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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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Nice observation.
anybody know a binairie site where I can download that programm?
I just woke up. Having read this analysis, I take it that the Futures are up. Am i correct in assuming so? I dont even look at the Market any more. It makes me sick.
If by futures, you mean SRS and SKF, why yes, futures are up.
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HFT computer woke up and wrote poetry instead of quote stuffing stocks?
Aw, it's trying to reach out and touch us, how sweet. Now kill it, Jendrzejczyk, KILLL IT! EEEEEK!!!
So these programms run a sequence of buy orders and cancel them quick enough just to jack up prices?
Doesn't that take a incredible large ammount of money to back that up if the order are all bought?
Hush now baby, baby, dont you cry.
Mother's gonna make all your nightmares come true.
Mother's gonna put all her fears into you.
Mother's gonna keep you right here under her wing.
She wont let you fly, but she might let you sing.
Mama will keep baby cozy and warm.
Ooooh baby ooooh baby oooooh baby,
Of course mama'll help to build the wall.
yes it probably does take an incredible amount of money to back stop those trades if they get hit - but the US taxpayer is good for it - Right? OK - maybe the US taxpayer is not - but Bennie SURE IS. YES!!
if the (unwanted) buy orders are executed and sold instantly at a fractionally higher price (or the same price) then they can actually make marginal gains or trade flat all day long (excluding transaction costs). These paired order executions appear all day in the executed order list, just so obviously rigged... This way they balance minuscule loss and gain trades in such a manner that they always win or end up flat - meanwhile they have pushed up the price a bit more and can sell at a "new normal" the next day. At times when there are no bids, they just buy up all sell orders, driving up the price, artificially creating a shortage for potential buyers. Why there keep popping up buyers interested in buying clearly pumped up stock, I have no clue... Perhaps they control like 95% of certain stocks now, allowing them to corner shorters repeatedly, while the latter don't know only 5% of shares are circulating in the market? By selling and buying the shares they own they can slowly drive up the price. Add to that their frontrunning abilities, and they never lose. The money they use is cheap, basically borrowed at zero point shit interest rate on a short-term basis during which they can reap in double digit percentages of gains when all the minuscule HFT gains are added up. The same cheap money is being used to pump up futures ("hey, futures are up, so shares will be up, let's buy buy buy). It's summer of 2009 all over again, pushing shares higher on thin air, into next OpEx. The next target on S&P is 1150, because nobody thinks it is realistic...
don't they need to identify themselves when they own more then 3% of a company? Let alone 30%?
You're right. I'm just trying to figure out an explanation for why the algos keep finding victims to corner... Might there be a way to circumvent this disclosure requirement, so that they don't really "own" it when it is only (temporarily) in the trading books? Perhaps that doesn't make much sense...
So there must be another mechanism allowing them to direct the transaction chain the way they want it to go... Who can explain the ongoing participation by human traders or slow algos in this? Somebody has to furnish the pennies the HFT skim off, where do they keep coming from? If the HFT are so superior, then no one else is making money, no? And yet, every day millons of shares continue to change hands. Or at least seem to change hands.
I don't get it...
Naw, apparently some of them are bidding 1 share, so if you hit a $5 stock and pay $7 commission, your bargain cost you $12. That's the way the dirty b*****ds play the game these days.
Of course, their commission might be $7 for the day. When the enemy runs fill or kill trades, the only sensible trade is limit fill or kill trades in response. Say 100 shares AIG at $0.37, or 500 C at $0.37 , you get the idea.
Now, your brokerage might get annoyed at the expense of throwing out nonsense bids after a while, but if we all do it, say this Thursday at 9:50, then it might be amusing.
Remember, fill or kill.
Anyone with an ounce of sense would see that any trade is very likely to be hijacked by these algos and cost more as a result of it, as these parasites extract their $.0001 per trade. Rule of law urgently needed to be restored. Joke market.
As annoying as these algos might be - frankly for people that want to do a little work to find reasonably valued securities with an adequate margin of safety - they dont matter. I mean if you want to buy exxon because it pays a 3.5% dividend yield and is reasonably priced and provides a decent hedge against Bennie and the Feds inflationary tactics - do you care that you paid a few millicents more or less? Not me.
So what exactly are you riled up about? The unfairness of it all? ( LOL). What is it that you think you want to do in the markets - trade on a millisecond horizon against the vast machines - is that what you want to do ? Dont!!!
People at Nanex should try quantifying what amount of trading volume consists of "real" trades (i.e. between a non-HFT trader and an HFT-robot, or executed vs. cancelled volume) and what volume is mere recycling or "fake" trade stuffing, either with or without an upward bias. I wouldn't be surprised if the actual, real trades amount to less than 10% of the total volume traded. Yet, even if the price stays flat on a daily basis, they steal millions of pennies by frontrunning on 10% of the real intended trades and faking 90% of the trades.
A few years ago, typically 70-75% of all orders placed were cancelled by algorithm driven trading on XETRA in most of the DAX stocks (see 2007 Eur. J. of Finance 13(8):717-739). Now ask yourself how many of the remaining 25-30% orders that were excuted are non-algorithmic...? Half? Then there remain only 10-15% of all transactions taking place on a daily basis that are "human". No wonder it has become so easy for them to "direct" a price in no matter what direction...
Or we live in The Matrix now?... all trading is done by computers keeping the markets flat with short artificial up and down cycles, while humans watch it in awe, pittying themselves for lost income by not taking part in it and while others can't figure out why it doesn't crash... The few still trading with the computers are either insiders, stupid or endlessly rich.
Look we live in times that demad a warrior spirit . No whining. I mean the thugs are ransacking your house and you are complaining about the gold rolex on the chief thugs wrist?
Get serious. get real. Figure out what to do. Do it. Emotions are your enemy - control them. Create your own strategies and tactics. Hine your skills. lay off the beer and chips. Turn off the damn TV. Think. Get fit. Fight to win.
I missed this in school, so I guess maybe some other people did, too.
In the early 20th century Kurt Godel, a consummate mathematician,
presented a proof that any mathematical system will
1. necessarily be incomplete and
2. will allow paradoxical expressions.
He turned classical logic on its head, much the way that Einstein turned classical physics on its head, at almost the same time.
Once mankind reached this apex, there was nothing left for us to accomplish but to destroy ourselves.
Just amazing that it is taking us so long to do it; we are pretty incompetent little ants after all....
I've said this before, and I'll say it again:
If the authorities are no longer willing to enforce the law and provide PROTECTION against theft and fraud, then they can expect the public to begin turning to vigilante justice.
Morally, what these HFT brigands are doing is no different than breaking into your house or business and stealing your valuables. Under such circumstances, the right to self-defense and protection of property is universally acknowledged.
Death to the machines! Or as Leo says 'Buy da DIPS'! lmao I hope Bernanke and Geithner have to chug Pepto Bismol by the gallon. Death to Timmah!
If I hear one more HFT operator behind these algos droning a chant about how we all benefit from this phony liquidity, I’m either going to choke on my own vomit or hit them in the face with a Louisville Slugger. By the way, has anyone else looked behind them? There are wires running out of the back of their head into the UCB port on their laptop.
this post is very ignorant... her eis whats happening
Algo1 - wants to be .01 above best bid up to 27.50
Algo2 - wants to be .01 above best bid
starting bid 15.00
Algo1 bid 15.01
Algo2 bid 15.02
Algo1 big 15.03
Algo2 bid 15.04
....
....
Algo1 bid 27.49
Algo2 bid 27.50
Algo1 cancel 27.49 bid
Algo2 bid 15.01
2 simple algos both want to be top bid.... causing these patterns.
nothing here guys.. move on
I'm trying to put bids in at a super low frequency trading (SLFT) rate to generate a ZH Response Pattern (ZHRP). At the rate I can afford in case my bids are accepted, it will take me 500 years to complete. Wish me luck! Here's my results so far:
http://i31.photobucket.com/albums/c361/woohooty/ZH/ZHPattern.jpg
Lovely Roscoe! Nice to see you round the blog-o-sphere.
Thanks Ms. C!
I read most entries, but hesitate to post for lack of intelligent substance. (Sophomoric bird-flippin' chart pics notwithstanding.)
Faithfully hoping for total capitulation and a new beginning,
Roscoe
And the stench of the SEC's putrefying corpse wafted over the nation like a malediction...
so, is this any worse than when Bernie Madoff was running the NASDAQ, and commissions were fixed? I rememeber when an 1/8th was a minimum commission on a "liquid" issue, and stocks traded in 1/4pt increments. OK, so we get front run, and a market order gets filled in a bunch 100sh lots, what's the big deal?
Market = Casino
Common Knowledge
SP500 important chart update :
http://stockmarket618.wordpress.com
Keiser Report on Bizarre Robot Traders...
http://www.youtube.com/watch?v=3vuZMR--0x4&playnext=1&videos=iNx_8sX5OLg&feature=sub
That was great!!!!
LMAO!
Just watched Discovery's doc about Earth without humans. I guess stock exchange would be one of those things which would keep going without human input - probably even reaching new heights never seen in human times!
Castle Rim?