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And So The Volume Disappears
Why are all the big banks suing their employees for stealing their "complicated" HFT market manipulation codes? Here is the basic framework of every HFT algo these days, transcribed from Hex:
- 10. If volume non-existent, then buy everything
- 20. If flashing indicates big dumb money block order coming, use dark pool to front run in sub-penny increments
- 30. If stock trades between $1 and $5 trade churn with best algo buddy to generate millions in liquidity rebates
- 40. If 30 True and churning is in place slowly raise bid/offer range to create impression market rising
- 50. If big brokers see 40 and create feedback loop with ETF buying pushing prices even higher tap self on algo shoulder
- 60. If 40 and 50 True dump everything in last 5 minutes of trade in dark pool, reconciliation will occur after market close, end day 100% cash
- 70. If seller appears, drop everything and go to binary Hampton.
Here is a chart of last three days of ES volume. The "surge" in volume as Pisani observes, is a victory for the bulls.
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Like making money the old fashioned way. They steal it.
Hey, at least they have a good reason: It's easier that way.
Smith and Barney wouldn't approve....or would they.
Ha ha, I used to always joke about that commercial as a kid.
"We make money the old fashioned way"....."We steal it"
I love these great catches.
The algos are also programmed with an auto-shutoff to instantly disappear when size hits the bid.
80. GOTO 10
and this is the day investing died
Yup. All cocky profit minded short sighted day traders which is exactly why their short term memories of 2008 will very soon destroy many a business as they cannot understand "why the market will not just go up". Regardless of what temporary distortions accounting, stimulus, tax credits, press releases and federal intervention may do short term the market over the long term does not care about anything but fundamentals and it is as old as time.
The free market is like The Terminator: That free market is out there. It can't be bargained with. It can't be reasoned with. It doesn't feel pity, or remorse, or fear. And it absolutely will not stop, ever, until supply and demand meet.
i am a short sighted daytrader but it was not me who pushed this market to where it is, blame the people who printed 2.6 tril of fake money and made shorting impossible
tyler let me brea the news to you: the bulls HAVE WON for real. where s the dow now????
In all seriousness, state the bull case
there is no bull case. but if there were it would read like this:
"stocks are going up because stocks are going up."
money managers never get fired for being long. just have a look at Bill Miller. Managers get fired for underperforming a big rally. Remember back to the 90s, managers and advisors were getting sued because client money wasn't keeping up with the market.
sure youre 100% right, but that crowd is always long, and always positive, so whats different?
Well, one thing is mutual fund cash levels are like 3%, which is basically all time low
So they can be as positive as they want, they dont have any money to do anything about it
What is the next direction for MF cash? Up.
What is next direction for interest rates? Up.
What is next direction for taxes? Up.
What is next direction for both GDP and earnings growth? Down.
I ask again, what exactly is the bull case?
The Bull case:
Shit floats, so buy!
We can float the market higher.
His shit don't stink.....so buy with him...
Same shit...differnet day, so repeat the same shit from yesterday.
Either way.....the market is nothing but bullshit anyway, might as well keep buying.
The Bull Case :
AIG - $40+ dollars
AIG - Owes Bigtime
AIG - Downsizing to the extent its an empty shell
AIG - A floating Turd in a cesspool of other turds
AIG - TBTF (especially cause it owes the FED truckloads of Cash)
AIG - Stands for American International Gigilo
The bull case is simple. The Fed is c***ing. Peter North ishtyle. Junked?
i kind of get the feeling most of us are just watching and waiting. There just isnt really that much more to say anymore. We all know this is a farce, but i think many of us either blew up or decided not to be martyrs anymore. Im not psyched out by one day drops either (a la GS on Friday) cuz you know the buys just start again.
gotta just wait for the revolution.
Look the important thing here is earnings are just awesome
Of the 24 companies I can see that reported last night, 66% (TWO THIRDS) trading lower
Some trading down after "big upside" (PH, ETN), which is what happens when cyclical growth rates peak (as is the case right now - earnings growth rates peaking now, same way they were troughing a year ago)
Some trading down because the quarter just sucked even though that really shouldnt be the case with all this global growth going on (AOS, IBM, etc)
Oh and MACD crossed on the SPX Friday, which came on massive downside volume
Other than crappy earnings and decaying, extended technicals, there is no cause for concern
80: when knowing about 10 to 70, it's long or square
5. If monday, buy everything and end program.
are you implying that these algos are written in fortran?
3 minutes is the over/under on Harry Wanker's first post on this topic.
I'll take the under for $1,000
LOL
For some stupid reason I was inspired to translate this into Applesoft BASIC:
0 REM HFT PUMP & DUMP COPYRIGHT (C) 2010 BY CHUMB A. WAMBA - ALL RIGHTS RESERVED10 REM VARIABLE INITIALIZATION
20 V = 0: REM MARKET VOLUME
25 OS = 0: REM ORDER SIZE (0 = NOTHING, 1 = SOME, 999 = ALL)
30 F = 0: REM FLASH STATUS (0 = OFF, 1 = BIG DUMB MONEY BLOCK ORDER)
35 INC = 0: REM FRONT-RUN INCREMENTS
40 SP = 0: REM STOCK PRICE
45 S$ = "": REM STOCK SYMBOL
50 BD = 0: REM BID PRICE
55 OF = 0: REM OFFER PRICE
60 BB = 0: REM BIG BROKER BUYING DELTA
70 D = 0: REM DUMP FLAG
100 REM BEGIN RAPE AND PILLAGE
110 INPUT "TICKER SYMBOL? ";S$
120 INPUT "ORDER VOLUME (0 = NONE, 999 = ALL): ";OS
130 INPUT "BID PRICE? ";BD
140 INPUT "OFFER PRICE? ";OF
200 GOSUB 9000: REM GET MARKET DATA FROM THE MACHINE
210 IF V = 0 THEN OS = 999
220 IF F THEN GOSUB 1000: REM USE DARK POOL
230 IF SP < 5 AND SP > 1 THEN GOSUB 2000: IF CH THEN BID = BID - 1: OF = OF + 1: D = D + .05: REM DOUCHEBAG DUET
240 IF BB > 0 THEN INC = INC + .005: D = D + .05: GOTO 200
250 IF D >= 1 AND T$ > "14:55:00" THEN GOSUB 3000: REM TAKE A DUMP
260 GOTO 100
1000 REM DARK POOL ALGO HERE
1099 RETURN
2000 REM CHURNING ALGO HERE
2099 RETURN
3000 REM DUMP ALGO HERE
3099 RETURN
9000 REM GET MARKET DATA
9010 CALL 768,S$: REM THERE BE DRAGONS HERE
9020 V = PEEK(6) + PEEK(7) * 256: REM GET MARKET VOLUME
9030 F = PEEK(8): REM GET FLASH TRADING STATUS
9040 CH = PEEK(9): REM GET MARKET CHURN RATE
9050 BB = PEEK(10): REM BIG BROKERS BUYING DELTA
9060 D = PEEK(11): REM BIG BROKER ETF BUYING FLAG
9070 T$ = STR$(PEEK(12)) + ":" + RIGHT$("0" + STR$(PEEK(13)),2) + ":" + RIGHT$("0" + STR$(PEEK(14)),2): REM GET TIME
9099 RETURN
63999 REM I AM CHUMBAWAMBA
All I can say to that is
01011001 01101111 01110101 00100000 01101000 01100001 01110110 01100101 00100000 01110111 01100001 01111001 00100000 01110100 01101111 00100000 01101101 01110101 01100011 01101000 00100000 01100110 01110010 01100101 01100101 00100000 01110100 01101001 01101101 01100101 00101100 00100000 01101101 01111001 00100000 01100110 01110010 01101001 01100101 01101110 01100100
01000010 01110101 01110100 00101100 00100000 01100011 01101111 01101111 01101100 00100000 01101110 01101111 01101110 01100101 01110100 01101000 01100101 01101100 01100101 01110011 01110011 00100001
Back testing now...
I have a magnifier utility that I can use to see volume on my charts...
Ha.
hehehehe
Naw, we don't need no stinking fortran, just basic basic.
Can somebody explain what the above chart means? What is the ESMO?
S&P mini futures
You're going to have to get educated over time to understand the chart. Nevertheless, get educated, and watch it every day. ESM0 means:
E - mini Futures contracts
S - S&P 500
M - June contract expiration
0 - 2010
Here's a link to a good education starting point: http://www.cmegroup.com/education/index.html
dow has become unbearable to watch, the definition of dumb money masqueraded as MBA fund managers waiting to get slaughtered
Green Shoots!
Hey can anyone explain to me why there's a hitch in the melt-up this afternoon? WTF??
Don't worry, as soon as the bots pick up on a possible cup and handle we'll take off. If not... we may finally be headed down.
With the HFT machines in play the market is looking a lot like professional baseball, they don't care if the fans show up for each game anymore, they are making most of their money from TV ads. Replace "fans" with retail investors.
Is everyone getting a lot of ads for "cougarlife.com" on their ZH page? I only visited youporn once last quarter, please leave me alone!
http://finance.yahoo.com/q?s=^VIX
Bottom in sight?
That looks like a standard barrel roll chart.
Error 503 computer fraud not found.
And after "earnings" season, short the mother.-:)