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Как то не сомневался, что HFT sweep обе стороны рынка,это делали многие трейдеры( в том числе и я в свое время) в малом масштабе и вручную. Но роботы, конечно, вызывают бОльшую турбулентность. Event роботы вообще тупоголовые…….

http://www.zerohedge.com/news/2013-03-12/when-hft-steals-liquidity-exploratory-trading-emini

The Top 8 HFTs Remove Liquidity 59% of the Time

Passive market making involves buying at the bid, and selling at the ask, which earns the market maker the bid/ask spread. Passive market making provides liquidity, narrows spreads, and lowers trading costs. Aggressive trading removes liquidity: buying at the ask (removes sell orders) and selling at the bid (removes buy orders).

Between September 17, 2010 and November 1, 2010 in the eMini futures contract (December 2010 contract, symbol ESZ0):

41,778 accounts traded this contract
30 of these accounts (less than 1/10th of 1%) met criteria to be classified as HFT.
These 30 HFT accounts:

participated in 46.7% of total trading volume.
grossed $1.51 million per trading day.
Of these 30 HFT, the top 8:

were aggressive 59.2% by volume (the other 22 were aggressive 35.9% by volume).
grossed $793,342 per trading day.

  Трибуна Великого Мегакукла 2011-05-14 23:34:38
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