"It's Not A Market, It's An HFT 'Crop Circle' Crime Scene" - Further Evidence Of Quote Stuffing Manipulation By HFT

Tyler Durden's picture

Recently we posted a required reading analysis by Nanex in which the market trading analytics firm presented irrefutable evidence of quote stuffing by HFT algorithms in tens of stocks, in which thousands of cancelled quotes would reappear each second with a definitive periodicity and regularity, around the time of the May 6 flash crash. Aside from the fact that it is illegal to indicate a quote without a trade intent, this form of quote stuffing is in fact manipulative when conducted by HFT repeaters in specific "shapes" as it actually moves the NBBO actively higher or lower, in cases pushing the bid/offer range up to 10% higher without even one trade ever having occurred, simply by masking a big block order which other algos interpret as bid interest and pull all offers progressively or step function higher (or vice versa, although we have rarely if ever seen the walking down of a stock over the past 18 months). It is as if the HFT lobby has been given the green light by the powers that be that it is safe to activate merely the bid-size quote stuffing algorithms, and not worry: the fact that the market is so one sided in its quote stuffing patterns is sufficient reason to worry of a concerted effort to push stocks higher, initiated from the very top, and effected by not only the Primary Dealer community but by the end-market "liquidity providers." Today, courtesy of Nanex we demonstrate that this type of illegal stock manipulation continues rampant to this very day, and the SEC still fails to acknowledge that it is precisely the HFT market participants that persist in destabilizing stock prices, which have given up responding to fundamentals and merely move up or down based on quote stuffing interventions by those who plead innocence and claim to only be providing liquidity. Well take a look at the millions in fake, and thus illegal, bids demonstrated below and tell us just how any of this manipulation is "providing liquidity" - the second the patterns break, the algos responsible for the churn pattern disappear, thus eliminating numerous levels of so called bid liquidity below the NBBO: break enough patterns and you have another flash crash as the market once again goes bidless.

So while the SEC continues to pander merely to the interests of the market manipulation lobby, and is now doing it in more style than ever by refusing to answer to FOIA requests going forward, here is Nanex with yet more evidence that we no longer have a market, but merely a daily recurring crime scene.

In our original Flash Crash
Analysis report
, we dedicated a section to an observed phenomena we termed
", in which bursts of quotes (at very high rates) with
extremely unusual characteristics were observed.

As we continue to monitor the markets for evidence of Quote Stuffing and
Strange Sequences (Crop Circles), we find that there are dozens if not
hundreds of examples to choose from on any given day. As such, this page will
be updated often with charts demonstrating this activity.

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 here, for your viewing pleasure, are the illegal market manipulative churn patterns conducted exclusively by various HFT algos:

BATS "Flag Repeater". 15,000 quotes in 11 seconds, dropping the ASK
price 1 penny each quote from $9.36 to $8.58 and back up again.

"The Crown". While not a large number of quotes, this NASDAQ/BATS
Bidsize sequence was just too unusual to bypass.

BATS "Batsicles". BATS price cycling through a large price range,
each intermittent with a stub quote, drop it down and start over.

NASDAQ "Blotter". One of the more unusual repeating Asksize

BATS "Stubby Triangles". Drop the quote from a valid price to 0.001
and then back up to a lower price level. When the new price level hits 0.001 as
well, do it all over again at approx. 380 times a second.

NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid
price/size in 3 increments and effecting the Best Bid along the way.

BATS "Periscopes". 8000 quotes in 3 seconds, alternating the bid
price each quote. Pop the size up 1 every second or so.

NASDAQ "Double Dip". Symbol SH. 10,000 Quotes in 4 seconds, each
affecting the Best Bid.

NASDAQ "Racing Stripe". Symbol WYNN. 2000 Quotes in one second, each
affecting the Best Ask.

PACIFIC "Puzzle Pieces". Symbol IIC.

NASDAQ "Blue Bandsaw". Symbol SHG. (760 quotes in 1 second, taken
from a total sampling of 10,000 quotes in 12 seconds)

BATS "60-Step". Symbol SAH. Take sixty steps up (a penny at a time)
and one step down (0.60), reset and do it all over again (at approx. 700 times
per second).

NASDAQ "Ask Mountain". Symbol IAU. Over 56,000 quotes in 10 seconds,
all with same Ask Price and the Ask Size increasing or decreasing by 1 (to
almost 40,000!

h/t Dan

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Village Idiot's picture

Anger within the ranks of the UMC. I'm seeing it every day.  Refreshing.

DoChenRollingBearing's picture

VI, THIS member of the UMC is pissed too.  I do not work for the Oligarchy because I don't (for the most part) work.  What work I do is for our own little Peruvian bearing company.

Like all of you above, what more do the Regulators need to see to get their d**n investigations going?

They have to be in on it, as someone above suggested.  They know it's going to crash and get very ugly.  And then we line the whole lot of 'em up: politicians, HFTs, "Regulators", banksters and throw them into Katla.  Trial could take place in Reykyevik (sp?), would merely take an afternoon to prove them ALL guilty, put them into a fleet of dump trucks, and into the volcano they go.  On the other hand, that lot might not be tasty, Katla might blow up after feeding her THAT garbage.

Yeah, burns my butt too.  THERE is the evidence (great work Tyler), now let's get 'em.

PatsPal's picture

We shout and scream in anger and nothing changes. What we need is action. We need to unit together against the banksters. Do you think they will hear us if millions of us on a single day marched into our banks and closed every account we have withdrawing all of our money?  If we can organize that movement which is completely legal it would shut them down in a single day. Lets get it going.

rapunzel's picture

just do it.

i did it.

bank of rapunzel Ω

Village Idiot's picture


"We shout and scream in anger and nothing changes. What we need is action"


lets keep it rolling.

Number 156's picture

Its obviously a free for all, considering these algos are throwing thousands upon thousands of quottes per second.

The next trading I am more interested in doing is bartering.

The sudden stop is comming.


Calculated_Risk's picture

 Well apparently all these "laws" aren't really "laws" after all. 





Welcome to Arizona...

DaveyJones's picture

Even the folks who handle the crime scene are a crime scene. Signs of collapse

merehuman's picture

Bps crime scene in the gulf. And they are still in charge, 2 million gallons of poison to prove it. Now folks are showing up with internal bleeding. Meanwhile i keep seeing major blowouts on the seafloor last few days.


But folks arent being warned and few know of the oilrain killing plants and how birds and bugs are reported as scarce to none.

If we had a government of the people they would be warning us instead of hiding reality. This is government by criminals, financial pirates.

scatterbrains's picture

Could they be adding fluff to the pricing in order to sell calls and crush everyone just before option expirey ? fluff and crush, rinse repeat

russki standart's picture

Popo, No one will go to jail. The system is corrupted beyond hope, the regulators are captured and will not go against their future HFT employers. As in any fascist society, the small to save (about 99% of americans) and the weak will be hammered, bullied and threatened into submission.  We will be fined, jailed, subjected to oppressive taxation whilst the  banksters will buy their way out of trouble; for the recalcitrant few politicians who cannot be bought or blackmailed,  they can always be suicided. Our only hope is to overthrow these bastards before we become completely enslaved.




hedgeless_horseman's picture

Mark 12:17 (2010 translation)

Then Jesus said to them, "Give to Blankfein what is Blankfein's and to God what is God's." And they were amazed at him.

freshman's picture

Luke 21:20

But when you see _<fill the blank>_ surrounded by armies, then know that its desolation has come near.


plocequ1's picture

So what do you recommend , Go long, Go short or get the fuck out of the market?

Bendromeda Strain's picture

#3 - this market is a haunt for vipers, demons and professionals (yes you need a scorecard to differentiate). Unless you are a wunderkind chartist of Johnny Bravo caliber, I suggest you act defensively as the scheme will ultimately unravel and devolve to B9K9's last resort...

MarketTruth's picture

Agree, get the fuck out of the market now!

wyosteven's picture

Nonsense, Skynet is not self-aware.

What you do is put your big-girl panties back on and stop trading and start investing.  Given the widespread (and only increasing) use of HFT your horizon may have to increase from seconds to months.

Oh, the last catch is to invest in companies making money, not lies and profits based off the giant government mammary gland in the sky.

Good luck traders, this is the writing on the wall for most. 

outamyeffinway's picture

If you can't touch it, don't own it. Why play their game and be an enabler? Still trying to get rich? That's the mentality that's destroying the moral fabric of the world. Everyone wants to be rich I won't lie (unless your a monk), but one must draw a line.

edit: Upon reflection, most people I know don't want to be rich, they want to be left the fuck alone and being rich allows for that.

scratch_and_sniff's picture

"most people I know don't want to be rich, they want to be left the fuck alone and being rich allows for that."


I second that motion. I really do. The only reason i am in this game is to get out of it.

Bartanist's picture

That is not the ruling class philosophy. They want to be the popular kids and will sell their soul to feel that their worthless lives are actually good lives ... they need constant reinforcement.

Village Idiot's picture

"most people I know don't want to be rich, they want to be left the fuck alone and being rich allows for that."


I second that motion. I really do. The only reason i am in this game is to get out of it.


Beat me to it.

i.knoknot's picture


your statement has been made in many different ways in here, but seldom as well.

it's my litmus test on new laws and ideologies:

 "will your 'proposal' allow me more distance from the 'system', or force me closer to it?"



Cathartes Aura's picture

++ many awareness points to be divided with y'all above.

"will your 'proposal' allow me more distance for the 'system,' or force me closer to it?"

that's my litmus.  "are you gathering yet more information about me, to be used against me?  yes? then GTFO"

Battleaxe's picture

They use every $1 that is invested/deposited and apply their 10-100 times leverage and use it to game the markets. So if you put 10k into a position, they have 100k-1M new money to play with. Go short short short! There are signs of desperation in their market manipulations. Arch Crawford is right. There is going to be a big dump in the market in the next week or two. Go SHORT.

B9K9's picture

You rang? The reason there's so much vitriol & pure emotional reaction resulting from these revelations is due to the vast majority of people failing to realize that the last resort was executed long ago. OK boys & girls, I'm going to say it once again, very slowly this time - please repeat after me:

The USA is a fascist oligarchy which utilizes military power to control critical strategic resources that supports a fiat money system used to manage a global empire.

This system (aka the "MIC") was placed in service @ the end of WWII. Since that time, we have always lived in a managed war-time economy. It only appeared to function as a free-market system that followed basic rules of law as a mere convenience. That's because it was easier to control the herd than to admit the underlying Constitutional system had been upturned.

Btw, this isn't some deep seated secret conspiracy either. Millions (10s of millions?) of people have, and continue to, benefited from this arrangement with perfect awareness. I had a great UMC upbringing and knew it the entire time. The father (a wealthy MD) of my first girl-friend was perfectly frank in declaring we needed another war after Viet Nam to get the economy going. This is how people thought & still think in intelligent circles.

Now that the power-elite are faced with the most critical challenge to their control & power, the trappings that were merely for show are being ripped away. After all, maintaining an illusion of this scale is a luxury they just cannot afford during this kind of emergency.

So now everyone (that is, the clueless) are waking up and are shocked, shocked I tell you! Denninger would have to be among the most pathetic. His constant braying about the law would be funny if it wasn't so sad.

Let me summarize how this is going to play out: the power-elite are either going to pull off blowing another bubble, or they aren't. If they do, this outrage will quickly be forgotten as everyone makes a mad dash to catch the gravy train. If they don't, then we're either going to have a military coup or (series of) secession.

Either way, the USA as we have experienced it during our entire lives is done, kaput, all pau.

RichardP's picture

... we're either going to have a military coup or (series of) secession.

Will Arizona be the first one out?


Bendromeda Strain's picture

Rickards actually mentioned AZ and the threat to the Central Power command in his latest KWN interview. The cure for complexity bloat is simplification and decentralization, either embraced or imposed. Think locally, act locally.

NOTaREALmerican's picture

Yes,  but the myth isn't dead in the peasants yet.

I think TPTB can still use the natural peasant fear of "those people" too keep them in line for many decades.    And, with enough eagles and flags (in slow motion) the dumbasses will still think they are REAL Mericans.  

Look out, "they" are gonna git yer daughter!  "They" are right behind ya.   Only a powerful Merica can save you now.   "Those people" are using your "rights" to git yer daughter.  Give us those rights and we'll protect you!  

Works every time.   Same clowns, different circus.  

MeTarzanUjane's picture

Funny to see that you have such a black and white perspective. Reality may be in the gray areas.

What happens if a semi-bubble is blown up taking 10 years to do so? How much ad revenue will bilda-bear websites earn during this period? And while we're talking about periods....

Just thinkin out loud, dawg.

Blankman's picture

Here is some interesting reading as to how they did it:



I would love to hear hear from some lawyers confirming the above 

Debtless's picture

So, don't play a rigged casino.

Invest in baseball cards or Star Trek chit.

masterdjm's picture


ShankyS's picture

They have figured out how to salvage the recources of the PPT via HFT, and you can throw in the illegal rumormill of speculated M&A and other various "news" driven moves that are no more than market pump at our expense.

outamyeffinway's picture

EXCELLENT! Now they can surf porn too and the job will still get done! Life is good. Really good.

VK's picture

Look at the pretty pictures... Do algos do 3D?

thesapein's picture

I was thinking more like musical notes. Such beautiful scores.

These markets not only fly, they sing, as well.

Hey, look, that server is putting out a mating call! 

Sunshine Down the Road's picture

If you can't beat them... join them?  What if everyone got into the HFT game?

Bendromeda Strain's picture

Not everyone can get into the colocation game, so just how fast do you think you can be? Faster than the next guy? It would be a painful lesson to find out that your hardware/software investment was in vain - but thanks for supporting the economy there Mr. Quixote!

RockyRacoon's picture

I think I've seen this movie before.   When the market has another "flash crash" and cannot recover, there will be incredulous statements from the SEC, "We could not have seen THAT coming!".   Right, like nobody saw the housing market crash.  Uh-huh.  Now is the time for action, not later with deniability.  Wonder how much money can be driven to bonds with a really scary market crash?  What we see in the charts above are the trial runs and tests to see which of the systems will create the most/least damage while maintaining some semblance of control. 

New_Meat's picture

Rocky, I like your thinking.  We do the same thing, put in 1% step and characterize the system and control system response.  I'd bet these folks are assuming linear time-invariant response (remember, they assume Gaussian distributions in B-S and other "predictive" equations).

So does the system function stay the same?  I doubt it for big moves and for moves more than say a month out.

- Ned

RockyRacoon's picture

It might turn out like the early experiments in making meth, it works until it blows the shed all to hell.   These guys are playing in real markets.  Imagine what mayhem they are doing in closed-system synthetic market models.  What appears like the graphs above are what escapes from the lab!

DaveyJones's picture

Meth is a good analogy including those burglaries to steal chemicals for the big jobs

New_Meat's picture

I'd say that these are early experiments as well.  And the small-signal nature is the meth pot cooking along, until something goes exothermic and the "reaction" gets out of the previously controllable condition.  I've been thinking the flash-crash was something like that.  Not sure that these are escapees, maybe .spx price on millisecond or microsecond scale is the escapee.

- Ned

(p.s.--there was a time when I could use the word "ergodic" correctly in an English sentence; alas, no more).

RockyRacoon's picture

Hey, Meat!  You sound like you know way too much about cookin' meth.