotions in algorithmic systems.
I agree with Haim except that most of these firms (market makers, exchange, experts, etc) KNOW they are breaking the law...not bending the rules. We refer to these guys as the smartest in the world...there's a reason...they know how to break laws while making it look 'accidental' .
Aaron, another brilliant podcast from you! I have one burning question I hope you or Haim could answer; for US equities, the volume that appear on our data feed, how much more went undetected because of market maker absorption (CFD)? If possible, I would love to know the rough ratio just to gauge the size of the market. Thanks in advance!
It's just sad, I can understand the intellectual challenge, but in the end it's negative for society. People like this Bodek whose brain could be working on climate change, caner, all those important things but instead is contributing to an industry that makes money from essentially contributing zero benefit to society.
Ep 49 Haim Even if your system works now you could be taken by surprise when the market rules have changed. Stay woke bro. HFT isn't too bad for us retail traders it's worse for market makers or other such firms.. If you wanna prove someone else is cheating you better prepare and work double what they're doing to make sure your accusations stick.
+TokyoTransit - Haim didn't criticise the documentary, he just mentioned the part about "guaranteed profit" was kinda lost in translation. It's a really good documentary!
No, documentary was of low quality: sensational, shallow, in teh style of conspiracy theories and not revealing anything at all. So still the question remains: how exactly Hide not slide was interacting with Haim's limit order? Same question I had after reading Scott Patterson's Dark Pools, so please do not recommend me to read it again.
So what he said at 32:00 his blaming reflects the novice approach; that belief thinking 'what works today will always work.' He didnt keep up with the Exchange and the protocols it was running...that was his bread and butter. His bitching that they channed code which is exactly what he does, is a wolf in his own trap crying.
Thier? Holi sheet, also Bodek, you said a whole lot of nothing in this interview. Explain to me how you are the victim and the hero of this story, all at the same time without sounding like a complete psychopath.
this person is awesome, he is a pool of knowledge of market microstructure. thanks a lot chat with traders, really appreciate your efforts to educate retail traders about financial markets and trading. keep up the great work.
+Arnav Sharma you're most welcome Arnav. I was stoked Haim agreed to an interview, I learned a lot from him.
Arnav Sharma did you evem listen to the show...he was a programmer hacking a competitive advantage that lost millions of others peoples money...then told on everyone else.
SCD wcwd cscscwdxdxdxqsc
Thanks, Aaron, I am almost finishing all parts of your podcast.
its now 2021 & dark pools abuse has grown to 45-90% of total vol. the absolute destruction of the LIT mrkt.
It’s disgusting that the US govt does absolutely nothing about it
MOASS will fix that - don’t worry
This is a remarkable channel, thank you so much for getting Haim on here and giving people access to this pool of knowledge.
+Ivan Rogachyov - I appreciate the kind words, Ivan. If you liked this interview with Haim, you might also like the interview I did with Eric Hunsader from Nanex: chatwithtraders.com/ep-071-eric-hunsader/
Chat With Traders love eric hunsader
Why do these have so few of views did the SEC bury it in some algorithm???
Thanks for bringing back democracy on the Wall Street and millions of retailers on your side .
22 minute mark very important. Arbitrage really is only achievable if you can effectively execute a strategy consistently. Backtesting and execution are two entirely different things and oftentimes strategies that work in a backtest cannot execute consistently in real practice. I’ve found that it can be difficult to guarantee a fill without significant slippage on strategies that work solidly and simply in a backtest. Will continue to try and achieve this, but nevertheless been addicted to this series of talks with the guys from the Wall Street code doc.
What do you mean exactly with slippage on strategies? Do indicators change their position in the candles afterwards or is there like price slippages? Some people say it is better to trade futures also since its more solid.
@@Unkletravellingmac The actual market never only has 1 price as most data banks, especially for candlestick or bar data, seem to sell you. There is always a bid x ask spread and even if you are trading 'tight' markets your fills are never exactly where you need them. As most non-thorough backtests tend to overlook. A strategy that wants to execute on the close of a time bar every minute on the minute relies on getting as close to that close price as possible. But if everyone wants that close price to the long or short side, the market will only allow the fastest person to get that, then it will tick higher or lower. This is slippage. The difference between where your backtest IMAGINES you GOT filled and where you actually do. Even if you account for bid x ask spread, real execution of a strategy on the open market will be different. Not to mention the fact that every algorithmic trader hates, "past performance is not indicative of future success." You could do all of this correct, but if you turned on a long only strategy that worked well from 2009 to 2021. Your first year, if not using proper bet sizing to be in it for the long haul, more than likely would have wiped you out. Algorithmic trading is not the holy grail, there is no holy grail. You really do have to get lucky, and contrary to what mainstream media tells you, timing is in fact everything. Don't kid yourself. There still are emotions in algorithmic systems.
What will be the effects of the block chain?
You must have a stomach made of concrete for this game.
shoulda added his links in your description for the video smart guy
I agree with Haim except that most of these firms (market makers, exchange, experts, etc) KNOW they are breaking the law...not bending the rules. We refer to these guys as the smartest in the world...there's a reason...they know how to break laws while making it look 'accidental' .
hi can u interview david lauer? thx
+Mr International, he would be great, let me see what I can do...
1 tick move, divides the winners and losses
- Haim Bodek
dark pool of knowledge :)
im a retail trader, I always use market orders
who created the cheating system? Was this a joint effort that needed to be constructed between the exchanges and hedge funds?
I think the mega brokers.. whoever coded the secret order routing codes.
Very relevant todate
50:03 what did he say? "six a six" reports?
606 reports my friend.
@@90deltaderivatives35 Thank you
Aaron, another brilliant podcast from you! I have one burning question I hope you or Haim could answer; for US equities, the volume that appear on our data feed, how much more went undetected because of market maker absorption (CFD)? If possible, I would love to know the rough ratio just to gauge the size of the market. Thanks in advance!
For someone whose new to trading, how should one utilize this information?
why couldn't Haim just pause the trading until he figured out why the firm was losing money?
Legendssss!
Trisha Lee hi what state are you from?
i know, the only guy he hasnt interviewed is Fischer Black
It's just sad, I can understand the intellectual challenge, but in the end it's negative for society. People like this Bodek whose brain could be working on climate change, caner, all those important things but instead is contributing to an industry that makes money from essentially contributing zero benefit to society.
Ep 49
Haim
Even if your system works now you could be taken by surprise when the market rules have changed. Stay woke bro.
HFT isn't too bad for us retail traders it's worse for market makers or other such firms..
If you wanna prove someone else is cheating you better prepare and work double what they're doing to make sure your accusations stick.
so how exactly Hide not slide was interacting with Haim's limit order?
+TokyoTransit - I'd suggest watching this documentary, The Wall Street Code, for more context: ruclips.net/video/kFQJNeQDDHA/видео.html
this documentary is critisized by Haim Bodek in your own interview
+TokyoTransit - Haim didn't criticise the documentary, he just mentioned the part about "guaranteed profit" was kinda lost in translation. It's a really good documentary!
No, documentary was of low quality: sensational, shallow, in teh style of conspiracy theories and not revealing anything at all. So still the question remains: how exactly Hide not slide was interacting with Haim's limit order?
Same question I had after reading Scott Patterson's Dark Pools, so please do not recommend me to read it again.
+TokyoTransit - in that case, you're best to ask Haim directly: haimbodek.com/contact.html
So what he said at 32:00 his blaming reflects the novice approach; that belief thinking 'what works today will always work.' He didnt keep up with the Exchange and the protocols it was running...that was his bread and butter. His bitching that they channed code which is exactly what he does, is a wolf in his own trap crying.
Thier? Holi sheet, also Bodek, you said a whole lot of nothing in this interview. Explain to me how you are the victim and the hero of this story, all at the same time without sounding like a complete psychopath.
He’s victim of other HFT not playing on a regulatory field but violate law as well as abusing other market participants to make money