市场的k线图是符合“分形”的 一根年k线放大看，就是几百根的日线，一根日线放大看就是几个小时的时k线，一根小时k线放大就是3600根的秒线。高盛他们无非就是把秒线又分成了几百根，来赚取小微差罢了。 0.03秒对于个人是什么概念，测试一下自己反应速度就知道了。 刘翔起跑速度是0.1秒多，正常人也就是0.2秒，0.2跟0.25就能相差0.05秒呢 另外，高频交易在一秒内高抛低吸，的确也会缩小价格差，而不是使每秒的价格都是极端。
我说话直，请见谅。关键问题是不要把一个东西你自己不太搞清楚是怎么回事的就先扣一顶非常大的帽子，定性来批判。 高频交易到底是怎么回事。flash order到底如何，其实大家讨论就好了，市场中存在的现象都有两面性。
flash order到底如何，其实大家讨论就好了，市场中存在的现象都有两面性。 ======== 是哦，跑得快不见得赚的快，早出手的话假突破都被他撞到了。止损或者被迫追回仓位也是难免的。 其实做过交易的话就知道了，尤其是机械交易，为啥要等待收盘价确定后再执行已经无需再多说了。 个人投资者用5分钟线或者1分钟线或者15秒线当作时间周期来做日内，机构那种无非就是把时间周期缩小的更短更短了。
呵呵, 就事论事, 最后就变成了对人的议论, 好在我在Wilmott和ET呆久了, 还没有遇到评论起人来的. ======== 你觉得你对别人的评价很客观而别人对你的评价不客观。 当然，人都有高估自己的习惯罢了。
我的观点代表了相当一部分人, 你的观点可能也代表了相当一部分人, SEC会做决断. 但是不要把矛头对准人, 而是要对准观点, 我可以也有权利认为高盛的做法对投资者造成了损害, 这是我的观点, 我并没有扣帽子, 也没有什么批判, 只是我的观点而已. 所谓扣帽子/批判是因为你的观点和我不同产生的心理感觉.
那你也应该找在这方面更权威的报道，报道财经类下面这两家要权威的多。 http://online.wsj.com/article/SB124908601669298293.html http://www.bloomberg.com/apps/news?pid=20601087&sid=aZwoslIGa5JQ 注意第二个： “ Goldman Sachs Group Inc., the second-largest market maker pairing off buyers and sellers at the NYSE, doesn’t use flash- order systems, spokesman Ed Canaday said in an e-mail. ” 我对高盛没有好感，对大投行都没有好感。当然你也可以认为他们撒谎，我也没什么好继续聊的，
有关这个题目的内容，大家讨论的挺激烈的。 我把有关内容转给对高频交易经验丰富的老A看，老A也加入了他的一些看法，我也转过来: *************** 老A 20:49:07 论坛上关于高频系统的问题沸沸扬扬 老A 20:50:53 事物与她本身的是否公平要分开来说 老A 20:51:27 他们主要是因为根本不知道什么叫高频交易系统 老A 20:51:40 只知道发出的单子很快 gzpony闭关 20:52:32 就像你和别人打球，别人比你壮，跑得比你快，你就说这不公平 老A 20:52:37 就像牙齿不好的人与好的人一起吃饭，说牙齿好的人不公平 gzpony闭关 20:52:47 哈哈 gzpony闭关 20:53:22 当然，从非常狭义，非常片面的看，是有不公平 的地方。就是你先天就不如人家 老A 20:53:54 旅游团大概要上法庭了，呵呵，因为是他们把牙齿好与不好的人安排在一桌的 老A 20:54:40 如果说这样的情况不公平，那世界上就没有公平的事情了 gzpony闭关 20:55:08 但是，普通人就要追求这个 老A 20:55:36 什么都一样，除了你脑子不太好，难道就要说人家不公平？ 老A 20:56:04 这个市场就是比运气比脑子的呀，你忘记啦？ 老A 20:58:17 他们非要所有的人都座上了头等舱才会去买船票 老A 21:01:03 还有，我们中国大概是犯法了，因为许多人至今还没有实现电脑交易 老A 21:01:09 电脑看盘 老A 21:01:52 真不公平啊～～～，我看盘要去营业部，你用电脑 老A 21:06:44 频率的高低仅仅是系统的结果，不是目标，他们好像不知道这点 老A 21:07:09 交易要科技进步
SEC plans to ban flash trading - will dark pools be next? 动作真的很快, 比想象的还要快. 看来SEC也不懂什么叫高频交易系统. 我都怀疑HFT的trader和programmer还有他们的boss要不要找Obama去论理. 再注意观察09/01以后, NYSE和其他交易所的PT volume的变化情况, 拭目以待. halk this one up to the power of the blogosphere. Sen. Charles Schumer of New York stated today that he had received a personal guarantee from Mary Schapiro, head of the Securities and Exchange Commission, that a ban on "flash trading" was in the offing, according to Bloomberg News. The practice had allowed stock exchanges and specialized trading shops to sell advanced-notice of stock orders, providing customers with an extra split-second to trade before pending stock orders. Critics charge that flash trading allowed sophisticated Wall Street players -- Goldman Sachs (GS), Credit Suisse (CS) -- to pocket billions of risk-free profits through computer algorithms that probe flash orders to determine actual prices that buyers and sellers are willing to pay, and then instantly pushing the actual market price to those levels. A number of leading financial blogs, including ZeroHedge, had been agitating for an end to the practice since early this year. The next logical step for the SEC would be to shut down "dark pools": large groups of stocks connected to "crossing networks" that let traders move very large amounts of shares without announcing the transactions on the open market. The dark-pool operators sometimes break up the large orders into numerous smaller orders that can trade on the open market without causing as much disruption. (If a large hedge begins unloading a significant stake in a company, shares of that company might plunge if the broad market noticed the transaction, and sentiment rapidly swung against the company.) However, dark pool operators get an advanced preview of the intentions of larger institutional investors. And these pools' opacity make it impossible for their customers to know who they're trading against, and whether those parties are using the order size information to profit on their own. ZeroHedge reports that the largest dark pool, Sigma X, is operated by Goldman Sachs, which maintains enormous proprietary trading operations. That's a clear conflict of interest. In its dark pools, Goldman supposedly provides neutral, customer-friendly execution. In its proprietary trading operations, Goldman attempts to gather and benefit from as much market information as possible and grab profits by outsmarting the very customers who are entering into dark pools. A big conflict. To be fair, Morgan Stanley (MS) and Credit Suisse operate dark pools as well, and so do other major Wall Street firms. But Goldman's Sigma X is the biggest player in this market. The media and blogosphere's recent illumination of the subject prompted Sen. Edward Kaufman of Delaware to request last week that dark pools be banned, and that full market transparency be restored. If the dark days of dark pools are numbered, good riddance. But if Goldman and other Wall Street titans made the vast majority of their profit last quarter in trading, how much came from trading against customers using high-frequency trading, flash orders, and dark pools? It's hard to tell, but it's possible the big banks could see a huge profit squeeze, as transparency forces them to give up these lucrative moneymakers and to abandon the unfair trading strategies that dark pools and flash orders allowed.
政治决定从来就不是以公平或者善恶来作出的，而是根据各方势力消长的合力得出。 就算SEC作出取消高频交易，也不能用这个判断高频交易就是不公平。这种决定，和导游要求安排在一桌的牙齿好的人吃慢点，吃少点留给牙齿差的人；和篮球协会修改规则，让个子高的人要半蹲着和普通人一起打篮球的决定是一样的。决定本身无关公平，甚至还有点不公平，对先天就强的一方不公平。 所以，这些都只是利益的再分配和内部分赃不均的争吵。而不是某些人在赞扬的什么美国人的议员就是为人民云云。 如果说确实有问题，这些人早干嘛去了？看这种观点：美国不出丑闻，那是美国市场规范，干净；美国出了丑闻，那是美国的议员好，美国的纠错好。。。 嗯，无论如何，反正是美国好就是了。