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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.
08-09-10
NASDAQ "Broken Highway". 20,000 Quotes in 8.5 seconds, cycling the
sizes, effecting the best bid and best ask through the entire sequence.
08-09-10
BATS "Dirty Glaciers". Not a lot of quotes in this sequence but
another interesting quote-cancel price repeater from BATS.
08-09-10
"Boston Zapper III". The return of the Boston Zapper with a slightly
different pattern than other Zapper occurrences.
08-09-10
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.
08-09-10
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.
08-09-10
NASDAQ "BBOBomber-2". 50,000 quotes in 30 seconds of the sequence
shown above.
08-06-10
NASDAQ "Redline". 5000 quotes in 2 seconds, alternating the ask size
by 1 every other quote and effecting the BBO each cycle.
08-06-10
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
rate.
08-06-10
"Boston Zapper II". Strangely similar to the original Boston Zapper.
10,000 quotes in 10 seconds.
08-06-10
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.
08-06-10
"Boston Zapper". One of the more unusual bid/ask price
sequences.
08-06-10
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
cycle.
Zoomed in view of the "Blue Wave" bid price/size cycling:
08-05-10
PACF "Castle Wall". Nice bidsize block algo running at 500 quotes per
second.
08-05-10
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:
08-05-10
NASDAQ "Depth Ping". Another Interesting bidprice/size repeater from
NASDAQ (with pings from PACF). 5000 quotes in 6 seconds and effecting the
BBO.
08-05-10
"City Under Siege". Example of how a BATS price repeater (from the
price to 0.0) reacts to other exchanges quoting.
08-04-10
"Sunshowers". Another BATS classic.
»
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"Depth Ping" is my favorite one.
http://www.youtube.com/watch?v=oQ1sZSCz47w
Restate my assumptions:
1. Mathematics is the language of nature.
2. Everything around us can be represented and understood through numbers.
3. If you graph the numbers of any system, patterns emerge.
Therefore, there are patterns everywhere in nature. Evidence: the cycling of disease epidemics, the wax and wane of caribou populations, sunspot cycles, the rise and fall of the Nile.
So what about the stock market?
1. Mathematics is a construct of the human mind and can not be shown to be independent of it.
2. There are many aspects of human being and nature which can not be represented faithfully by numbers (love, hate, compassion ...).
3. The markets are not a natural phenomena, they are products of our minds and the patterns you see are clearly the intentional product of computer programmes.
Nonsense. Absolute nonsense and idiocy.
You're saying there could conceivably be an alien species out there that wouldn't have to deal with mathematics?
Wake up from your postmodernist Jacques Lacan relativism. Mathematics is not subjective no matter how much you would like it to be.
They cannot be represented by numbers yet.
That does not imply that they cannot be.
Someday, they will be.
Read some Gödel; math (and other formal axiomatic systems) are broken tools for many applications.
Newton would disagree.
Post modern structuralism is as dead as Godel.
I have read Gödel. His axioms only prove that math cannot prove itself.
They do not come anywhere close to proving that math is a "social construct."
The idea that his axioms might somehow invalidate mathematics is a fallacy invented by scientifically illiterate leftists.
Try getting to the moon, or building a skyscraper, or accurately firing an artillery shell, or programming a modern 3D videogame, without using math. I dare you.
Can you explain exactly how "the idea that his axioms might somehow invalidate mathematics is a fallacy invented by scientifically illiterate leftists"?
I'm not trying to pick a fight or anything but I would like to know exactly how you arrived at this conclusion. If you're too busy would you mind pointing me in the right direction for some reading material? Thank you.
It's part and parcel of the postmodernist paradigm (pardon the alliteration) -- the concept of absolute relativism, in which everything is subjective and there is no objective reality. Absolutely everything, including mathematics, is reinterpreted as a "social construct" ... a "social construct" being, of course, a concept created by evil white men / patriarchs / colonialists / capitalist oppressors to keep the proletariat down (according to the postmodernists).
Postmodernists have seized upon Gödel to try to "prove" their case.
If you're interested, read Rebecca Goldstein's book "Incompleteness," in which she persuasively explains that that interpretation is not what Gödel was proving at all:
http://www.amazon.com/Incompleteness-Proof-Paradox-Godel-Discoveries/dp/...
Excellent, thank you for the info.
Exchanges like this make ZH one of my favorite sites. Informative, entertaining, and productive. Cheers to all involved.
The poster never said that math is a social construct. He said that it's a construct of the human mind.
Meanwhile, the usefulness of math (in building, engineering, and general problem solving) in no way demonstrates math's objectivity, truthfulness, or independence from the human mind. It only demonstrates its usefulness.
3.1415926535897932384626433832795028841971693993751058209749445923078164062862089986280348253421170679 8214808651328230664709384460955058223172535940812848111745028410270193852110555964462294895493038196 4428810975665933446128475648233786783165271201909145648566923460348610454326648213393607260249141273 724587006606315588174881520920962829254091715364367892590360011330530548820466521384146951941511609...I saw that movie, up until the tape broke about 70 minutes in. So I don't know how it ends.
IMHO, it lost some steam at the end. They could have done much better.
...433057270365759591953092186117381932611793105118548074462379962749 567351885752724891227938183011949129833673362440656643086021394946395224737190 702179860943...
Big ups to ZH! Bring the ruckus!
Still too much emotion being displayed - emotion is a killer. Truman didn't drop the bomb because he hated the Japanese. Carthage will not be destroyed until the victors no longer care about the outcome.
Let it all go - you will not be effective until you abandon all hope. It's only when it comes down to the simple calculus of you v them that one is ready to do what must be done.
Correct. When enough people despair, then things may begin to change. Or as Gerald Celente says: "When people have lost everything, they are willing to lose it."
No comment
Its so beautiful its hard to put it into words. :)
Try these. If you're in this market for a few seconds and you can't spot the sucker. You're the sucker!
Ha, I thought it was going to be "The colors Duke the colors!"
http://www.youtube.com/watch?v=VwlMHJE82Mk
Are we still calling it a market?
I am having a problem putting my head around all this. The above charts seem to be clear evidence of illegal activity, well the second round of clear evidence that the algos are illegally jacking us (even me, the lil ol gold bug) around.
(Disclosure: I recently sold big, for me, big chunks of stock in a long term trust for my descendants to pay Cap Gains this year rather than higher next year, if those would still be GAINS next year, one more player getting OUT while I can. For generations my family has held its wealth mainly in stocks. Not this family member anymore)
And the SEC, is supposed to be the enforcer here?!
Cognitive dissonance indeed. Evidence of illegality in plain sight! They do squat.
...
It's time to send our own little signals back! ZH-ers pissed off at .gov and the banksters please join us in line on Thursday to pull out $500 (or your local currency, I am hearing from more people overseas joining this, the momentum is building) from your local ATM.
We get to see some illegal signals here, and jack-squat being done about it.
It is time for us to send our SIGNAL: that we are a vanguard of people who ARE prepared to ACT! Please join us Thursday at the ATMs worldwide.
Lines might be long so get there early! Hope to see you all there standing in line with me.
Let's Deflate the Bitchez!
...
After Thursday, the Bearing will go crawl back to (mostly) the gold threads and not harangue you much anymore.
And? The syndicate has decided to operate in the open. They don't care any more, they can hardly be bothered to cover up their crimes. Who can blame them? Dimon could go on CNBC and eat a baby while Blankfein rolled a joint with the Constitution and no one would lift a finger. The regulators are there to enforce the rules on us not them. We can't rely on any government agency to help us. We are on our own. At least ZH is bringing this to light. ZH is worth far more then the SEC could ever be in cataloging and uncovering these crimes.
I'd rather go play poker then be in the market personally. At least there I'm pretty sure I don't have to face off with a rigged deck. But that's just me, if guys can make money in this market good on them.
"I'd rather go play poker then be in the market personally."
I agree...but, as time goes on I increasingly feel like our paper money is really no better than plastic poker chips. Do you play poker with gold and silver?
starve the beast!
get ALL funds out of equities, banks etc.
and into physical precious metals.
bring it down!
let's get physical!
http://www.youtube.com/watch?v=g9N3-_XUH-U
Its all ok !!!!!!!! president sarah palin knows how to fix it !!!! lol
I find this to be a contrarian play. Think I will buy the Dow when it's worth one ounce of gold. Coming to a theater near you!!
What is one ounce of gold worth? Fractional or full reserve gold? Today, an ounce of gold is worth about $54,000 to a Central Banker (See FOFOA) - so the Dow is well below that level, so should you buy?
Dow/Gold has been priced at 1:1 in the past. But you knew that.
But it already IS worth one ounce of gold. Oh, you mean price of Dow in FRN notes...
Interesting but the article in the Atlantic implies that no one knows the effect of these bogus trades, even the guys at Nanex.
..which doesn't change the law.
Law? What Law?
Legendary words once spoken in the great movie "Trading Places" .."turn those machines back on...turn those machines back on!!"
http://www.youtube.com/watch?v=_gekaEzqj5g
Someone needs to do this to the boys who are wrecking havoc to our markets here.
thx
Didn't they make a series of movies about machines taking over mankind? I think it was called terminator...
Don't worry! Humans will always be able to keep control of the machines. :P
in this case those bankers will be able to keep control of mankind.......wow...stay safe behind the machines and rule.....Terminator , Matrix....even George Michael was warning us some 2 decades back ....."its too too late , we should all be praying for time"::
http://www.youtube.com/watch?v=61NUDDXT9nU
If that was two decades back, I'd say he got his time. Does he think he spent it wisely?
they removed the gattling gun before the shot this vid;
comforting sound too.
http://www.youtube.com/watch?v=b2bExqhhWRI
Movies? I thought they were historical documents, especially The Sarah Connor Chronicles.
A little sympathy might be needed; perhaps they are just frustrated artists trapped in the soulless world of algo-finance trying to show the rest of us that they too have tender hearts that yearn for beauty, relevance and the touch of another human's hand once in a while.
(Having said all that F^&k 'em)
Whomever it is that comes up with the names for those algo patterns gets a high-five.
"Landmine" and "the waste pool" are todays favorites
"Boston Zapper" could be called "The Goal Posts".
Dirty Sanchez
Reach Around
Gangbang...
Astonishing. I wonder how much of this is explicitly programmed, and how much is adaptive gaming by the software.
Has anyone seen some of the better examples of Karl Sims' genetically evolved virtual creatures? The ones that learn to swim, defend and steal the 'food' from others like them?
http://www.youtube.com/watch?v=JBgG_VSP7f8
That is where we are going. The creatures tech is circa 1994. Think about that.
Thanks for the link.
The evolution of a software program with today's computers can go through millions of generations; if a software creature is rewarded for making money by gaming prices, they're going to get very good at it, very fast.
You are spot on, some of the maths is quite similar so I think that is where we already are.
However, in these cases where the patterns are often regular, IMO the aim of the programmer is just to slow the opposition down.
Bidding up the market is an unintentional side effect.
+1
WORD
Mother to son: "Please honey, tell me what's wrong. Why won't you talk to me? What's going on that scares you so much you won't talk to me?"
Son: "If I tell you, will you promise that you won't get mad?"
Mother: "Look at my face. Of course I won't be mad. I love you and I'll always love you no matter what you say. You know you can tell me anything."
Son: (after long pause) "I'm ready to tell you my secret now mom."
Mother: (after waiting for a bit) "Go ahead, be brave."
Son: (whispering) "I see dead markets."
Didn't you mean dead people?? Wait; dead markets-dead people.. oh I get it..
I see debt people.
+1
HAHAHAAHAAHAAHAAAAA!
DEAD ZOMBIES........has anybody watched " Apocalpse in the land of the dead"
anyway with the amount of Nuclear weapons stocked up, the trigger has been pulled on us long before , we r just DEAD MAN WALKING
If that ain't a t-shirt, it needs to be.
And...I see dumb people:
http://www.youtube.com/watch?v=bwAdar4aDdw
There is an easy way out of this nonsense: force the exchanges to keep any submitted quote alive and valid for one second before allowing it to be cancelled if so desired. I can't think of any situation where a genuine human who would have a problem with such rule, but I foresee a lot of HFT closing shop very quickly.
Of course, you'd need a willing regulator to impose this on the exchanges...
Bingo..
+1 Double-Bingo.
It's already illegal to post a bid that you never intend on honoring. Yes, canceling is possible (and allowed), but not to "undo" a bid you made while never intending to honor.
I blame tranny porn. If that hot seductive stuff wasn't out there distracting the honorable boyz at the SEC, no doubt they would jump at the chance to do their damn jobs.
Darn that tranny porn. Too darn tasty to the SEC. Like catnip. Yum.
I'd say make it seconds, so that ordinary mortals have a chance to hit it.
Of course, ordinary mortals sometimes do get our chance to hit it. There was a low volume ETF with fair value of $84 and ask of $76 at 9:29 one fine morning. I hit it and three seconds later it was gone (I wasn't brave enough to hit it all at once). "You wouldn't eat a pgi like that all at once, would you?"
Whats the point being a trader? Just hand it all off to the Algos and let them fight for the scraps among themselves. SEC is still busy downloading kidde porn.
This cute little game can only last so long. We see money coming out of the system, we see economic data ignored and gamed, we see valuation being viewed as unimportant.. (well, except Leo) At some point, this has to get VERY ugly VERY fast.
That's very true. The Fed is engaged in a very expensive endeavor, trying to prop up the financial markets. Kinda like a plate spinner with too many plates in the air at once.
Gee, I wonder what happens if there should be a natural disaster like an earthquake in California, or perhaps if Israel and Iraq go to war and shoot oil prices through the roof, Or N. Korea's dear leader decides to totally flip out and attack South Korea, China goes into full unrest mode as their financial system falls apart, Greece goes into Default and starts an international domino fall with Spain, France and Germany....
So many ways this can all end in tears.
Money coming out of the system-- that's the key. The Feds are willing to play this game for a purpose above and beyond the consequences they're creating.
You do not think the understand the consequences? Money is flowing out of the equity market, due primarily to a growing mistrust. That money won't come back quickly in its participants. Why should it, when goverments intervene, and HFT's are allowed to pick-pocket without consequence??
Whatever the purpose for the covert market manipulations, TPTB have foolishly discounted the value that a fair and transparent market brings to the table. Such a market brings in participants throughout the world. People want to trade in markets and countries that provide transparency and fairness for its participants.
The U.S. exchanges have been hijicked by a consortium of interested parties that ae determined to "win at all costs". But what are they winning?
I know what they are losing. Market participants. And perhaps, for a very, very long time.
Al Capone called the stock market "a racket" because it was so obviously rigged not long before it crashed. The market is still rigged. They've put a lot of lipstick on the pig over the years, but it's still a pig.
Pretty soon they'll just be playing with themselves. Are we voyeurs? It really is disgusting stuff we're seeing.
Assetman, hey there!
I am getting my brain around "world wide." They will default world wide. Every system has derivatives waiting to blow up, insolvency, debt out the ass, and Algos infesting the system like out of control tapeworms. The narrative for many of the participants must be something like "this is how we fix this" and "we have to pay off the right people to get them to cooperate with the fix." But as you rightly point out, if no one trusts it and no one plays, none of it can work. I keep trying to push my self to think of "what next?" and get outside the box. We wander pretty far off the mainstream media script here, but we need to get out of the boxes we construct here. Paranoia has another name: speculation. What if?
They have to default worldwide. HAVE TO. Where are they trying to steer things? I don't want to stop at one world government, one currency. We stop and get pissed or scared. What then? Or is that too far out a time frame to project?
Interesting supposition here.
The default has to be worldwide due to the interconnectedness of finance. It's a given that the PTB have ignored(?) the concept of counter-party risk in pursuit of the 'global' agenda.
I would posit instead, that globalism is leading to an 'epic-fail' scenario wherein system failure leads to famine and pestilence as centralized control and logistics break down.
Or you could just say, it's failure of trust. That works too.
The elite chosen or self-annotated fail, all hail the new elite.
Hey, there my fine Scottish laddie... I hope the McCreant clan is doing well!
Worldwide default SHOULD be the endgame. But its become very obvious that creditors around the world are nowhere near prepared to take the haircut. And it would be a massive haircut.
But there's something even more massive than that-- it's the derivative bets surrounding global default events that could really rock the boat. About the only way I see in getting global default to work is to force all derivative contracts into "null and void" status. Unfortunately, there are too many greedy bastards that want to milk the system to oblivion-- rather that walk away from an active bet.
Nope... there are some out there who would be more than happy to see global hyperinflation and rolling currency crises than default. But... default may still win out, becuase in many instances there's no way debt or debt service will be recovered. Greece will start the ball rolling, too...
You don't understand the future of Algorithmic dominance. This is the age of the spawn. You are front and center to witness the firm grasp that algorithms will have on your life heretofore. The most powerful algo's will be owned by the most powerful people.
What you see today is the infancy of neural networks. Biological and Artificial neural networks will be fused together, soon. Wars will be fought for algorithms.
Terminator XXX??
I think the "Blue Wave" algo has become self-aware.
Either that, or it may actually be a space-alien communication.
I like the cut of your gibberish...run those orders through SETI pronto.
Actually, it's not really the infancy - this kind of algorithmic warfare has been going on for a long time already on the internet, in hacker wars: IRC netsplits, IP spoofing, DDOS, etc.
Each time, the simple answer is for a SysOp to cancel the user account or switch a machine off for a while.
There was even a case a long time ago, in the early days of Unix, where pretty much every box in the USA had to be turned off to get rid of a worm attack.
Does that remind you of recent, unilateral, exchange-cancelled trades?
Have you read "The Singularity is Near"?
Fun book - good data, but wrong conclusions from a guy who knows no complexity theory. The chapter on physics is lunacy.
Nice graphs tho.
I call shenanigans.
shenanigans! Oh, Ill get my shovel...
I just superimposed Boston Zapper III, Castle Wall & Dirty Glaciers with sexy results,
http://www.youtube.com/watch?v=DBYjZTdrJlA
Might be an idea...anyone run any of these patterns through a systhesiser to see if they could give us some new candy for RadioZero?
Total and complete Epicness from ZH.
Tyler, you rule.
the likely reasons for the SEC and government inactivity regarding this matter...
1... the constant "melt up" in equities is right in line with ben and timmy's reflation fantasy... and those 2 knuckle heads could not have possibly come up with such a mathematically elegant solution... immoral and illeagal they could have matched, but this level of mathematical elegance could only be supplied by some one who still requires daily use of clearasil...
2... the may 6 "flash crash" was a warning for ben and timmy... it read... "see what happens if we shut down sky net for 20 minutes! so shut the #$%^ up and let us steal our $ 100 million a day"
Algorithms have accelerators built into them. One can juice the market down as efficiently as juicing it up.
The flash crash was but a small flexing of machine muscle.
I for one, welcome our Robot overlords (at least they're more logical!)
Bernie Sanders got the message.
My favorite is when dumb asses go dark and want anti gaming technology. Let me put an order in the dark butt I don't want a fill unless I'm not getting gamed because im so smart using this lame algo that i want to game u, lol!!! Ftards!!!!
Wait till some kid hacks into the Sky Net algos! Hell, the Chinese can probably already do it any time they want.
http://www.youtube.com/watch?v=m4wk6jSNZU8
Should have called at least one "Spank the Monkey".
And one, get ready for it:
THE MASTER BAITER
How are there not enough honest and important market participants who see this scam and want it stopped to get it stopped?
We're all on the sidelines bitchin' about it.
Cognitive dissonance and Artificial Intelligence have combined.
It is over. After this, the deluge.
Is it just me or do some of these algorithmic patterns start to look like the old 8-bit NES games? Let me know when the "mario bro" crop circle pops up, perhaps the "Pac Man" which ironically enough eats away at your trades til its game over. Or how about Super Punch Out... I think someone should take a closer look at May 6th again.
Looking at the patterns was a bit fun at first, but as the page scrolled down I got queasy.
The market makes me wanna puke.
Can someone pls explain what's the issue here?
you can flood a million quotes a second, you can only earn the rebate if someone decides to hit you up on your offer. If no one decides to issue an order that can be matched to your order, you just end up flooding the orders for nothing, you haven't made any money.
Second, I have an issue with blatently false statements like these "the market is now merely a computerized playground in which human traders have no chance of even breaking even in the long run"
The issue here is the basic defintion of a market: an arena of price discovery.
If the prices bid or asked are false on their face, then there can be no discovery from them. Therefore, the market ceases to exist.
:D
The only issue here is that it is illegal to offer a transaction (as these HFT algos do) without a commitment to complete the transaction. An honest trade may not be completed but it DOES have the intent and backing for completion. An algo trade (whose purposes are (a) to bid the market in a particular direction and (b) to reap the rebate) is NEVER done to be completed, never.
This is illegal and the ONLY issue.
You're welcome.
Not quite, you can place a limit order and get lucky, it's probably happened to many of us here.
However the volume is tiny, maybe 1 share, and that trade immediately moves the bid/ask so you don't get the rest of your fill.
Then you have to wait and wait... a lot of manual traders end up putting in limit orders, in and out, again and again, until a variety of algos pick you off. Of course this is a waste of time and some don't do it, and they lose money. Market orders and large volume limit orders simply will not get filled at a level you expect.
Algo houses will always tell you their markets are honest, you can trade versus them. In court, they would win. The issue isn't the law, the issue is faith, as Assetman and Orly have said in this thread.
It may very well be as you state, that they would "win." But by exposure to the light of day in such a venue, they would loose.
IF there is a sitting LMT order at a price level where HFT algo send buy/sell order, it will be matched BEFORE the cancel arrives.
it takes at least 2 people for price discovery to work. Once again, I don't think I explained this well. Regardless what HFT does, if there is no one who wants to trade at these prices, there will be no trading done, period.
Second thing that we must talk about is the difference between a principle and specifics. If current price for stock XYZ is 100.00, but I put in an BUY LMT @99.00 order and I'm willing to let that order sit there for an hour, if the order isn't filled in an hour, I'm not interested in that trade. I don't think that anyone can argue against the principle of not wanting to let the trade sit there unless some time condition was met. Now let's look at specifics. Let's say my goal is to get filled at 99.00 in the next 10 minutes? What about a minute? Is that alright with you? What about 10 seconds? If I don't get filled in the next 10 seconds, I'm not interested in the trade. What about a second? what about 1/10th of a second?
The principle is still the same. The mechanics of execution are still the same: if there is someone that has opposite order at the price level that I'm interested in, as soon as the order will get to the exchange, it gets processed before the next (CANCEL) order is processed.
So in my opinion it is blatantly false to say that no price discovery was done, as it has.
To address your 1st point that the purpose of Algo trade is to bid [to provide for more generality, I assume manipulate] the market in a particular direction.
Algo traders don't care where the market is going, because they are NOT directional traders, they do what market makers do - sit on both sides and earn the spread. A directional trader has one sided view, he wants to buy a reversal and sell into a rally or sell a rally and cover when it gets lower. For a directional trader, accumulating an asset is a must as he hopes to earn some carry so to say over time.
The thinking of HFT guys and gals goes like this "Why try to place directional bets, when we are guaranteed to earn money from 1. spread between bid/ask and 2. exchange rebates? this requires much less risk than holding an asset over time while exposed to a direction."
edit (addition): Assuming a profitable HFT algo, the income is proportional to the volume that the algo completed. Thus even if one doesn't accept my assertion that HFT wants to sit on both sides to earn bid/ask spread AND earn twice the exchange rebates, it would seem reasonable that HFT would want to manipulate prices DOWN and not UP as you get 20-30% more volume on down days. Again,that doesn't happen, prices still creep up which is more ground to dismiss the unbacked statement that HFT want prices to melt-up. There is simply no reason to believe this.
Your conclussion "is NEVER done to be completed, never." is also quiet false as I've explained in my original post that:
HFT algo needs trades to execute in order to a)earn bid/ask spread (bilateral participation) and b)earn exchange rebate. Both of these are impossible if trades do not execute, hence it is invalid to say that there is no intent to execute. In other words, to have no intention of execution is contradictory to a)earning bid/ask spread and b)earning exchange rebates.
I've given my 1st argument that there is nothing wrong with principle of not wanting to continue having your order rest on the exchange after some time has elapsed and combining that with showing that HFT algo trading business model necessitates execution, in no way can it be claimed that HFT algo participation in the market place is illegal.
Best regards,
omi
Amazing charts and research. Too bad anyone in a position to do anything about it cares.
Maybe put some porn tags on the post and someone from the SEC will land here by accident.
I could be off with this but I have a paranoid fantasy thingie I'd like to share. China got pissed off because they weren't playing these games while Europe, US, SA, etc. were all at the party, loading up the sled with debt, hiding debt, doing derivatives, etc. We are keeping the game going long enough for China to catch up to us in fucked up debt-ta-tude. Others perhaps are being allowed to get just as drunk on the debt thing too. Once the private brand of Justice has been done (the Chinese and others are just as underwater as the USA as determined by some ratio or other) WE ALL FALL DOWN TOGETHER. What does that mean? An obvious one is an even more centralized, global banking system. And of course some form of one world currency. And more, worse, because it will be the same fuckers arranging it, that arranged this.
Most of that is not new, except for the idea that we have quietly agreed to let China and others have their fill of debt too, to catch up to us, when we do the great defaulting which is inevitable.
Yep... And I hope that they succeed... Seriously...
Wht do you hope they find success?
There is clarity in your vision.
Does anyone think that any of the discount brokers such as TD Ameritrade or Scottrade would have any impact if they lodged a formal complaint to the SEC?
Can someone tell me what is so hard about the SEC implementing a simple rule such as "All bid and ask market orders have a minimum lifetime of 5 seconds". That would quickly end all this HFT, while still allowing for real trading (both human and computer).
It would also eliminate the illegal advantage of having a computer farm down the street with 0.00001 seconds better access time.
Seriously, can anyone tell me how this would not work????
I've seen this 5 second, 10 second, even 1 minute suggestions in this and the previous crop circle thread.
Anything longer than a 100 ms is a lifetime for HFTs. And 5seconds or longer? Even for a fast human daytrader, it doesnt make sense. Soon as the volume picks up in a low float stock the b/a can move a lot in a second. So if you have that 5s limit order in and it goes against you horrible, youre fucked.
But that's the whole point, to get real serious buyers and sellers to the market instead of HFT algos and videogamers. People who have an idea what they deem the stock worth and are actually willing and happy to pay/receive the price they set their bid/ask at.
these are not real trades as we think:
they are games played between the real money (chess) its not about trading its about skimming and beating the other house. Was the flash crash a test (?) or a no hitter game for a GS pitcher? Just look at their smiles when they are all in room.
Hhhhmmmm get them in a room and call Osama or is it Obama I'm forgetting with all the terror groups inside and out!
The guys naming this need some appropriate names like:
pwnage
Spank the N00B
Teabagging
Smurfing
Teardrop
deplorable
I will say that the zoom in on blue wave in my favorite.
What at racket !! Just imagine what things would look like if the folks running this actually knew how to be scandalous... Meanwhile.
http://www.youtube.com/watch?v=-hsahbAEZpc
I don't have his email on this computer, but I am gonna pick Joe Saluzzi's brain on these crop circles. He is a straight shooter if anything. Here is a two-month old video. If you stick it out till the end, you will get a great Zero Hedge plug...
http://www.youtube.com/watch?v=XTU530kghh0
Great clip.
Wallpaper
And, BTW, the comment section in the Atlantic Monthly article is amazing. Some of these guys were really bearing down on what this might be. One of the sites I picked off deep in the comments section is where the algo guys go to chat and exchange ideas...
http://wilmott.com/index.cfm?NoCookies=Yes&forumid=1
Another place to pick up tidbits from those in the game:
http://www.nuclearphynance.com/default.aspx
Hey!
GrandSuperCycle haunts/spams there too!
Kondratiev
Senior Member
Posts: 294
Joined: Apr 2009
Thu Apr 09, 09 03:35 PMDOW and SP500 have bottomed.
last prices 8029 and 848
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BLOG
The proprietary indicators I use in my technical analysis can identify trend changes before they occur - In early 2007 I warned of an impending stockmarket crash - I confirmed an equity bottom by early April 2009 - From mid 2009 onwards I warned of an impending USD rally - The uptrend since March 2009 was a bear market rally contained within a much larger downtrend that started in 2000.
These guys give spawn campers a bad name.
Script kiddies.
If it is true that these algorithms only work at raising prices then the flash crash might be a necessary and periodic reset mechanism. If you knew when you were going to turn off the computers, just short everything. Let it free fall and start over and walk it up stealing a penny off every trade till it’s time to reset it again with a crash
you are not on the list of those allowed to trade during such an event.
I believe -- and this is only my opinion -- that the best way to put an end to manipulation of the markets is to reveal how the corporate/government complex is manipulating the public.
Here's how they play the game:
1. Create a crisis.
2. Offer a solution to the crisis.
3. Profit from the solution, as well as the crisis.
Of course, the "solution" will lead to yet another crisis.
It's known as "disaster capitalism." Naomi Klein wrote about it in her book, The Shock Doctrine. Every time there's some sort of disaster, chances are that it was engineered for a profit.
The American people have to stop thinking that bad things just happen. People, powerful people, make them happen. Invariably, the mainstream news media are used to make sure that the public never learns the truth.
I cannot believe any rational human being will refer to Klein's manure. Going through contorted logic in "Shock Doctrine" is in no way better than reading reasons why Iraq is housing Al Queda. Just about everything is taken out of the context, some stuff outright made up and tied together via brutally ignorant statements. I had to read it for a course, it was so painful.
Sounds like its related to the Cloward-Pevin Strategy or Fabianism.
A much better exploration of said phenomena exists in Higgs' Crisis and Leviathan.
http://mises.org/store/Crisis-and-Leviathan-P138.aspx
An absolutely outstanding book. One of my favorites.
Boomer retail just looked at its mortality prospects and figured out a yearly expense estimate out to 20 years and figured euthanasia or throwing themselves on the mercy of the state. No need to invest anymore. Just the slow spend cycle to oblivion.
So you speed it up with inflation? Once you got the will to go, the date and method is less important.
No paga, no paga, no paga, no paga, no paga, no paga...
After HFT collapses, I plan to hire a team of HFT programmers to flood the Chinese internet (you know, a cyber attack like their military does to us all the time) with a lovely little phrase the South Americans loved to say in the 80s and 90s. Then the Chinese, with zero humor, will get pissed and I'll be short Tsy's and make a mint my friends. So fuck you all, drinks are on me....
No paga, no paga, no paga, no paga, no paga, no paga...
Someone should convert that to audio ..., then play it backwards. Probably says:
"Obey“, "Consume", "Submit", "Conform", "No Independent Thought"
Wow- I'm stunned- but not shocked I guess.
I heard a rumor that Obama thought that the stock market should just go up normally and people shouldn't be able to trade for profits.I don't know what blog or interview that came from.it's pretty obvious that nobody likes a rigged playing field if the slots are guaranteed tight for the banks.
The US stock market is 100% dead- there is no price discovery going on here and hence no value in buying stocks unless you trust that the HFTs and FED will prop up the facade into perpetuity. I haven't gone long on the stock market since April 2009. Maybe IRS time to give up the ghost and just ride this phony wave.
Obama is keeping a close eye on the "Profits to Earnings" ratios.
I hope I see these images and a compelling story on 60 minutes one day.
While sitting on a delipidated recliner on the porch of your rented double-wide. Car on jacks in the front yard that you've had to part out to buy Spam or beanie-weenies for dinner. They will have all the money by the time you see it on 60 Minutes.
Don't you want to smack Lloyd (we provide liquidity) Blankfein?
Hey RockyRacoon
Don't bother with the Spam. There are all kinds of animal rescue organizations out there, ready to send you fresh meat.
I knew a guy who had a rust hole in the floorboards of his car and would entice ducks with feed to the area of destruction.
Ingeniousness is not restricted to trading.
There are too many squirrel, deer, coon, bunnies, and other varmints collecting in urban areas..
Protein should not be a problem.
I think you underestimate the problem. Too many eaters, dude/dudette.
Right! Too many eaters with zero survival skills. It really is scary!
SPAM is people!
Tyler I know the MSM would never cover this information but I think its vital this knowledge should be widely dispersed so the average person in the street knows what is going on. Like a dummies.com guide to the entire Financial Crisis and the aftermath.
Forget sawtooth patterns. Someone needs to write an algo that quote-stuffs 4 bit raster porn. That would get the SEC's attention.
+100, better make it kiddy porn so we really get their attention
"the fact that . . . the market is now merely a computerized playground in which human traders have no chance of even breaking even in the long run" DeFeatism. And just plain wrong. There are plenty of critters on Earth that are faster, stronger, or both, than humans. A large percentage of them are on the Endangered Species list. Intelligence Matters. These very "crop circles" are a testament that some of these very same HFTs are getting fooled, by very simple tricks, 100+ times a second. Ride the long, slow trend, the one they do not see/have not been programed to care about.
And will you be able to react to changing conditions as fast as the computer? Getting out might be a problem if they puke it down rapidly. Mankind never hunted along side the lion.
Anyone else feel like they are watching John Henry match up with the steam powered hammer...but this time around he is getting his ass handed to him...