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Guest Post: Is The SPY Getting A "Jump" At Key Levels From A Quant Algo?
Submitted by SellPuts
I am growing more and more tired of seeing what appears to be a very "helpful" algorithm running in the SPY. I am using the term "helpful" very lightly. I relate this algorithm to a jumper cable, your car will run once you get the jump if your battery is running low right?
Now lets say volume in our market is equivalent to a discharged but not quiet a dead battery yet. Symptoms of the market being a "dead battery" are sluggish movement through key pivot levels on a daily 1 min chart, along with violent price spikes within the 1 min candle.
So how do we fix a market which does not have the Umph it needs to stay liquid and trade while not remaining flat all day after the initial 30 min opening volatility? A quant algo of course!
First a little background on why the SPY would be a good target for some undercover manipulation. As you may or may not know ETF's run our retail markets. The S&P depository Trust buys and sells individual components of the S&P's based on movement within the index. Simple right? Well if you say, "Screw it, I am purchasing the 500 S&P components via the SPY ETF. Now i can buy little pieces of the components without laying out the cash to buy them individually." GREAT! If you are a buy and hold investor looking to leverage your hard earned dollar. Now lets think about how the normal operation of the SPY can cause manipulation...
*If there is a huge buyer day in and day out of the SPY whom has no interest in holding for a long period of time how would this affect the components? The direct affect of SPY purchasing would cause the cash market(individual stocks, not futures) to trade in a much more liquid manner in whatever direction the purchaser is leaning.
Now for the juicy stuff...For months now i have been watching a specific algorithm push our markets around with great ease. It looks like this algo is giving the SPY a little push through support and resistance levels with massive size executed in seconds. Sometimes the push is tens of thousands of shares, the size all depends on the natural volume around the level which the SPY is trading at the time it may need a "Jump". For instance if the market is oversold on a 1 min time frame and is trying to break higher off lows but just cant get the party going on its own, the algo will come in and take offers until day traders, scalpers, swing traders jump in and chase the market higher. Once the price gets "jumped" the algo just sits and waits till natural buyers and sellers are few and far between and it either dumps or takes in more. Usually the program will reset itself after a trade, then will wait till it senses low volume once again.
For some concrete evidence of this action i have done a quick illustration, which includes Time & Sales which only display prints on the exchange the algorithm does business on. This exchange is used because of its very nice rebate structure, and it allows the algo to exploit the SOES, meaning it cannot trade in blocks larger than 10000 shares per order. So what does it do, it takes blocks almost 10,000 shares multiple times a second, this price action causes the market to lift violently. This is not small money, remember small money follows big money.
The algo in question starts buying at 110.04 with one block of 9999 shares, followed by 60k more shares all bought in under two minutes. You can see from the chart how the SPY reacted, it violently moved higher all the way up to 110.55, where the algo dumped just about all of the shares, you can see the prints in the "dump" prints window, again only showing the print from the exchange the algo does business on. The algo did its job, the cash market snapped back, the components again caught a bid and moved higher through resistance. I.E. they look alive and well... Natural buyers came in above the 110.55 level chasing the market up another 50 cents or so before they left and the SPY fell again because the volume was not there to support the massive run up which took place over 15 minutes. As you can see the algo works in two capacities, it manipulates the market to the upside along with keeping S&P500 components trading in a liquid orderly "non flat" fashion.
The 650,000,000,000$ question now is.. What would our markets look like if this "jump starting" was not taking place every day? I think you know the answer.
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What market? Oh you mean the PONZI scheme that everyone has woken up too.
+1
Years from now, when whatever will happen has happened, the various methods the "playas" used to pump and manipulate the markets will slowly be disclosed by the capture press, long after they have any relevance
"Breaking news, markets were manipulated during the 2008-2016 depression, here's how."
Great post!
So who's running the algos,,,,,,,,,?? Could it be.......SATAN?
Satan? Doing God's work?
Its Jump Trading!!!
Well isn't that special!
fucking assholes.
Is the SPY getting a jump you ask?
Here's the "Smoking Gun" evidence...
http://www.morningstaronline.co.uk/var/news/storage/images/rowson/resurrecting_frankenstein_s_monster/1139437-1-eng-GB/resurrecting_frankenstein_s_monster_cartoon.jpg
This is all kind of funny. NONE of this "algo manipulation" works if there weren't live market participants chasing the folly called "Technical Analysis". This doesn't work if there weren't fools buying just because an equity has broken out above resistance. In a world without fools, the "manipulator" would get crushed. In the real world (which has plenty of fools), why begrudge those taking advantage of the idiocy?
In this world, maybe the fundamentalist "investor" is the fool.
They've been getting wiped out over and over again.
Careful...don't confuse "buy and hold" with fundamental analysis. Those who understand value do well in all kinds of markets. True, I miss many of the monster moves, but I am profitable almost every year and have never gotten my lunch handed to me.
Fundamentalists require very deep pockets, price is always the limiting factor is fundamental gambling, er I mean investing, whatever helps you sleep at night, at the end of the day all analysis is just another man's best guess that helps him execute and stay in trades. Only reason any of it works is because other people believe that someone else has found the answer and do the same.
How? is that possible? Are you just now going into Gold with Paulson the 3rd go round?
"...why begrudge those taking advantage of the idiocy?"
I fully agree with you up to the point where it is an unfair advantage. Playing the market is all about finding the greater fool, someone who will sell you an undervalued stock or buy your over priced stock. But when you have inside information and tools, this is where it turns into a rigged game.
Yes, I suppose this is naive on my part but since this is how the market is sold to the general public (an honest market fairly regulated) I expect it to be that way. Admit it's a rigged game and let everyone play on the same level and I will then do everything I can to either rig it my way or get out. But when only certain parties have an "unfair" advantage, I draw the line.
CD -
And I agree with you to a point. Caveat Emptor has to exist at some level, even in bailout nation. If you look around the poker table and can't spot the mark.....
speaking of poker tables, that's how I picture in my mind the central banks currency swap tools. It's like insiders passing aces around the table, who ever needs them against which ever mark was fool enough to keep raising the pot. Each new deal is designed to entice another fool/mark into ponying up.
exactly - we need a new dogs player poker picture to sum this up..
pushing the play back and forth and splitting whatever new money stops in - then they give back each other's chips at the end of the day
Read your post again and I think I can separate out my thoughts on the 'rigged game'. Insider trading (which never happens according to Ms. Shapiro!) is an example of an unfair rigged game. Using technology (in this case computer programming) to take advantage of another groups trading strategy is not a rigged game...it is more like gamesmenship.
Taken to a further point, there may some point where someone devises an algo that can catch predict this gunning algo and destroy it...
So our computer algorithms spend the day stroking each other? Do the neural networks try and crack the coding of the other algorithm that's cracking their programming? My algo knows that your neural net knows that my algo knows that Cramer knows NOTHING! Remember Princess Bride's battle of wits? ;)
http://www.youtube.com/watch?v=TUee1WvtQZU
But, not sure why there are so many haters - Anyone can pick this up from Amazon - "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" - with "Java for Dummies" - and make a billion! Call me to 'invest' in a sure thing - 1-800-I-DA-MANS
Hi CD
I recall when it was called "getting over" usually " on the man ". The implication being to take advantage.
Thats how i see the stock market. As long as the trading is actually investing it helps to build . But what i see now is profit taking, manipulation and stealing. To my way of seeing it..thats DESTRUCTION.
In my long years i had the opportunity to join in taking more for less. I failed to do so as i see for myself there are universal laws i dont care to break.
Have less, BE MORE
True. The algos are the organ grinder and the technical traders are the monkeys. No offense to monkeys, of course.
oh, none taken!
those of us w/ an actual f'ing clue LOVE posts and "debates" like this. heaven forbid anyone actually take the time to become a technician or learn what a "quant" actually does. just yell 'man behind the curtain' like fire and watch how many others agree with you.
Tom Baldwin made tons of dough doing the exact same thing...take down all the paper, when it is finished, bid up or offer down and let the other idiots follow you and slowly cover or dump to those following you...this isn't manipulation, it is gamesmanship
"...why begrudge those taking advantage of the idiocy?" Agree..
To all who think this is just part of the market and it isn't rigged. GS provides liquidity to the NYSE and they are paid a fee for each transaction so far fair enough. Then they have computers hooked up right at the exchange so they have the fastest connection. With this connection they are able to frontrun everybody with a HFT program. On top of that they get to use Tarp, Talf, mark to market, borrow money at no interest from the FED discount window, and if they fail we will bail them out. Why the sudden surge in their trading profits over the last 1yr. ?
I fail to see as to how 70k shares of SPY coincides with 650,000,000,000?
supposedly SPY follows SPX if somebody is trying to push SPY i dont think he can do it without checking SPX..as many arbitrage traders will start selling SPY and buy SPX futures..Can somebody explain..or can we check the orders at the same time for SPX futures..
the aggregate of stocks is no longer a market, but rather just another policy tool
WTF happened at 3:19 with the S&P 500 index charts? They just stopped on more than one source for me. They forget to hook up the fuckin cables at 3:19?
The evidence given as to when the algo bought and then sold is weak at best. This whole article is weak. Where is your proof that these buys where the same guy as those sells? And, he had to buy those shares from someone - who was that?
This is soooo written by a frustrated trader who is having a real tough time making money right now. I have no proof of that of course....but since proof isnt required I will take the clear evidence of his whining as proof.
The law of averages / Quant’s is not in your favor... you are talking about a 2 trades mirrored within a small space of time... with exact matching numbers... with one tactical outcome repeated over and over.. Tyler (in all of his many forms) may be a lot of things.. But! “Full of Shit” is not one of them...
For your lack of understanding of the most basic of mechanics… well it speaks for itself, far more so than even my pointing out your inability to comprehend.
"The greatest trick the devil ever pulled."
http://www.youtube.com/watch?v=KnGo6Qm0Wt8
Prediction: Once their beloved health care gambit is resolved, our elected leaders will allow the market to plunge in order to attract buyers for Treasuries.
+1
its starting the last 2 weeks already.
rebates, rebates, rebates, toxic volume not there when you need it, liquidity vacuum, crash blam boom............beep
Can the algo, and its alchemist, keep churning out this trade, er, fool's gold, forever? I cannot wrap my toes around the question of how it will end? What event will occur that will overpower of the intoxicated wizard and thwart him from propping up this market ad finitum?
Ano243862 you trade barefoot?
A further question. Is the ETF craze part of what is making the junk stocks move so much?
If SPY adds shares then proportional amounts of all stocks are bought, even junk, based on their weightings. For both lightly traded and junk stocks this additional buy volume would tend to magnify moves higher. In addition for example you would have to be nuts to short a SPY component that will get an automatic bid as the general market moves higher.
Looks like at least part of the excessive correlations in the market is the rise of the ETF and fall of stock picking.
I believe so yes.. the correlations imo are 100% a direct result of ETFS .. yes we have always had loose correlation which you could arb.. not its impossible because the correlations are almost instantaneous.
The manipulation is so obvious. The only one that would have enough Money to keep the Market up with so much Selling would be the FED.
The Market is under so much control it is hard to believe that Stocks can flatline each and every day with no volume. It does appear that there is intervention every time the Market starts to go down to prevent any Selling.
It confirms to me that the Market meltdown in 2008 was also controled to the downside. Why did the FED not step in then? I appears that they created the Sell Off to get most of the American Wealth transfeered to the Banks under extreme duress.
No one can have that kind of control over the Market except the FED.
Today's market manipulation was, in my opinion, the most intense ever. I think that reflects DESPERATION. Just consider yesterday's consumer confidence number and today's house sales number. Question is: will the manipulators just push through or is the whole theater about to collapse?
so it's so easy, you have only to buy the deeps all the time and you can't loose in this market
How is this different from the computer based buying and selling that has been around for 30 years?
I agree with Argonaught, anyone trading in this market deserves to get hosed.
Kudos SellPuts. Nice work!
I agree with a lot of what's being said. Today is a good example, HORRIBLE figures and then, when Benny boy is talking the stock market goes up like a rocket and stays there. Dollar down, stocks up?
When it goes, it's going to go big time. What can't carry on, won't, although who can say how long this blatant manipulation can last for.
DavidC
I can't believe you still don't get it...I can borrow money for zero and lever that money up to buy me something that has a chance of a positive return. Its called yield chasing, remember how we got into this mess in the first place. It will go on forever, zero interest borrowing means levered buying, who's gonna stop them, your little two lot up at 1104, get fucked and buy puts when Bernanke starts draining the slosh, until then, STOP TRADING!!! Especially, STOP TRADING THE NEWS, that shit was a week old before it ever hit the wire.
I didn't even have to read past the title. It is absolutely obvious.
What's the issue here exactly, by definition this quant machine needs someone to sell to it after they've bought. If you have an issue with that, don't buy. I just don't get complaints like this one. A market requires two partipants.
You, sir, are a sanctimonious idiot.
Wow thanks for enlightening us with your well-reasoned argument. Not. You're probably jealous because everyone else is making money off the algos and you're just some pissed-off loser with no trading skills.
I think most anyone who follows the Market, and has a basic understanding re: the Market here, knows what's been going on at an untra-high-gear ever since Paulson took his position, continues now and can't stop. We all know about the PPT, and when I re-reviewed their activity for the first time in amny years, since I took them for granted, it was an eye-opener, but after a few minutes I wasn't surprised.
Basically what we you descibed is the result of what I call a BLANK CHECK trade, BLANK CHECK activity. IOW, there is no end to the amount needed to achieve the desired Price Level. In a "what came first the chicken or egg" analogy, the Price Level desired is first given, the Blank Check assures it will be reached. There is No Risk involved since we're dealing with a gun that never ever can run out of ammo................................
ditto, topshelf, ever since aug 2004 it's been a different world
they pick there spots for xyz for whatever reason or strategy
that's our market, end of story
the fact u just noticed this makes me wonder where u been
It's true, it's all true, BUT, how is this different from any other time in market history. THE STOCK MARKET HAS ALWAYS BEEN RIGGED! From the beginning to present! Actually now, technology exists that it makes it easier to spot the manipulators. But it is nothing new or different. Those "IN THE KNOW" have always gotten rich off all of us suckers. The only way we could possibly compete being the "last man on the deal team...last to know" was to just buy randomly for 20 years and hope that the market is higher 20 years after you started buying.
I try to look at everything with an open mind. All of you who work out in corporate America think about it, there are people at your jobs that know things before they happen. They know who is going to get the promotion, who is going to get canned, etc. They don't tell you about it or advertise it...
I couldn't agree more. Nothing new IMO
Big4 long SPY and short NDX and most other assets.
They know the fix is in...
http://www.jubileeprosperity.com/
The market's volatility has been so violent lately....TY for the research. I will call this algo "Pan", as in, the market is "panning" gold. On purpose of course, as fort knoX and the US gold reserves will come to the rescue in 5 years when the debt is crippling the government and the Double Xrossed Doelarr, and gold is worth $10,000 an OZ.
I calc'd what we owe vs gold bullion in possession. Put gold at more like $50,000/oz. Hope we don't have any of that coated tungsten stuff...
Very interesting. I will admit my ignorance on this issue, so have a question. For the sake of argument, if this algo were trading on technicals or even a few fundamental metrics, could this same pattern not happen?
Cound this possibly be innocent or is this necessarily manipulation?
i believe this is necesary mnanipulation.. if this was not in place the markets would remain flat and or drop violently searching for orders.
There is absolutely no question the market is being manipulated. some seem to believe this doesn't matter but I beg to differ. To have a real functioning market, there must be trust and public participation. Clearly in todays market you have neither. Sure you have the 401K money - but the real retail investor has long since left this market. The market may have always been "Manipulated" - but there was a time when it was manipulated by people who leared the business, played with their own money, winner wins and loser finds another vocation. Today firms intercept orders and front run them, the FED NY has some 700 full time traders playing the markets with insider indormation on Tax payer money - they win they win - they lose the Tax Payer get hosed! Bottom line, this market is definately different than any other I am aware of in our history. The day will come when it will be bot against bot - let's see how that plays out when one decides to blink. The crash of 87 took days to play out -- the one that is coming will happen in hours if not minutes.
"...the FED NY has some 700 full time traders playing the markets..."
Where did you get this information?
I'm sure it's publically available and I'll feel dumb after you tell us, but I find this incredible.
Tell us more.
Thanx
700 full time traders? I guess it could be goldman sucks or JP morgan plus unknowns from CBs world wide.
Just a guess from all i have read.
I think you are spot on. the crash will happen in minutes and hours.. not days.. it will be violent and out of nowhere.
There will never be another crash. Sorry, guys and gals.
-Leo
The best books on paranoia are written by Thomas Pynchon.
+100 et Bingo to boot
The analogy is quite appropriate, and do you know what happens to the vehicle if it continues to be driven in this manner? It stops when the alternator fails. It stops right where it is and coast to the side of the roads--all the gauges go to zero and IT STOPS.
The best books on the subject of paranoia are written by Thomas Pynchon.
I took my marbles and went home a loooong time ago!
Fake bids and offers, massive order cancellations, strat's to trap newly initiated positions, running stops (the locals in the pits were infamous for this oh so long ago) etc... etc...its all the same game, get used to it...adapt to it. These kind of things have been going on for years in the indices (and elsewhere. Perhaps more so now that everything gone electronic, and capital in which to work with is so much bugger but manipulating the markets over short periods is an easy thing to do. But only under the right conditions and with enough capital. It's done/attempted frequently. The Government does this long term (ie. QE). I consider the behavior you describe as being on the simplistic side of the manip games. Be happy, if its consistent and you can spot it than it is actually a wonderful thing because now you have found a verifiable, repeatable pattern that can be taken advantage of to make money, lots of it. At least till the market yet again changes and the offending party turns the machine off or blows out.
Excellent observation.
I just have a question. How could 9999 shares SPY trade (including the later 60k shares) move the market? at 10:17:48, there were more than 700 miniES futures traded and arb trader can easily see ES got bid and then lift offers in SPY. 700 futures = 350k SPY shares. Even if there is manipulation, it should start from mini ES not the SPY
Looks like a Citadel statarb. I see them do this all day in Sweden where the counterparty is always disclosed. A nice way to profit from Tradestation users.
Please elaborate how Tradestation users can be taken advantage of as you mention above?
I just have a question. How could 9999 shares SPY trade (including the later 60k shares) move the market? at 10:17:48, there were more than 700 miniES futures traded and arb trader can easily see ES got bid and then lift offers in SPY. 700 futures = 350k SPY shares. Even if there is manipulation, it should start from mini ES not the SPY
There are so many errors in here:
> First a little background on why the SPY would be a good target for some undercover manipulation.
Because of the intense competitive interest in trading SPY in strat arb funds and the numerous ways to arbitrage it (cash market, other ETFs like IVV, options, futures) - it is a horrible target for any form of manipulation. I mean, it is I think far fetched that Tyler thinks it is being manipulated in the pre-market, but to think that at 10AM, someone is trying to manipulate SPY is INSANE! You buy or sell large blocks of SPY exactly because it can handle the volume *without* moving the market. You can make a very large directional bet without paying much above fair value. You can not however move SPY much away from fair value, because you will lose your shirt in the process to other market participants.
> This exchange is used because of its very nice rebate structure
You can't be lifting the market with 10K blocks of SPY and getting a rebate. The order book on SPY is incredibly deep and order anticipation programs are seeing blocks go buy and attempting to make a market in SPY to get the rebate. So, you can't keep buying and expect that there will not already be a standing order adding liquidity on the books that you'll have to take out.
If there was a single entity (as opposed to many) buying in the period in question, then that buyer was paying a liquidity removal fee to the ECN/Exchange, not getting a rebate.
> The S&P depository Trust buys and sells individual components of the S&P's based on movement within the index. Simple right?
Apparently not simple enough! State Street buys and sells the components of the index based only on creation and destruction of "creation units", which are 50K blocks of SPY. If you are an authorized participant and go to State Street with a block of 50K SPY, they'll give you some cash and the corresponding equities. Conversely, if you go to them with the equities and cash and ask, they'll convert them into shares of SPY. Beyond that, State Street does not buy and sell individual components - rather, they buy and sell the entire portfolio https://www.spdrs.com/site-content/csv/SPY_All_Holdings.csv
> The algo in question starts buying at 110.04 with one block of 9999 shares, followed by 60k more shares all bought in under two minutes
First, you are assuming somehow that all of the trades happening are from one buyer. Beyond the fact that is likely a very wrong assumption - the volume you are talking about is not terribly impressive.
SPY traded 173M shares today. Suppose 150M of that was during regular trading hours (overly conservative figure, it is probably a lot closer to the 173M) - then, 6,410 shares were traded on average per second today during normal trading. So, 60K shares in 2 minutes, even if you are only looking at INET (that's where I am guessing you are looking) is a spit in the ocean. On average over the entire course of the day, 769K shares should trade of SPY in a 2 minute window.
> Once the price gets "jumped" the algo just sits and waits till natural buyers and sellers are few and far between and it either dumps or takes in more
Well, I can't fault your analysis here as being outright wrong, since you are correct - the algorithm (or as I believe is the case, the multiple overlapping algorithms from multiple entities and individual traders that you erroneously believe to be all the same) do/does in fact either dump or take more. Very insightful observation! (yes, that was sarcasm).
> If there is a huge buyer day in and day out of the SPY whom has no interest in holding for a long period of time how would this affect the components?
A huge buyer who has no interest in holding for a long period of time is obviously (well, I would have hoped it was obvious) a huge seller of the same or a related asset at some not too distant future time period.
> The direct affect of SPY purchasing would cause the cash market(individual stocks, not futures) to trade in a much more liquid manner in whatever direction the purchaser is leaning.
Things are not so clear. SPY can sometimes lead the cash market, and sometimes it can lag. In either case, the time differentials are measured in micro-seconds or several ms.... and is not something you are going to be able to see with your off the shelf charts and tools.
While SPY's volume may seem impressive at ~170M today, the top 10 holdings (as measured as their weight in the SP500 index) of SPY traded over 240M shares today.... and that doesn't count the remaining 490 components!
So, yes - some of the time, SPY can lead the cash market, but more often than not, SPY is following the cash market - or being arbitraged against the futures market.
+1
More analysis of this crap
"The S&P depository Trust buys and sells individual components of the S&P's based on movement within the index."
On the contrary - the SPY buys and sells individual compenents of the SPX 4 times a year as part of a quarterly rebalancing schedule. Importantly, it's a result of changes in shares outstanding, not "movement within the index." Price changes don't result in rebalancing needs because the SPX is a market cap weighted index, so declining share prices automatically decrease the weight of a stock, and vice versa.
and as PeterPeter pointed out - everyone should understand that if you go and buy 100, 1k, or 1MM SPY, the SPY trust does NOT go out and buy stocks with your money. Your money goes to the seller of the SPY on the trade - not to the trust.
KidDynamite & peterpeter, with the best analyses of the specious argument laid out above. man, i love these two guys ~ can never get enough insight from. great show guys, thanks very much for sharing your pearls with.
I agree with this completely
In addition a close look at the figure reveals:
THE TIMES AND TRADES DON'T MATCH THE SUPPOSED MANIPULATION IN THE CHART!
Maybe I'm stupid, but that has got to be a REALLY good algo to manipulate the market by buying a couple thousand shares and making the market go up 10 or 15 minutes later.
thank you for taking your time to write such a detailed rebuttal. perhaps ZH could entice you to post more and help balance the ZH expertise besides just the credits markets.
+1 have to agree here. ZH is a great source of info and speculation - and it is even better when knowledgeable commenters post well-considered contrary responses. Many of us here are still learning, and appreciate hearing both sides of the story.
I greatly admire the hard work of Marla and the Durdens (and the guest posters), and I don't expect them to be perfect. After all, the goal should be the truth - or as much of it as can be seen by us mere mortals.
At the same time - although not collusion - when one shop figures certain things another shop does is 'good' - then algos, or policy, or whatever, will sync - and the same affect is accomplished. Look at oil prices as an example - oil companies know what's good for profits and even though they don't sit in a room and decide prices and maintenance schedules, the affects of these can be maximized with a wink and nod. At the simplest level look at gas station prices - they are mostly the same even though they don't collude. When JPM and GS buy millions of barrels of oil storage and are on the same side of the trade - you know their positions - what's good for one just happens to be good for the 'competition' yet now you have a multiplier for what you're trying to achieve. All the better. You can bet the trading shops' algos are in sync like the menstruation cycles of women at a year long yoga camp...
Also keep in mind SPY did just under $20bil in $vol traded today while the e-mini alone did over $100bil...there's no need to aggregate all the underlying stocks/options that are trading as well
SPY is a tiny fraction of all trading done on the SnP and a few 10k block is a drop in the bucket...
With all due respect, how can you actually bother responding to such a weak presentation ?
Why are blaming Tyler when he didn't write this piece. Shows how well you pay attention to detail. LOL
+1 agreed. Besides, if this jumping behaviour is so evident, just get on the right side of it.
I have been watching and trading the markets for many many years.
This market is no longer a 'market'. To see consumer confidence figures such as they were released yesterday have barely an effect on the market? In more 'normal' market conditions the dow should have been down at least 200, let alone a follow through the next day!
It is all about pattern prediction, especially now the spreadbet accounts are giving even basic traders pattern recognition tools.
The algos will love it and the bubble will persist even longer.
This is a rigged casino where the casino owner went bust but the punters were forced into giving them back the lost money, so they could continue to rip off the punters again and again.
Works until it don't.
'The best books on the subject of paranoia are written by Thomas Pynchon.'
We're all wearing tinfoil hats and shouldn't believe the evidence of our lying eyes, is that it?
nevertheless, it's quite blatantly a Potemkin market: a 70 percent robot market on some days, where a 10-year-old child could statistically catch the intraday and interweek correlations as the Fed's POMO injections get farmed out through GS and the big boys' HFT servers.
This was a great trade. Catch people short, wait for the volume to thin out and run it up. This happens in every market( works on the down side also). I just wish I was trading eminis today instead of gold.
I wondered why rules for shorting were such a priority. Keeps the algo from breaking down.
Peter you are dispelling the magic… the reality of a mirror buy 9,999 & 60k… to a mirror sale of the exact same size… which just happened to kick off a run and top it off to boot as well? Really? Do I look like and Eskimo buying ice Peter? Persuasive, Articulate and dare I say even somewhat engaging… You are, Peter.. but buying I am not.
The law of averages Peter are simply not on your side… you can skillfully… detract from the argument and without full disclosure, of course your argument holds water… but Peter?
"How often have I said to you that when you have eliminated the impossible, whatever remains, however improbable, must be the truth?”
There is no such thing as coincidences, Peter.
> Peter you are dispelling the magic… the reality of a mirror buy 9,999 & 60k… to a mirror sale of the exact same size… which just happened to kick off a run and top it off to boot as well?
Which trades are you adding up to get the matching set of buys and sells???
I'm assuming you mean that there are matching sets at the start accumulating and at the end disposing of shares - but my brief glance at the T&S data doesn't show an easy correlation.
The key is "jump start".. the algo puts the flywheel in motion.. it does not take down huge size, i knows where the natural volume lies. this is very very micro movements, that does trigger programs in the individual components. AND this volume is on ONE ECN, not the other 15 that are usually at the top of the book.
Uhh no, the bids BEFORE your 10K increased price BEFORE your "alogo" placed an order. Not only is that displayed in your T&S but also on your chart.
and there's no such thing as "natural" volume.
<sarcasm on> I am gald we have government agencies and regulators to protect the public from market manipulation<sarcasm off>
sorry, fat fingered the GLAD
"gald" (galled) works for me gimp!
Tyler, I assume this is related to your posts posts showing the tape as JP Morgan guns SPY. Wish I could find the link. On several occasions, you have shown Morgan move 100+ blocks of 5-10k shares per minute. I have wondered why you also show UBS's 8 million shares, which always precede Morgan's oders.
You did say there would be more to come on this issue.
For all the skeptics out here, here are three examples from today on the S&P futures (ES). The manipulation is done in both cash & futures markets as required to get the ball rolling. The manipulators are not for profit traders, & they trade in considerable size. Going against them requires deep pockets & a co-ordinated effort. Do you want to step in front of a freight train? Do you feel lucky today?
http://tinyurl.com/yloznz4
http://tinyurl.com/yjsw8vm
http://tinyurl.com/yzwxsdh
OK skeptics, submit your proof. I await your replys...
great points.. i like your style. The screen shots of your futures market ladder is great.. clearly the PPT has resting orders in the book, scaring people off the short bus..
LMAOOOOOOOOOO
order book it frequently 2K+ deep on BOTH sides of best bid
The book often looks like that, and when the market trades through the size disappears.
If you trade long enough you realize that the DOM is irrelevant.(Unless you want to fade it.) The only size that matters is that which prints...
Lionhead, with all due respect ~ 2xxx on a bid and you think that's PPT ?? that is nothing at all. sent note out yesterday (i believe) when there were 7 10,xxx flashes on 2 bids underneath w/in 3 full seconds, which, of course, was back to 2xxx by the 4th second, which is anything but out of the ordinary. and yes (if you were wondering,) it was a short set-up as we were simply coiling to drip lower and the fake flash was intended to spook tick-watching tape-readers, never to actually fill, hence 2 ticks off ... 1096 flat ding & min tgt met for this leg of AH.
won't even get started with the logical flaws in the argument presented. gun to head, it's right, but how "it's" explained / presented is, well, just not entirely accurate. SPY, really, SPY ? SPY is almost always .3 seconds lagged behind ES, cmon. SPY isn't the 'real' mkt.
I would think the best market to prey on would be the market that no one else was in? or vigilantly engaged with… ? with regard to sub second sniffers, triggers and / or layered response too… .3 seconds lag? That is an awful hard number… quoting you “gun to head, it's right, but how "it's" explained / presented is, well, just not entirely accurate.” I liked it… it works… and there you go!
Chopshop, thanks for your comments as well as from the other commenters. Your points are well taken. Now, since you are a contributor to ZH & appear to be most well versed on HFT techniques, perhaps you can document them as a presentation for all readers here. Everyone knows manipulation is going on, it changes subtly each day as required, so let's get the ES issue exposed so both futures & cash markets are covered. I'm sure you'll get many readers & responses...
Ho. Lee. Shit.
Even with the billions algo trading, the SPX has been flat since early November. Is this consolidation or topping pattern. Without the algo trading, this market would be much lower.
http://www.cnbc.com/id/32369139
http://www.huffingtonpost.com/2009/08/11/new-york-fed-goes-through_n_256282.html
Sorry - I mis stated the number - the number is apparently 400 at the end of 2009
"Give me a lever long enough and a fulcrum on which to place it, and I shall move the world."
This is absolutly true. We scalp ES Futs, and see the exact same action. The last 2 weeks it's been beyond obvious. The problem with trading it is, you just don't know when that Algo is going to kick in. When it doesn't you are standing there all alone, looking to get out quick, cause there isn't any other volume holding this market up. Interesting point is, its much more prelevent on the buy side, gee what a surprise?!
This post is pure fiction. You have a great imagination. Its almost as good as the guys in CTU on 24 when they talk tech stuff and they use tech sounding words in sentences that make absoluting no sense at all.
Interesting. But SPY volume numbers in the 100M+ on a daily basis in 6.5 trading hours or 390 minutes. That comes out to an average of roughly 250,000 shares per minute traded per minute on a day with a volume of 100M- which is very low. Typical volume is 150M-200M, on crazy sell off days it's 300M.
So 60k shares moving the price 50 cents? It will definitely move the price, but 50 cents sounds like a stretch. During the 30min of trading where the price is usually the most volatile volume peaks over 1M per minute and so it's understandable that the SPY price can move 50 cents. But 60k shares just doesn't sound enough to do the job.
Stimulated economies are like frogs in a high school biology
lab. They kick as long as the wires are attached, but they are just as dead after the
experiment is over
If I could find a way (searching) to trade with no commissions, I can beat the algo trading. I am a computer scientist, it's really a pretty easy trick. The algo is clearly illistrated in the post, and easy to dupe.
The hang for me is the commisions. Somebody find me a way for comm free trades and I'll do it. Been working on it for years. On paper, it works fine. Comms kill it.
Damn commisions......
you can get 2$ commish per 1000 shares if you want them and go 2 the right shop.BUT you gotta trade volume. im talking over 100k shares a day for a start. i can point you in the right direction... contact me here http://www.contactify.com/9798b
Forgive me my question, but wouldn't this work best if the buyer and seller were the same entity?
So what happens when someone starts the counter algo ? The one taking advatage of this ones behaivior i mean.
Market is our friend even when manipulated just turn of TV and telephone and watch the chart and follow .I never had so easy trades...
Every City Council, Church Uni even Kindergarten is in and everyone won’t to see this sh... going up. If we can't beat Goldman and privately owned printing press join and enjoy
Excellent post Tyler. I'm not sure if what I have been observing is an artifact of the exchange or not, but on observing the minute bars on the bats exchange, I have noticed that the periods where the tape pauses at key resistance or support levels, have an odd behavior. More often, than I can contribute to coincidence, the bar will behave normally until the last second. In this last second, the bar reacts violently up or down. I know if I were 'gaming' the system, with plenty of computer horsepower, right at the exchange, this is what I would do.
No one touched the bait so I will go on without the stimulus…
If house 1 is sell side… and house 2 is buy side… who can cause the LAG and too what benefit?
You can extrapolate the above to any market…
Now that you have a backbone that works in all instances… the result could vary based on the trade is handled… In house or out of house… sell within or sell without… but at the end of the day the thing that everyone here seems to have skipped over is that house rules will prevail in ALL instances of any trade handled by any of the House(s) in any market you choose to donate from…
http://www.darkpooltraders.com/vb/crossing-networks/134-rate-darkpool.html
http://74.125.47.132/search?q=cache:rH0-5DecXdwJ:https://www.spdrs.com/resources/distributions/index.seam+spdr+list&cd=4&hl=en&ct=clnk&gl=us
http://gset.gs.com/gset/notifications/disclosures.asp
http://www.jpmorgan.com/mdapi/08BSIL-EQ050_MD_intro.html
Now let’s assume that the more talented in the crowd are will to pay house fee’s (forgive the vernacular) to have direct(ish) (minus house fees of course) service agreements within .1 milliseconds of service… not .01… everyone understand the world of difference? Zero latency dream is just around the corner, so hang in there… you can make it… back to the point for give me… if you where JP / Goldman and the best and brightest struggled daily to out think the market place… a legion, if you will… of un-willing development partners… servicing the same entity that is paid to provide .1 millisecond services too…
If you understand you are paying a stupid tax… and you are willing to pay the stupid tax… then all is fair… the broad majority or the masses are unaware of the stupid tax and how it is levied against them, trade by fucking trade… and your great algos… or ideas are incorporated as deemed worthy by the same people you pay…
I hope that I explained this in a way palatable to most, it is my intent to help not harm.
I "get" it JW; thanks for your explanation. Apparently Chopshop doesn't want to reply, but you've addressed the issues he raised. Good trading!
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