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> We believe the move to decimalization changed the demands on our CPUs
with
> respect to data collection although we can not prove it. Has anyone else
> experienced similar problems?
>
you bet. things changed since the decimalization in equities, esp in Naz.
short term price volatility increased and noise level went up considerably.
spreads are now negative many times especially ecn spreads.
there is pretty good arbitrage opportunities now but only for MMs.
*actually for mms it became a lot easier to whip daytraders by artificial
momentum creation. the daytrading edge actually went down even more.
you can hardly see depth anymore and short supply and demand is becoming
very one sided. if before you could deal with 1/16 spread now you are
forced to go outside of the market as much as 10-30 cents. basically
slippage
now doubled :-)
the mm's have even better advantage now against the daytraders.
takes a lot less size now to shake the tree...and works faster.
markets thinned out in terms of short term trading.
i consider it yet another blow to the daytraders.
if you looked at csco today after the 3pm major sell, even on a 20 dollar
tabletop the supply demand was so one sided the stock tanked very fast.
what happens it that bid side (demand ) evaporates down up to 10-40
cents.
you get a pile up on the offer with hundreds of thousands offered and
and no one on the bid to support the shit...
and remember that it used to be that csco would have some
good depth support on both sides... now forget about it.
so in terms of program trading for mms it's several times easier to run the
stock.
means it's easier to create panic, easier to manipulate... better for them
overall.
this can only be taken care of if someone proposes a 5 cent price scale
like
in futures ) which is forget about it.
and on top of that chicago boys are kicking in individual futures on stocks
which will be even easier to run and manipulate stocks... more
commissions, more variables to consider, more clusterf...ck and more
volatility...more noise, with less directional movement.
in terms of cpu load, more volatility will create more ticks and add to cpu
load.
in terms of systematic trading, slippage will go up and cost low commissions
will
be offset by high slippage, noise levels will increase on low resolutions
time frames...
overall worse not better...
all that unless they invoke the min tick increment of say 5 cents.
then it will stabilize. but the chances of that is next to nothing.
if it's better for the market makers the chances are it will stay that way.
bilo.
ps. i'd say short term stock daytrading business is kaput... or
you have to have the machine do it for you.
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