Algorithmic Crop Circles Redux - Rise Of The Stock Market Machines Part 2
And so it continues: since we first posted Nanex' report on quote stuffing two months ago, and the follow-up analysis, the firm's images of visualizable HFT algorithmic "crop circles" have appeared everywhere, from the pages of Huffington Post to The Atlantic. Which is terrific, as it further raises public awareness of the fact that no matter what one does, the market is now merely a computerized playground in which human traders have no chance of even breaking even in the long run, as the adversary uses consistently illegal means (intentional bid stuffing) to extract every last penny from whoever is left trading. In order to keep the public's, and the SEC's ADD-addled attention on this matter of major significance, we present the latest patterns of illegal computerized quote stuffing as further glaring evidence that the regulators have given up trying to restore any sort of credibility in the market (and people wonder why ICI reports 13 consecutive weeks of mutual funds outflows). Our only hope is that someone will be clever enough to reverse engineer the pattern generators in these algos, and to punish the HFT operators who day after day leave their fingerprints all over the biggest crime in capital market history with complete impunity.
As Nanex points out: "The common theme with the charts shown on this page is they are obviously all
generated in code and are algorithmic. Some demonstrate bizarre price or size
cycling, some demonstrate large burst of quotes in extremely short time frames
and some will demonstrate both. In most cases these sequences are from a single
exchange with no other exchange quoting in the same time frame."
And as long as the SEC refuses to move its finger (yet continue demanding an expansion of its billion dollar budget for porn surfing purposes), Zero Hedge will continue bringing broad public awareness to the crime scene formerly known as the market, with hopes of extinguishing all faith in the concept of fair, free and efficient markets.
NASDAQ "Broken Highway". 20,000 Quotes in 8.5 seconds, cycling the
sizes, effecting the best bid and best ask through the entire sequence.
BATS "Dirty Glaciers". Not a lot of quotes in this sequence but
another interesting quote-cancel price repeater from BATS.
"Boston Zapper III". The return of the Boston Zapper with a slightly
different pattern than other Zapper occurrences.
NASDAQ "Landmine". 9000 quotes in 3 seconds from NASDAQ, each
effecting the Best Ask. Although you can't see it in this block of 9000 quotes,
bid and ask sizes were cycling during the block.
NASDAQ "BBOBomber". Close-up of 100 quotes from a 50,000 quote
sequence (see below). Quote action causes the BBO Price to jump from 29.46 to
30.19 a approx. 1600 times a second.
NASDAQ "BBOBomber-2". 50,000 quotes in 30 seconds of the sequence
NASDAQ "Redline". 5000 quotes in 2 seconds, alternating the ask size
by 1 every other quote and effecting the BBO each cycle.
BATS "Twilight". 250 quote slice from a sequence rate of 1000 quotes
per second. See below for the full 1 second burst rate.
Zoomed out view of "Twilight" showing the full 1000 quote per second
"Boston Zapper II". Strangely similar to the original Boston Zapper.
10,000 quotes in 10 seconds.
NASDAQ "2-step". Alternate the bid size/ask size/ask price every 2
quotes, effecting the Best Bid each time. 250 quotes are shown from a 1000 per
second quote rate.
"Boston Zapper". One of the more unusual bid/ask price
NASDAQ "Blue Wave". Very interesting Bid price/size repeater. 30,000
quotes at approx. 480 quotes per second. See below for a detailed zoom of the
Zoomed in view of the "Blue Wave" bid price/size cycling:
PACF "Castle Wall". Nice bidsize block algo running at 500 quotes per
NASDAQ "The Waste Pool". Over 5500 quotes in 2 seconds, alternating
the bid size up for 2 quotes, down for 2 quotes, etc., effecting the BBO along
the way (you cannot see the cycling in this chart as there are so many quotes
it flattens into a huge block), see below.
Zoomed in view of the "Waste Pool" bidsize cycling:
NASDAQ "Depth Ping". Another Interesting bidprice/size repeater from
NASDAQ (with pings from PACF). 5000 quotes in 6 seconds and effecting the
"City Under Siege". Example of how a BATS price repeater (from the
price to 0.0) reacts to other exchanges quoting.
"Sunshowers". Another BATS classic.