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Another Algo Gone Wild

Tyler Durden's picture




 

Once upon a time, it was fascinating to watch crazy algos go nuts and send the price of any given stock soaring a few hundred percent higher or lower however briefly, then watch as the horrified exchanges come in right after and cancel all trades in hopes of eradicating all signs that the market is now a busted backdoor parlor in which Toby Maguire could make trillions if only hooked up to the Fed discount window IV drip. Now it is like watching a donkey show on infinte rerun. Sad is the only word that can describe it. Yet like true donkeyshow rubberneckers, we present the latest and greatest blatant algo gone wild, as usual courtesy of Nanex: "On June 21'st the stock CNTY ratcheted violently in three cycles within a six minute period, taking the price (in the first and second cycle) to over 100% of it's price just minutes prior. Within fifteen minutes the price had returned to it's previous trading level. As evident by the sheer volume of canceled trades (shown below), this was not normal market behavior and while the majority of these trades were canceled, many were not, raising even more questions."

And now, the pictures of the donkey show you have been waiting for:

CNTY - Century Casinos

Trade and Quote Prices/Sizes:


Zoom in of the 3 cycles, Price Only:

Plotting best bid and best ask only:

Plotting on a 500 ms basis:

Chart of the trades that were canceled:

It is unclear to us why some trades within the range were not canceled:

 

As for the tens of thousands in busted traeds, they are listed on the Nanex site.

 

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Thu, 06/23/2011 - 16:08 | 1396321 cougar_w
cougar_w's picture

My favs. Fortran may have learned some tricks from Major Kusanagi.

Thu, 06/23/2011 - 16:11 | 1396346 Sokhmate
Sokhmate's picture

Fortran, the breasted, hairy blue skinned angel.

Thu, 06/23/2011 - 16:31 | 1396419 cougar_w
cougar_w's picture

Whut? No no the programming language.

Thu, 06/23/2011 - 19:09 | 1396892 Whizbang
Whizbang's picture

People younger than me don't know fortran. I only know it because I learned it is the universal engineering programming language.

Thu, 06/23/2011 - 20:19 | 1397073 Chuck Yeager
Chuck Yeager's picture

I knew Fortran...it is the basis of most of the engineering mircales that have occured since 1970.  Other languages are like the guy in class next to you that shouts the answer you muttered.  Fortran was the shit.  It had double precision!  Bitchez!

Mon, 06/27/2011 - 23:37 | 1407775 Sokhmate
Sokhmate's picture

I know fortran. I was making a reference to link in a comment posted on ZH by someone, forgot who, where the link had an article about fortran, envisioned as a blue skinned, hairy, big titted, female.. I think she had wings too. Or maybe I'm just smoking. The article, real or imagined by me, was amusing.

Thu, 06/23/2011 - 15:53 | 1396277 plocequ1
plocequ1's picture

So i take it this a reverse Mortimer and Duke moment.. " Turn the machines back off "

Thu, 06/23/2011 - 16:00 | 1396286 Herbert_guthrie
Herbert_guthrie's picture

I thought these charts were "reverse-credibility" readings from Ben Bs speech yesterday.

Thu, 06/23/2011 - 15:59 | 1396302 wombats
wombats's picture

Whew!  For a while I thought system was actually rigged.  It's good to know that all's well on Wall Street.  I'll sleep soundly tonight.  <sarcasm>

Thu, 06/23/2011 - 16:00 | 1396303 TruthInSunshine
TruthInSunshine's picture

Rorschach test has 90% seeing Bernanke's quivering lip on the charts.

 

12k is the Maginot Line.

Thu, 06/23/2011 - 15:59 | 1396304 hugovanderbubble
hugovanderbubble's picture

First Chart is better than Salvador Dalí paints¡

Thu, 06/23/2011 - 16:06 | 1396313 cougar_w
cougar_w's picture

CNTY.

Still waiting for SUKY to swallow it and PENI to go large.

Whut.

 

Thu, 06/23/2011 - 16:30 | 1396416 nonclaim
nonclaim's picture

CNTY "sore" 100% after algo gone wild. Free pics of the "donkey show" leaked by TD.

This market begs for a joke...

Thu, 06/23/2011 - 17:17 | 1396591 rocker
rocker's picture

Joe Saluzzi made comment on Bloomberg today about price and reality. He said the price shown to all of us does not correlate to the real price due to black pools and HFT manipulation. He said the price your shown and  pay may be off by many percentage points. Another words, what you see may not be real at all.

In reality, the HFTs and Hedge Funds, (including GS and JPM) have broken our markets. It will not change unless they are stopped.

Thu, 06/23/2011 - 16:02 | 1396316 BlackholeDivestment
BlackholeDivestment's picture

Embarrassing and pathetic, what a joke. http://www.youtube.com/watch?v=dTsFOqSaub8

Thu, 06/23/2011 - 16:11 | 1396347 hedgeless_horseman
hedgeless_horseman's picture

Manhattan galleries will soon be offering these charts as 8 foot by 10 foot artwork, printed on glass, for the miserly sum of $9,000.

Thu, 06/23/2011 - 16:33 | 1396427 plocequ1
plocequ1's picture

Makes a great mural. Very pretty

Thu, 06/23/2011 - 16:12 | 1396348 swissaustrian
swissaustrian's picture

Irony of the whole thing: It´s a casino company.

Thu, 06/23/2011 - 16:32 | 1396412 So Close
So Close's picture

+1  Took the thought out of my nuerons.

Thu, 06/23/2011 - 16:15 | 1396352 chartcruzer
chartcruzer's picture

TD;

Which trades were NOT cancelled?    If we can ID the owners,,, this could be interesting.

CC

 

Thu, 06/23/2011 - 16:18 | 1396357 LRC Fan
LRC Fan's picture

What's wrong with this short term trading strategy?

1. Buy any dip in the Dow of 150+, using a martingale style where you add on more for every 25 pt drop, stopping out at -300.  Could use DIA directly or options.  Sell on any 100 pt gain.  Short any 150+ pt gain, using the inverse criteria. 

2. Same with oil (USO) on any drop of 2.5%+, stopping out at 4.5%.  Sell when it gets to flat. 

3. Put on a compression trade with USO/SPY any time there is a 1%+ divergence.  Seems like oil and the ES correlate pretty tight.  Obviously Tyler has multiple threads along these lines. 

4. Use any and all profits to buy silver and gold. 

It's so obvious the markets are rigged.  The thread earlier in the week about the Japanese PPT and the "1% rule" raised my eyebrows.  It's not surprising, but it's so easily manipulated if you can simply spot the pattern.  It seems like any time the Dow drops 150+ early on, it is at least 50 points higher later on in the day.  Markets seem to ramp at specific times, roughly 11am and 3pm.  Years down the road we probably will find out there has been some sort of stupid "rule" the PPT has followed to keep the markets propped.  If I was smarter I would write software to analyze all the charts to determine any patterns.  I would sort all days where the Dow is down 100+ at any point, then have it analyzed for specific patterns.  Maybe use some geometry or some shit to figure it out.  Anyone? 

Thu, 06/23/2011 - 16:34 | 1396438 chartcruzer
chartcruzer's picture

would'nt be that hard to code in tradestation.   there are scanners that test this sort of thing to understand if the code would be a valuable investment of time.

Thu, 06/23/2011 - 16:37 | 1396449 blunderdog
blunderdog's picture

Price activity is not quite that rational, so the shorts can kill you on margin calls or result in losses when stopped out.

You can simulate something similar by using "long-only" plays, handling the short side with inverse ETFs, though.

Thu, 06/23/2011 - 16:46 | 1396477 LRC Fan
LRC Fan's picture

Couldn't you just buy puts or calls on DIA or USO? 

I don't trade on margin, seems like a sucker game to me.  Better off buying way out of the money options or trading weekly options if you want to gamb00l. 

Thu, 06/23/2011 - 16:56 | 1396493 blunderdog
blunderdog's picture

Oh, sure, same idea.

I wasn't giving it much thought, just mentioned 'cause you'd actually posted "short any +150 gain." 

"Short" in the vague "bet on the drop" sense is fine, only literal shorting could be a concern, I guess.

Thu, 06/23/2011 - 20:14 | 1397051 dcb
dcb's picture

yup, nice to see someone besides myself observe the pattern. I have tride to engage people on the site to discuss trading without success. It makes me really mad, that you see the same pattern over and over for about two years, and people don't talk about it. I use diffent languarge, but I have noticed the recurring patterns. It's the algo's not the people, because peole trade in a different manner. Nice to see someone who gets it. I trade long short, indexes. very hard to do at this time with multiple securities. I may bail and trade on UCO, USO. good volatility. easy to read patterns. I thnk this will max my returns while we delcare a market direction. right now the market is being run for the benefit of hft firms. this isn't a place for human traders. I stand corrected, it is, but one security, and very fast on your feet with lots of capitial to buy in and out. ONly works if every low trading costs, or big money. because I am attemping to do too many indexes right now, I make some, and I loose some. Overall plus, but the speed, and such is too much for me, so I shall simplify and do one/ two securty until trend estalished.

 

I will say that in the HFT world every new low

ow is greated by a bounce. this is how they drop the market without really increasing vix. see long drop Jan to march 2009 (?) peak of crisis. so you need good clear chanels, and it will stay there for a long time. easy to make money, but you have to actually program your trades in advance. I find this gives me my biggest returns. If I trade the chart, wihout looking at anything else. Hard to do because it defie logic, bit that;s what the computers are doing, so you have to be like a computer.

Thu, 06/23/2011 - 16:19 | 1396364 BayAreaAlan
BayAreaAlan's picture

"On June 21'st the stock CNTY ratcheted violently in three cycles within a six minute period, taking the price (in the first and second cycle) to over 100% of it's price just minutes prior. Within fifteen minutes the price had returned to it's previous trading level."

These guys can't spell the word "its", no wonder they can't run a proper market without banana republic methods.

http://eloquentscience.com/2010/04/bob-the-angry-flower-its-vs-its/

Thu, 06/23/2011 - 16:24 | 1396385 BayAreaAlan
BayAreaAlan's picture

s/run a/comment on/
s/out banana republic methods/well good bestest grammar.

Thu, 06/23/2011 - 16:35 | 1396428 cougar_w
cougar_w's picture

Okay now that's funny.

Thu, 06/23/2011 - 16:19 | 1396373 Cdad
Cdad's picture

Hey Tyler,

Check the AH print on GSK.  Brilliant!

The headline to go with the trade? 

"Glaxo to pay 37 states $41 million over faulty drugs"

Thu, 06/23/2011 - 16:21 | 1396375 jkruffin
jkruffin's picture

Today is the day of days.....time to short the hell out of this collapsing ponzi scheme.  Today's fake rally was all HFT scam.  Greeks have not agreed to anything, and even if they do, they are still bankrupt. 

People better start paying attention to the US debt default coming, and no jobs, housing in the tank, job losses increasing again, and Benny is out of ammo. He even admitted it in his little speech yesterday.  This ponzi is going to fall very quickly.

Thu, 06/23/2011 - 16:44 | 1396472 Atomizer
Atomizer's picture

Back in 2008, it was coined as "the invisible hand propping the market".

Thu, 06/23/2011 - 16:57 | 1396479 michigan independant
michigan independant's picture

Structual filters. Remember. Today was a work of art. Hari Seldon would be on it. Later, it has been said that Hari Seldon left this life as lived it, for he died with the future he created unfolding all around him.

http://www.youtube.com/watch?v=ilcD1fHcGB0&feature=related

Thu, 06/23/2011 - 17:01 | 1396525 Mr pain
Mr pain's picture

I was talking to an agent from the FBI Cyber Crime unit a couple of weeks ago.  He was talking about how they were going after the hackers after the IMF and Federal Reserve.  Mostly script kiddies.   I told him I didn’t really care about them as they didn’t affect me but what did care about and is cybercrime was the quote stuffing from these places that walk the price of stocks up and down and steal from honest investors.  I told him they didn’t even seem to try and hide it anymore.

He hung his head and said they know but their leadership is appointed and they had to go after what their leadership sets as priorities.  He then went on to mumble about jurisdictions.  I really let the air out of his balloon.    If you want to know what the police go after, check out www.cybercrime.gov  mostly counterfeit goods and of course protecting the banks, check http://www.cybercrime.gov/sergeySent.pdf

This guy stole the source code to the Squid’s proprietary trading algorithm.  They took him off a plane.  They don’t go after businesses.

Thu, 06/23/2011 - 18:04 | 1396729 DNB-sore
DNB-sore's picture

I tried to place the bid/ask or put diagrams over the halted and not halted trades because I thought to see a pattern. It didn't work but I saw an algo that was not very sofisticated putting in aks on a horizontal line while bids where peaking the same time.

While the bids were peaking, the puts were taking the next horizontal position under it. It looks like free market but free market does not give you a window of at last 6 minutes, it has to last days, weeks and sometimes months.

I tried to put the charts on eachother but failedn (because of inadequate software). It was about the market charts, the puts and the calls.

This is only possible when you at least have 2 HFT-programs corrospending and what is more important (because there must be sellers/buyers):

Losses been taken by off-shore-not-liable-small-banks-that-go-bankrupt-by-taking-losses-and-sure-or-not-sure-to-be bailed-out-and-what-does-it-matter

Algo's are going to be the last stand of the bankers and as simple as it is, hit the switch

profits are for the known

 

 

Thu, 06/23/2011 - 17:58 | 1396731 jomama
jomama's picture

somehow i can't see this series pulling down nearly as much as Girls Gone Wild.

call it a hunch.

Thu, 06/23/2011 - 18:45 | 1396831 ebworthen
ebworthen's picture

 

Hmmm...

So initial cancellations started at BATS (BATS and BATY) which means they were probably the ones that started things.

Then some at CINC (Cincinatti).

Then NQEX (Nasdaq).

Then NQSC (Nadaq capital markets - small cap).

Then NYSE ARCA (Pacific).

Then EDGX Exchange (Direct Edge).

Then back to NQEX with some NTRF (NYSE Trade Reporting Facility), BOST (Boston Stock/Options Exchange), PHIL (Philidelphia Stock Exchange), and CBOE (Chicago Board Options Exchange) thrown in on the tail end.

Looks and sounds like a war between exchanges; between desks and their systems.  On top of that, they are making money off of the violent ratcheting, the volatility, and perhaps finding how to make competitors lose money (e.g. - amplitude, oscillation rates, and milliseconds required).

Let's guess, perhaps, a fist fight between BATS and Direct Edge?

Here is a snippet on BATS:

"On May 13, 2011, BATS Global Markets announced it would launch an Initial Public Offering.[9] [10] The company had been privately held and majority owned by brokers and big banks including Getco, Wedbush, Lime, Citi, Credit Suisse, Morgan Stanley, Deutsche Bank and JPMorgan"

Source:  http://www.marketswiki.com/mwiki/BATS_Trading

Here is a snippet on Direct Edge:

"Direct Edge is a Jersey City, NJ-based stock exchange operating two separate platforms, EDGA Exchange and EDGX Exchange. Since March 2009, Direct Edge has had a market share in the range of 9%-12% of U.S. equities trading volume, regularly trades 1 billion to 2 billion shares per day. Direct Edge jockeys with BATS Trading to be the third largest stock market in the United States, behind the New York Stock Exchange and NASDAQ."

Source:  http://en.wikipedia.org/wiki/Direct_Edge

 

Thu, 06/23/2011 - 18:55 | 1396859 laosuwan
laosuwan's picture

Now it is like watching a donkey show on infinte rerun

 

donkey show is a form of sex tourism entertainment in Tijuana, Mexico, in which a local woman engages in inter-species intercourse with a donkey.[1][2]

Local taxi drivers offer tourists a ride to see a donkey show in the red light district.[3] The shows are difficult to verify and may be urban legends, but anecdotal accounts are frequent.[4

The "donkey show" myth is deeply embedded in US popular culture, and it is occasionally given as a reason to visit Tijuana. From time to time one may come across naive tourists going up and down La Coahuila street, unsuccessfully trying to find the show.[6]

More recently the term has been used to describe a situation that has become a "complete mess".[7]

 

Which way do you mean, Tyler?

Thu, 06/23/2011 - 19:57 | 1397030 dcb
dcb's picture

I have had trades today and the last couple of days that went through although the security hadn"t traded in that range during the time period. and I am trading major indexes, not individual stocks. Of course Bernake is silent about Hft, as he is with any thing that would be of benefit to the real economy and market. I do no t understnd why hft exists. Yes I get the real reason, but on an intellectual logic basis it should not exist. the chairman silent, silent on didd frank, silent on derivatives regulation, etc. What the fuck is this guys job. Instead he spends the majority of his time attempting to convince us that inflation is what he says. That leads to great trust. Hi I am the Bernank, instead of using my weight to back reform, I will lie to your face and tell you there is no inflation when it is like an uncontrolled wildfire. The man is a pathological liar and sociopath. I voted for Obama, but I have come to the conclusion he is the same, because t take a pathological liar and sociopath to support another.

I urge you to say your paryers to god tonight and ask him that all cnetral bankers be swallowed up by the earth and that their first born children shall suffer. We need anoter Moses, Jesus, etc, to deliver the people from the clutches of the central bankers. When God delivered the people from the tyranny fo the bankers he called it sunday and mandated that as a celebration and in honor of his name people would spend the day in thoughtfull contemplation and rest. Proverbs (99:11)

Thu, 06/23/2011 - 23:17 | 1397420 Boxed Merlot
Boxed Merlot's picture

a celebration and in honor of his name people would spend the day in thoughtfull contemplation and rest. Proverbs (99:11)...

I didn't find a 99th chapter in Proverbs, but the one proverb that keeps pounding though my mind after reading B7's description of Greece's method of doing business is Prov. 20:14:

v14 “It’s no good, it’s no good!” says the buyer—
then goes off and boasts about the purchase.

Solomon was Awesome.imho

Thu, 06/23/2011 - 20:19 | 1397076 Quantum Nucleonics
Quantum Nucleonics's picture

This was no algo... I have it on good authority that it was in fact a whale at one of Century's craps pits losing a bundle, winning it back, losing it again, winning it back, and walking away about even.  Stock just reflecting the role of the dice.  They did comp him dinner.  He has a baccarat table reserved for tomorrow morning, so watch this stock gyrate tomorrow.

Thu, 06/23/2011 - 23:23 | 1397435 andyupnorth
andyupnorth's picture

I often get this kind of email:

 

Hello, my name is Chris and I’m a business and technology recruiter with Genesis10 (www.genesis10.com).  Genesis10 is an IT Staffing and Business Consulting firm. Our search for potential candidates found your business and IT professional experience to be relevant to one of many consulting and contract opportunities.   

The opportunity is located in New York, NY.  Following is a brief Job Description:

 

C++ Developer

Location: New York City

The Role
The successful candidate will join one of our product-oriented team specializing in analytics and display of financial data in such areas as equities, bonds, derivatives, foreign exchange, commodities, mortgage-backed securities, structured products, or law.

Each application team is an entrepreneurial unit handling the complete development life-cycle of its products. Team members work every phase of development from requirements and design to production roll-out and test. Development is incremental, iterative, and always on a short time fuse.

This is an opportunity to join a diverse, industry-knowledgeable, technically skilled group of software engineers who design highly visible products on the platform.

Knowledge of the world financial markets is a definite plus but not a requirement. Superb application development skills, a strong user-orientation, and creativity are requirements.

Qualifications
* 3- 5+ years hands-on C/C++ Development Experience on Unix (or equivalent expertise)
* Strong skills in User-Oriented Design
* Solid Understanding of Data Structures, Algorithms, and Object-Oriented design
* Working knowledge of Financial Markets a plus
* Practical Experience with Unit/ Regression Testing
* Practical experience with Version Control Systems
* Solid verbal and written Communication skills
* Ability to Coach and eventually Mentor team members * BS/MS/PhD Degree in Computer Science, Engineering, Finance or Related Field (or equivalent expertise)

 

 

 

Along with meeting these requirements, you will need to demonstrate:

·          Customized list (DELETE IF NOT NEEDED)

·          Customized list (DELETE IF NOT NEEDED

·          Customized list (DELETE IF NOT NEEDED

If you are interested in this opportunity, please call me as soon as you can at (917) 497-1067 so we may discuss the role in more detail.  OR send me an email with your resume (cklein@genesis10.com) and please include a daytime phone number so I can reach you.  

Building and maintaining relationships is the key to our success.  Genesis10 is one of the fastest growing, privately-held consulting firms in the United States because we forge trusted partnerships with our clients and our consultants.  If you have a relationship with a Genesis10 recruiter, please contact them directly to express your interest in this role.

If this isn’t the role you had been hoping for, but you or people in your professional network are looking for new opportunities, let me know!  OR forward this email with my contact information to your network.

 

Warm regards…Chris Klein

 

950 Third Avenue, 26th Flr

New York, NY 10022

cklein@genesis10.com

 

 

Fri, 06/24/2011 - 02:18 | 1397724 blunderdog
blunderdog's picture

I'm not a programmer at all, but I wonder if I could talk enough bullshit to get one of these gigs.

Sat, 06/25/2011 - 00:05 | 1400566 Mediocritas
Mediocritas's picture

Another example of what happens when there are no organic limit orders sitting patiently on the books waiting to provide proper liquidity. Nope, they've all been scared away by these synthetic shenanegans. This isn't a market anymore, it's a video game.

I'm hoping that the trades that weren't busted netted to zero hence no need to bust them, but the cynic in me suspects otherwise and the favored players walked away with a gain.

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