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"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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Sun, 08/01/2010 - 00:45 | 498364 i.knoknot
i.knoknot's picture

"Oooh look, you found a kernel of corn!"

i love this place.

to hell with subtle, and/or apologies... just do it mm. just do it.

Sat, 07/31/2010 - 12:06 | 497805 Village Idiot
Village Idiot's picture

"You can't begin to hold people accountable without a record of trying."


get it in writing!


Sat, 07/31/2010 - 07:34 | 497602 megatoxic
megatoxic's picture


The bankers and politicians have a choice:

Jail now or revolution later. 


Sat, 07/31/2010 - 14:24 | 497943 Ahmeexnal
Ahmeexnal's picture


They will probably take Tony Gayward's path to impunity

You fools!  Do you actually think he's being punished by being sent to Russia?


He's walking away and announcing it in broad daylight...


He should be wearing a tracking device around his neck and not be allowed

to leave Louisiana!


Sat, 07/31/2010 - 07:37 | 497603 megatoxic
megatoxic's picture

Could a state AG take this on?


Sat, 07/31/2010 - 07:39 | 497606 papaswamp
papaswamp's picture

They won't. They will nab a few high profile ponzi schemes and say look what a great job we did. Their 401ks and pensions are handled by the algo's....they won't touch their cash cow.

Sat, 07/31/2010 - 09:20 | 497665 breezer1
breezer1's picture

bernie madoff , or a lookalike was seen leaving a mcdonalds in costa rica a couple of days ago.

Sat, 07/31/2010 - 07:40 | 497607 Chartist
Chartist's picture

I have seen this through level 2 quotes....A 48K share bid shows up then as soon as the stock moves up, it's gone.....If the stock starts to drop down, the 48K bid size shows up again...

Sat, 07/31/2010 - 07:49 | 497609 megatoxic
megatoxic's picture

Here's something else I don't understand: why can't the computers on the sell side match the speed of the HFT computers?

All it would take is a few of those stuffed bids getting filled to put some of these fuckers out of business.

You want to buy 100,000 shares of AIG at $100?  Really.  Good--because your fucking sham bid was executed, and you own them now, motherfucker.  Choke on it!

Sat, 07/31/2010 - 08:34 | 497638 Popo
Popo's picture



Very good question...

Sat, 07/31/2010 - 11:11 | 497748 Number 156
Number 156's picture

No, thats when the reset button is hit, the transaction gets cancelled, NYSE puts out a bulletin that trading is temporarily halted, and the feds and SEC go out and forcibly remove your computers, and nobody will find out about it because the FOI act will not be applied to the SEC. 


Sat, 07/31/2010 - 11:39 | 497775 ZeroPower
ZeroPower's picture

Bid would never get hit.

Im familiar with ARCA where the average raw response time is around 0.6-0.7ms. Add on the latency and whatever queuing is there, prob end up being around <2ms. Thus any decent ECN should be 2-3ms total.

Get a colo in with some racks, gigabit close to the center, youll be good at that quoted time.    

Retail will most likely be .3-.5seconds.

Seeing as how computers are thousands of times faster than humans, the only reasonable solution is to have HFTs battle it out themselves.

Sun, 08/01/2010 - 00:47 | 498365 i.knoknot
i.knoknot's picture


retail with a 'live' ajax or flash-based web-interface- what, 2 seconds?

better not be counting the pennies on those shares...

Sat, 07/31/2010 - 09:38 | 497682 breezer1
breezer1's picture

national security would not allow it.

Sat, 07/31/2010 - 10:01 | 497702 Bendromeda Strain
Bendromeda Strain's picture

Fat finger unwind...

Sat, 07/31/2010 - 11:37 | 497774 freshman
freshman's picture

Knowing your 100,000 shares of AIG will be worth $200 a share with a couple weeks of pumping, why would you sell it at $100 today?

Sat, 07/31/2010 - 07:59 | 497612 hooligan2009
hooligan2009's picture

As with my post on the "flash crash" that said that circuit breakers ar eneed to suspend orders when the next quote is a gap of a number (like 10%), the answer to this HFT issue lies in the compulsory minimum duration of a bid. Five minutes seems to long, but to even the playing field for those who can't trade in nano seconds, bids and offers should be forced to be left for around one minute, allowing them to to be filled by the majority of interested market watchers and not just machines.

Sat, 07/31/2010 - 08:01 | 497615 hooligan2009
hooligan2009's picture

excellent invstigative bloggalism by the way :)

Sat, 07/31/2010 - 08:50 | 497647 Hansel
Hansel's picture

I agree there needs to be a minimum bid duration, and also a minimum stock holding duration of at least 1 minute.

Sat, 07/31/2010 - 10:02 | 497703 megatoxic
megatoxic's picture

Yes--either that or the sell side computers need to be at least as fast as the "bid" side (HFT) computers.

Sat, 07/31/2010 - 11:49 | 497785 ZeroPower
ZeroPower's picture

@hooligan, hansel

5mins? 1min? 

Ill try and be as objective as possible here... just so its clear, your argument is to have bids set that can't be cancelled for x amount of time.

There is no way in hell you could make a valid case for 1 min, 5min bids. Not even 10second bids.

Lets take the retail example of you entering a limit order for a stock that trades around $5 and you want to buy it at 4.90. Stock hovers around 4.9x and tries desperately to break 5. You dont get filled at 4.9 but youre at the top of the book on the 4.9 offer. Tries again at 5, and fails hard. All technicians see this as a failed breakout, and sellers step in. This is all happens within 2 minutes. Your 5min bid however is still valid for a while, and you inevitably get filled while it keeps dropping.

Now youre bagholder of a POS stock thats on its way to 4.xx and you didnt really want to get filled.

Also, books would be so cluttered level2 would have no meaning, this would increase latency with hundreds of TB of unnecessary packets further making high speed trading meaningless. And i dont mean HFT, but even retail 1second execution promises from brokers.

If you can make a case for 1minute bids other than i have, please do.

Sat, 07/31/2010 - 16:03 | 498075 Ardent Spirits
Ardent Spirits's picture

How about 1/10 of a second or 1/100 of a second? I think slowing things down outside the range that HFT is designed for would work.

Sat, 07/31/2010 - 16:35 | 498098 ZeroPower
ZeroPower's picture

In theory, yes we could have something there. Since HFT is measured in 1/1000s and anything over 10ms is considered 'slow', i suppose making a base where nothing can be faster than 1/100 would put a 'speed limit' on flashes and cancels from the time of origination.

Now the discussion lies in, how does one enforce this speed limit? We could say exchanges are bound by the SEC and CFTC to ensure nothing nothing is faster than x limit. But we all know how well enforced anything coming from the gov is. So that rules it out.

But, for argument, say said limit is imposed anyway. Riskless arbitrage opportunity would arise for the fastest trader (still staying within the confines and as class as possible to this 10 or 100ms limit. Eg: every time the /ES ticks up, which is in real time, one could potentially short that through the algo while lifting the offer on the SPY in anticipation of the tick higher. All of this done in less than a second, but within the time constraint. Since the MMs will notice the inefficiency, spreads would potentially widen to make out for the discrepancy existing in the marketplace.

Sat, 07/31/2010 - 16:49 | 498109 Ardent Spirits
Ardent Spirits's picture

Even with these new opportunities for manipulation could there be any net benefit to the market from a 'speed limit' of whatever defined duration? Care to venture an opinion on where the 'sweet spot' might be?

Sat, 07/31/2010 - 22:39 | 498304 ZeroPower
ZeroPower's picture

Im sure a programmer could give a better answer but from my point of view, any benefit would be either 1) short-lived or 2) very limited as to who enjoys the benefit (exactly as it is now with HFTs each competing to be better than the next).

Not everyone would have access to trade at speed limit levels - i suppose the greatest benefits would be (as usual) to the insiders and the big money. I suppose the sweet spot would exist in a market inefficiency which would, again, be short-lived (like the LTCM arbs, subprime bets - when people started piling into this is when they both collapsed) and only beneficial to a select few.

Sun, 08/01/2010 - 08:06 | 498429 Ardent Spirits
Ardent Spirits's picture

The effort is worth it even as a theoretical discussion. Is the market going to slide into a feeding frenzy of well heeled insider banks? That is liable to have a bad outcome. Reform & taming the new technology needs to be done for the good of the country. This is an example of law needing to be steered by technological experts. There are many other examples outside of finance; oil drilling, frankenfood, the Internet just to name a few.

Sat, 07/31/2010 - 17:22 | 498135 Ardent Spirits
Ardent Spirits's picture

You know I had a thought about enforcing a 'speed limit'. What you would need is a faster computer than they have, right. No problemo, the military has computers like you wouldn't believe & like it or not this is a national security issue. Install one of their more obsolete supercomputers to run interference, program it to be the cop on the beat & presto the 'speed limit' is enforced. Have truly draconian laws about trying to get a faster computer than the 'cop on the beat' computer (easy to detect an attempt & where they live) & no more HFT trading.

Sat, 07/31/2010 - 16:07 | 498080 New_Meat
New_Meat's picture

0Power: Can they track trade origin of trade and cancellations?  Then build stats on who is running the fraud.  You know, like they run stats on naked shorts. </snark>

- Ned

Sat, 07/31/2010 - 16:42 | 498103 ZeroPower
ZeroPower's picture

Yes take a look into NASDAQ TRF (not just nasdaq-listed). I just dont see anyone building a new database of every single order sent/cancelled/hit to the exchange, unless it would be a government-required exchange-wide process which encompasses every single item the agency asks them for.

Quick reminder on naked shorting from the SEC: "Naked short selling is not necessarily a violation of the federal securities laws or the Commission's rules. Indeed, in certain circumstances, naked short selling contributes to market liquidity."

Sat, 07/31/2010 - 17:27 | 498141 Ardent Spirits
Ardent Spirits's picture

That is truly sick. SHORT SELLING has a place. Naked short selling is obvious fraud. I would at least expect SEC to whimper a bit. Should have been outlawed long ago.

Sat, 07/31/2010 - 18:35 | 498183 New_Meat
New_Meat's picture

sorry, I had to go to the loo...

but I'm back now, with dry eyes and ..

"Naked short selling is not necessarily a violation of the federal securities laws or the Commission's rules. Indeed, in certain circumstances, naked short selling contributes to market liquidity."

Indeed, fraud is OK in certain circumsatances.  Got it.

Dontch'a know.

- Ned




Sat, 07/31/2010 - 20:24 | 498184 New_Meat
New_Meat's picture

sorry, dp in the loo.

- Ned




Sat, 07/31/2010 - 08:00 | 497614's picture

There's manipulation and then there's this which falls into a new category of criminality. The SEC and the exchanges really don't have a clue.

My compliments to this investigative piece. I hope this gets disseminated far and wide.

Sat, 07/31/2010 - 08:02 | 497616 Muscletonian
Muscletonian's picture

I dont think the HF boys are running PPTs erands, its just the screwed up factor that playing the market predominatly upwards they will never be stopped out. I.e when there has been freefalls in SP and NQ CME has removed the bottom 6 points on a number of occations, thus leaving these guys long shares but no hedge in the futures. Have you ever heard that they have cancelled trades in a short squeeze, nah, thought so. I also think a lot of HF algos got utterly fucked 6th of May, the elasticity in DAX and Eurostoxx has drasticlly gone down in European evening trading, from earlier showing 1.+ something Beta correlation on the SP its now way down. Dont have any data but I would assume the volume has decreased a lot since beginning of may during European night shift.


They just prefer playing the upside as its much safer for them, how many hearings didnt these guys had to go to after the flash crash? A 400 point short squeeze they will be padded on the back instead. I'm sure they could orchester a flash crash scenario every week if they wanted, but that would be illegal in the authorities eyes as well as it questions Benrons system.


But they will be screwed over again, dont think they have been able to computerize black swan scenarios in the algos. Also the immense competion will squeeze down there margins abruptly and when all retail suckers are gone there is nothing left to share.

Sat, 07/31/2010 - 08:11 | 497622 Downtoolong
Downtoolong's picture

When I was an OTC wholesale energy broker way back in 1999 we called it cuffing a bid or offer. It was a fairly rare practice due to the risk of possibly getting done and then having to find someone quickly to take the other side (we were true brokers, not traders).


Now the whole practice seems to have gone mainstream at the speed of light. And the perps wonder why volatility went up instead of down? Go figure.


I wonder how many small investors and 401k participants realize that, thanks to these behind-the-curtain changes in market structure, their game has gone from something like hopscotch to something like the obstacle course on the hit show Wipeout. I wonder how many of their fund managers, brokers, and financial advisors have told them about it.

“Come on, take charge of your financial future, you can do it. Pay no attention to what’s going on in the backfield. Just keep your eyes on the cheerleaders and the scoreboard. Give me a T, R, A, D, E, what’s that spell….what’s that spell…..what’s that spell.”    


P.S. I'm glad ZH only requires an understanding of basic math to post instead of these algos.

Sat, 07/31/2010 - 23:07 | 498322 Village Idiot
Village Idiot's picture

" I wonder how many small investors and 401k participants realize that, thanks to these behind-the-curtain changes in market structure, their game has gone from something like hopscotch to something like the obstacle course on the hit show Wipeout. I wonder how many of their fund managers, brokers, and financial advisors have told them about it."


Oh, that is rich. (my first snark)

Sat, 07/31/2010 - 08:14 | 497625 Implicit simplicit
Implicit simplicit's picture

My God, even HFTs have become addicted to crack and crystal meth. They are all over the place with these patterns.

 We can only counteract this hyperactive frenzy with large doses of ritalin and percodans, which will allow everyone to do nothing and defeat the beast that thrives on players playing.

 Even 20-30 percent carbon players allow game on. Perhaps getting it down to 10% and they'll tear each other apart for HFT crash 2- the sequel.

Sat, 07/31/2010 - 12:56 | 497848 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

 even HFTs have become addicted to crack and crystal meth

..and obsessive-compulsive disorder is a helluva drug...

Sat, 07/31/2010 - 08:26 | 497630 Itsalie
Itsalie's picture

On the overnight /ES, especially around 1am New York time when the action slows down, you see really weird action, huge orders that jump about at different prices. On days when you get the upward creep as in 2009, you see more sell orders than buy in volume terms, sometimes 4 times more volume on sell side, yet the /ES keeps creeping up. After watching this for over a year, I am quite convinced these algos work quite well in pushing prices in their "intended" direction. Denninger's recent post is way behind time, it has been happening over 12 months at least.

Sat, 07/31/2010 - 08:41 | 497640 ShankyS
ShankyS's picture

You can also note the position of the Minis 30m MACD coming into the opening. They tend to cycle it to a low bull cross at or near the open thus providing an oversold momo builder to get the day off to a good start. Call it morning market caffeine.

Sat, 07/31/2010 - 08:47 | 497643 Mercury
Mercury's picture
"It's Not A Market, It's An HFT 'Crop Circle' Crime Scene"

Man, that's so funny and so perfect. I almost choked to death on my coffee.  What a way to wake up (yeah I know, I need to get a's practically August here...)

Seriously, I've been waiting for someone to do something graphically with this data although I was thinking more along the lines of the Mandelbrot set (lots of numbers, cycles, repetitions) than crop circles. This is pretty amazing though; ghost in the machine indeed.  Despite the mandate for stealth I'd be surprised if some HFT programer hasn't tried to paint recognizable or signature silhouettes with an algo's bid/offer patterns.  At some level all guys like to piss their name in the snow.

Sat, 07/31/2010 - 23:10 | 498324 Village Idiot
Village Idiot's picture

"At some level all guys like to piss their name in the snow."



Sat, 07/31/2010 - 08:47 | 497644 Everyman
Everyman's picture

It this is really occurring, and the charts do indicate that it is, the it is time for a real honest to God "Project Mayhem".

This is the same type of market manipulation that occurred at Enron with the California power problem.

They need their houses literally "burned down".


Hello SEC???  If the SEC is not going to take care of the problem does it now fall to our shoulders?

Sat, 07/31/2010 - 09:13 | 497658 Mercury
Mercury's picture

Yeah although Enron (I'm talking only in regards to the Cal. electricity market here) was mostly gaming the stupid and unrealistic rules the government set up  - which makes it harder for me to be outraged by it.

To the extent that this kind of HFT craziness is legal a similar situation exists here (although I am outraged by the SEC).  The current state of market structure makes this kind of thing inevitable and clearly it needs to be totally revamped. At least some of it is the unintended consequence of a decades long regulatory push for cheaper and faster everything all the time which means the solution probably lies in forcing slowness and simplicity.

Sat, 07/31/2010 - 09:42 | 497688 breezer1
breezer1's picture

didn't the building housing all the enron documents fall down on 9/11? oops, should watch what i say.

Sat, 07/31/2010 - 08:48 | 497645 doomandbloom
doomandbloom's picture

checked the Nanex company profile...the 3 people listed there do not seem to have a PhD...can i trust this analysis?

Sat, 07/31/2010 - 11:49 | 497786 greased up deaf guy
greased up deaf guy's picture

absolutely not. only trust those who have PhDs from harvard or princeton.

Sat, 07/31/2010 - 08:53 | 497649 doublethink
doublethink's picture

Fascinating! No wonder I can't begin to count Elliott Waves.

I am wondering, because there is obvious collusion between the government and the country's TBTF banks, whether there is actually an issue of national defense at work here. Suppose that hackers in Russia or China have developed their own versions of HFT and are applying them in US capital markets in order to wreak chaos in the US. Would it then be "self defense" to prevent precipitous drops like Fat Finger Day? Small investors and retail traders would be nothing but spectators in this capital markets battlefield.

New topic of study for me: chart patterns of HFT algos.

Sat, 07/31/2010 - 09:31 | 497672 GoldmanSux
GoldmanSux's picture

At some point they will claim this is done in the interests of national security. It is simply naive to believe these systems are not programed with a bias to the direction you want the market to move in. Programers are the new investment geniuses. I can't believe the mutual fund and pension fund industry is not up in arms about this. Rest assured that steps immediate agressive steps would be taken against the Russians and Chinese, but only when they start doing it for profit and reducing the profits of the Goldmans, Citadels, et al.

Sat, 07/31/2010 - 08:55 | 497650 Troy Ounce
Troy Ounce's picture

is this shit only going on the US or also on other exchanges like in Europe??


Sat, 07/31/2010 - 09:31 | 497671 Muscletonian
Muscletonian's picture

Its the same where ever the spreads are tight enough, take Stockholm for exemple, Citadell is the 7th biggest member on the NasdaqOMX and the only do HFT.


Ericsson used to be one of the most liquid shares in the world with 5-15 million shares on the bid ask at this time the spread was .10 was trading around 30 sek then the HFT guys couldnt move or spoof the market with their orders. Now when the spread is minimalized, requested by the big London banks the liquidity has deteriorated, although the reason was to create more liquidity.



Sat, 07/31/2010 - 09:44 | 497693 breezer1
breezer1's picture

why not. they do it with the gold markets.

Sat, 07/31/2010 - 13:04 | 497856 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

Spirograph-Jr. for MARKETS.  Get yours today!

Sat, 07/31/2010 - 08:56 | 497651 panelvan76
panelvan76's picture

Pardon me if this is a dumb question... how far back does HFT go?  How has trading behavior been affected/changed since its introduction?

Sat, 07/31/2010 - 11:57 | 497796 ZeroPower
ZeroPower's picture

HFT started with HFs becoming quant shops. RenTec, Citadel, AQR. Most were spinoffs from a large IB where the MDs had enough of working for someone and wanted to take on even more risk and leverage without reporting to the risk manager/CFO.

The Ivy Leagues with their financial engineering programs were where the quants were education (MIT, Wharton).

As for dates, before computers became as powerful/mainstream it was hard to justify such a purchase of hardware for stocks, but around the 80s Wall Street relied more and more on computing power instead of human capital.

Sun, 08/01/2010 - 00:50 | 498366 i.knoknot
i.knoknot's picture


you mean how long has true/honest price discovery been null and void?


Sat, 07/31/2010 - 08:57 | 497652 MightyZum
MightyZum's picture

If someone accidentally snipped the fiber-optic line around Broad Street . . . instant market crash?

Sat, 07/31/2010 - 09:19 | 497663 GoldmanSux
GoldmanSux's picture

You are a very creative thinker.

Sun, 08/01/2010 - 15:58 | 498816 TraderTimm
TraderTimm's picture

As a purely theoretical exercise, it wouldn't take much to say - shuffle around a few fiber optic connections on a shelf in the datacenter, pop a few supervisor modules from a couple of switches (and re-insert improperly and screw the entire backplane) and say maybe - bend a couple fiber connectors until they snap internally, which is a real fun job to diagnose in a timely fashion.

Gosh, it all sounds so fragile when you really think about it.



Sat, 07/31/2010 - 09:04 | 497653 wyosteven
wyosteven's picture


Sat, 07/31/2010 - 09:05 | 497655 Everyman
Everyman's picture

Well I sent in an SEC complaint with all the charts and asking the SEC why bloggers can find this type of activity when PAID PROFESSIONAL INVESTIGARTORS cannot.

Here is the SEC complaint address.  Send in complaints in early and often!

Sat, 07/31/2010 - 09:36 | 497680 Boilermaker
Boilermaker's picture

For the same reason we never found WMD in Iraq.  It was made up shit.  This is just the opposite.  It's real but refuted and ignored intentionally.  Do you honestly think they have intent on stopping a melt-up?  Please. *IF* it were pulling it down, yes, but as long as it's vertical in the upward direction, they ain't touchin' jack shit.

Sat, 07/31/2010 - 10:39 | 497731 calltoaccount
calltoaccount's picture

The SEC has totally ignored investor complaints for at least a dozen years.  Better to send to SEC's Inspector General H. David Kotz:, the only one there with any integrity, if he has any left after they all but ignored all of his lengthy report and many suggestions for reform. 

Sun, 08/01/2010 - 15:44 | 498799 Ardent Spirits
Ardent Spirits's picture

Have you sent this man the URL & asked him to consider the case? If there is one honest man left over there NOW is the time.

Sat, 07/31/2010 - 09:27 | 497668 outamyeffinway
outamyeffinway's picture

America, America, God shed his grace on thee.......

Oh yes, America is blessed. We are the pillar of righteousness in the world.

At the end of the day I just wonder what it will take to bring this madness to an end. Nuclear war? Divine intervention? Alien intervention? Poplulace intervention? HA! I made a funny!

Sat, 07/31/2010 - 10:06 | 497669 MarketFox
MarketFox's picture

Let's make this simple....

Trading technology has come a long way a short period of time....

However...the technology needs to be properly utilized....

Like it or not....there has to be a HOUSE...or there is no market...


In other order for the market to exist...the HOUSE must exist...

Thus the question becomes...what is the most efficient HOUSE model...which provides lessor financial friction.....


The exchange has become electronic time stamping software....that is constrained by account balances....The BATS model has proven itself to be far far superior in terms of closing the bid ask that although Island...then ARCA openned the door....BATS will close it...


The market's house has replaced the bid ask spread with increasing volume and smaller spreads....

And the market has largely become a business that is heavily influenced by the returns on program trading versus that of the no risk rates....

Today's returns on the no risk rate are virtually zero....however there is never a zero range day on any broadly traded stock...


The task....

The exchange needs to become more oriented to the public....

The public needs to feel comfortable in that they should know that a 40 cents gain on a ten dollar stock....once a year....yields 8X+ what short term treasuries yield....and they should learn how to trade....


There should be more than a billion RETAIL accounts from all over the world TRADING on their own computers....and be the dominant side...not just the larger 100 managers pools....The public should understand that small is good....and large is not as good....


Wiki based information

Defragmented exchanges

No dark pools or any type of off exchnage matching

No minimum account size

4 to 1 margin....up to 10 to 1 available

No short sale rule

Shorts limited by the outstanding share number

Electronic regulation by a non SEC entity

Home Switzerland

Regulation....same worldwide rules...

One second minimum ...all order types


Let the games begin...

Sat, 07/31/2010 - 13:09 | 497860 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

Hehe.  He said, "4 to 1 margin." 

I think it is a fine idea -- but it also makes me laugh (which shows that the conditioning is working somewhat).

Sat, 07/31/2010 - 09:34 | 497677 Boilermaker
Boilermaker's picture

Why is everyone screaming for the SEC to do something?  You can't be fucking serious.  Not only are they aware, but, they are complicit in this shit.

Hell, I wouldn't be surprised if they were even behind this shit.

Sat, 07/31/2010 - 09:39 | 497684 Everyman
Everyman's picture

Well they DO work for us and there are a lot more of "us" than the "elites". 

That is the fundamental reason for the 2nd amendment.

"God made all men equal, Sam Colt ensured that it stayed that way."

Sat, 07/31/2010 - 10:43 | 497733 grunion
grunion's picture

God made man...Sam Colt made man equal. Get it right!

Sat, 07/31/2010 - 23:22 | 498327 Village Idiot
Village Idiot's picture

big LOL.

Sat, 07/31/2010 - 10:04 | 497705 megatoxic
megatoxic's picture


And yet another reason why revolution is brewing...

Sat, 07/31/2010 - 10:46 | 497726 Miles Kendig
Miles Kendig's picture

The only behind it the SEC can manage is the ass end.

Sat, 07/31/2010 - 09:42 | 497679 MarketFox
MarketFox's picture

Let's make this simple....

Trading technology has come a long way a short period of time....

However...the technology needs to be properly utilized....

Like it or not....there has to be a HOUSE...or there is no market...


In other order for the market to exist...the HOUSE must exist...

Thus the question becomes...what is the most efficient HOUSE model...which provides lessor financial friction.....


The exchange has become electronic time stamping software....that is constrained by account balances....The BATS model has proven itself to be far far superior in terms of closing the bid ask that although Island...then ARCA openned the door....BATS will close it...


The market's house has replaced the bid ask spread with increasing volume and smaller spreads....

And the market has largely become a business that is heavily influenced by the returns on program trading versus that of the no risk rates....

Today's returns on the no risk rate are virtually zero....however there is never a zero range day on any broadly traded stock...


The task....

The exchange needs to become more oriented to the public....

The cost of trading should not exceed 20 cents per 100 units....not the $4.95 to $9.95 advertising based retail models....

The public needs to feel comfortable in that they should know that a 40 cents gain on a ten dollar stock....once a year....yields 8X+ what short term treasuries yield....and they should learn how to trade....


There should be more than a billion RETAIL accounts from all over the world TRADING on their own computers....and be the dominant side...not just the larger 100 managers' pools....The public should understand that small is good....and large is not as good....


Wiki based information

Defragmented exchanges

No dark pools or any type of off exchange matching

No minimum account size

4 to 1 margin....up to 10 to 1 available

No short sale rule

Size limitations 

Shorts limited by the outstanding share number

Electronic regulation by a non SEC entity

Home Switzerland

Regulation....same worldwide rules...

One second minimum ...all order types (remedies HFT)


Let the games begin...

Sat, 07/31/2010 - 09:41 | 497687 rapunzel
rapunzel's picture
'Crop Circle' Crime Scene

crazy ass looking geometric charts tyler, are you sure?



Sat, 07/31/2010 - 09:43 | 497689 RobotTrader
RobotTrader's picture

Were these stocks "quote stuffed" yesterday?



Sat, 07/31/2010 - 11:48 | 497782 grunion
grunion's picture

volume up...value down...

Sat, 07/31/2010 - 09:44 | 497692 John McCloy
John McCloy's picture

All false stock prices in today's market. And the strategically placed rumors can always be relied upon on a down day. If we have been aware of these low volume HFT mark up games from the beginning than so is the SEC. They simply choose to allow it to continue which to me is criminal on their part because it is akin to encouraging and endorsing retail investors and fund managers into the false stock market when they exist solely to protect them. Worst case is an investigation and a settlement equivalent to a measly 1% of all the HFT profits. Basically as long as the SEC gets their cut this is no different than organized crime.


Sat, 07/31/2010 - 09:52 | 497697 breezer1
breezer1's picture

when john gotti was being taped just before his verdict he was heard saying, " we only need 2 years and its done, no worries after that".

always wondered what he was talking about. anybody know where he did his banking?

Sat, 07/31/2010 - 10:31 | 497724 calltoaccount
calltoaccount's picture


Where Are The Prosecutions? SEC Lets Citi Execs Go Free After $40 Billion Subprime Lie Posted by Zach Carter on @ 12:55 pm Article printed from speakeasy: URL to article:

What is the penalty for bankers who tell $40 billion lies? Somewhere between nothing and a rounding-error on your bonus.

The SEC just hit two Citigroup executives with fines for concealing $40 billion in subprime mortgage debt from investors back in 2007. The biggest fine is going to Citi CFO Gary Crittenden, who will pay $100,000 to settle allegations that he screwed over his own investors. The year of the alleged wrongdoing, Crittenden took home $19.4 million. That’s right. Crittenden will lose one-half of one percent of his income from the year he hid a quagmire of bailout-inducing insanity from his own investors. That’s it. No indictment. No prison time. Crittenden doesn’t even have to formally acknowledge any wrongdoing.

In 2007, as financial markets were freaking out about the subprime situation, Citi repeatedly told its investors that it owned just $13 billion in subprime mortgage debt. It was true—if you didn’t count an additional $40 billion in subprime debt that the company was also holding onto.

Citi’s CEO at the time, Chuck Prince, has not been charged with anything. As Yves Smith emphasizes, all of the top financial officers of every major corporation are responsible for the accuracy of their quarterly financial statements. Lying on those statements is a federal crime. This is the sort of thing that securities fraud cases are built around.

The SEC’s own statements about what went on at Citi are damning. If the agency can make this kind of information public, they ought to be pursuing criminal prosecutions. The SEC says that senior Citi management had been collecting information about the company’s subprime situation as early as April 2007, but repeatedly cited the $13 billion figure to investors over the next six months, waiting to acknowledge the additional $40 billion in subprime debt until November 2007. The SEC also says that Crittenden knew the “full extent” of Citi’s subprime situation by September at the latest, but the company continued to cite $13 billion in earnings reports through October.

Citi’s subprime shenanigans had consequences for taxpayers, pushing the company to the brink of total collapse and prompting one of the biggest bailouts of 2008.

Phil Angelides and the Financial Crisis Inquiry Commission deserve a lot of credit for highlighting the absurdity of Citi’s actions in a hearing on April 7 of this year (the key passage starts on page 368 of this pdf transcript). Angelides’ line of questioning revealed that even Citi’s board knew that the subprime exposure was much greater than what the company was claiming in public. Citi’s board at the time included Robert Rubin, former Treasury Secretary and architect of much of the deregulation that lead to the current crisis who took home $120 million for his work at Citi.

Either the SEC or the Justice Department could be pursuing criminal cases against Citi executives. What does it take to get the Justice Department’s attention on a financial fraud case? You have to launder $380 billion in drug money, and even then, DOJ lets you off with a slap on the wrist. The DOJ caught Wachovia doing just that, and the bank is getting off with a minor fine that won’t even make a dent in it’s second-quarter profits.

The Citi settlement is worse than a get-out-of-jail free card for Crittenden, Prince and their cohorts. The SEC actually fined Citi’s shareholders $75 million for the alleged wrongdoing of their executives. For some varieties of corporate misconduct, like Wachovia’s drug money laundering, hitting shareholders with the fine is appropriate. Wachovia’s money laundering operations directly enriched the company and its shareholders. This was not the case with Citi’s subprime scandal. Citi’s executives were hurting their own shareholders. Instead of meting out serious punishment to those executives, the SEC is fining Citi’s shareholders, the very people wronged in the incident.

This deference to the elites who wrecked the economy just keeps playing out. When Bank of America lied to its shareholders about billions of dollars in bonus payments it was about to make, the SEC decided to fine BofA shareholders and let the firm’s executives off the hook. The decision-makers at Wachovia who allowed the firm to funnel drug money despite repeated warnings by whistleblowers have not been indicted. Nobody at Washington Mutual has been indicted despite clear evidence of rampant mortgage fraud at the firm. Lehman Brothers’ repo 105 accounting scam is going unpunished, as are similar schemes at other banks including Bank of America. After much public relations flogging, the SEC let Goldman Sachs off easy.

More than 1,100 bankers went to jail in the aftermath of the savings and loan crisis. Massive financial crises simply do not occur without widespread fraud. The failure to prosecute that fraud poses systemic risks for the global economy. With too-big-to-fail behemoths dominating the financial landscape, the prospect of prison is the only serious check on executives interested in cannibalizing the economy for personal gain. If the SEC and the Department of Justice continue to let executives get away with outrageous acts without even taking the case to court, our financial system is doomed to repeat the same excesses and abuses we’ve seen over the past decade. If Crittenden did what the SEC claims he did, he screwed over his own investors and scored a huge bonus in the process. Everybody on Wall Street understands the implications: breaking the law is a great way to make a lot of money. When a class of elites can thumb its nose at the law with impunity, the result is not only a threat to the efficiency of our economy, but a threat to the basic functioning of our democracy.


Sat, 07/31/2010 - 11:10 | 497751 breezer1
breezer1's picture

in case anyone else wants to apply over at citi this might help...

Sat, 07/31/2010 - 13:00 | 497853 Clycntct
Clycntct's picture

Wow just Fkn Wow. I thought I was depressed before I read that.

Thanks for posting.

Sat, 07/31/2010 - 10:14 | 497711 chinaguy
chinaguy's picture

There is an old  saying in Chinese that translates:

"A law which is not enforced is not a law"

Sat, 07/31/2010 - 17:42 | 498152 hedgeless_horseman
hedgeless_horseman's picture

So do the steroid era home run records still stand?

Sat, 07/31/2010 - 10:17 | 497712 bankonzhongguo
bankonzhongguo's picture

Its all in complete freefall.  The only diverance between those homicidal plutocrats and the serfs are that the serfs want evidence before passing judgement.  Now however, despite the evidence, there is no court or JUSTICE in this economic or other world.  The managed economy is inflationary, while the scrappy serfs at the bottom exist in a de-coupled deflationary free market.  Just remember its all being done on purpose.


AND WHAT IS THE PENALTY?  -- NONE. Or luxury and deceit.


Laws are not being enforced.  No enforcement on illegal immigration.  Non-stop for-profit wars.  GM bondholders nullified, trading up on no volume, HFT, BIS/IMF/Fed, gold manipulation, unbelievable government data, fake unemployment numbers, Corporations are now Super-citizens writing every piece of unread 2000 page "panic legislation."

I used to laugh about investing in canned foods and shotguns.

Now not so much.

I would fly the American flag upside down on the front of my house as a sign of national distress, if I thought the America Stasi would not put me on a terror watch list. 

Time to re-read 1984.

Sat, 07/31/2010 - 10:32 | 497725 Miles Kendig
Miles Kendig's picture

Window dressing isn't

Sat, 07/31/2010 - 10:35 | 497727 aheady
aheady's picture

To all the banksters on this lovely Saturday morning. All aboard.

Sat, 07/31/2010 - 22:32 | 498301 Oracle of Kypseli
Oracle of Kypseli's picture

It appears that there are lots of junking lately in ZH. I think the banksters are starting to worry.

Yes! they will come for you, be afraid. Be very afraid.

Sat, 07/31/2010 - 23:02 | 498319 Oligarchs Gone Wild
Oligarchs Gone Wild's picture

I think someday, ZH should publish the statistics that demonstrate the source domains of all their hits...   How many millions of views derive from scopes owned by the Oligarchs.   How many bankers and politicians read this stuff from their work stations and laptops over VPN and have no idea they are creating a digital mosaic of their nervous system in action. 

ZH knows exactly who those people are and how often they come to read and what they read.

Sat, 07/31/2010 - 10:44 | 497735 almost_have_a_name
almost_have_a_name's picture

It looks like a set of function generators running into a mixer, captured by an HP o-scope.

What a load of bs.

Sat, 07/31/2010 - 13:19 | 497871 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

Is this not exactly what you would expect if you connected a scope up to any ostensibly chaotic process -- like, say, Niagara Falls for example?


Sat, 07/31/2010 - 10:49 | 497738 SheHunter
SheHunter's picture

And along the lines of this article...anyone else notice how several times during a trade day the HFT programs jump into a "hit all stops" command?  And how about those last 40 minutes of Friday's trade day?  I've been playing this game since '95, know how to jump into the frying pan and get out alive, and used to do pretty darn good with the day trade scenario.  These days? I often watch more than trade.  Sucks.  Looks, smells, and feels electronic and random. 

Sat, 07/31/2010 - 22:49 | 498309 MeTarzanUjane
MeTarzanUjane's picture

You have to be an algo to fight an algo. Evolve or get out.

Sat, 07/31/2010 - 11:13 | 497753 deepsouthdoug
deepsouthdoug's picture

That's IT!  I'm placing a limit order for 10,000,000 shares of AAPL @ 1 cent!  Sky Net will eventually give em to me. 

Sat, 07/31/2010 - 11:20 | 497757 Narcolepzzzzzz
Narcolepzzzzzz's picture

Tyler, you've missed off the chart for Goldman.

Sat, 07/31/2010 - 11:46 | 497780 rapunzel
rapunzel's picture

one size fits all, ty.

Sat, 07/31/2010 - 11:30 | 497764 Gimp
Gimp's picture

Watching the movie "JFK" last night, I know it is entertainment but the whole "invisible government" the real power behind our republic is pretty scary.  I think they have become more enbold-en and don't really give a sh*t if you see them manipulating the laws of the land anymore.

"What  are you going to do about it? Nothing."


Sat, 07/31/2010 - 11:33 | 497768 Village Idiot
Village Idiot's picture

Originally Posted July 30, 2010

Anyone interested in taking a step, albeit very small, to get something off the drawing board?

I've been thinking about a sticker, bumper size, that identifies American Patriots. I think that includes a large majority of the ZH community. But wouldn't directly identify said patriot as a member of ZH.

Personally, I'd like to be driving down the road and give a thumbs up to the person next to me.  It's a start.

keep it simple, but identify two main themes - "patriot" (someone who cares and understands what is happening in this country) and one other word.  A word that tells the oligarchy that we are on to them (I could use some help here).  I'm thinking of some reverse psyops like, "dumb" perhaps.  Dumb Patriot.  Dumb may not be the word, but "they" do consider us as some form of dumb.

I use the the avatar "Village Idiot" because it acknowledges right up front that I may be, and sometimes am, the VI.  But you can't use it against me because I am the VI, after all.  We both know.  That is the key - one word that represents the power of the people, and another word that signifies a mutual understanding that, to the contrary, we aren't dumb.

I need a little help developing this, though, but hopefully you get the idea.  I would be privileged to contribute any way I can, financially or otherwise. 

I hope this idea gets some traction - I really would like to be running down the road and give a big thumbs up to my fellow Dumb? Patriot.


I'll probably post this around the site and see what happens.  Cheers.


 EDIT:  For you "Oligarchy" may not be the defining word or group that is taking us down.  Feel free to replace with something else.  Also, a poster was kind enough to point out that this is not just an "American" issue.  A global translation would be even bigger.

It's a start

Sat, 07/31/2010 - 11:34 | 497770 grunion
grunion's picture


Sat, 07/31/2010 - 11:37 | 497772 grunion
grunion's picture


Sat, 07/31/2010 - 11:43 | 497778 Village Idiot
Village Idiot's picture

heading in the right direction - thanks for responding.

Sat, 07/31/2010 - 12:05 | 497804 grunion
grunion's picture

My pleasure.

Let me know how it works out. I believe you are on to something. Many folks are looking for an active response/countermeasures that is somewhat more...complex? Than the TEA party, without all the extremism and with focus, intent and tenacity. We know what needs to be done.

Although I am of limited financial, intellectual and political means, I would be happy to help.


Sat, 07/31/2010 - 12:28 | 497818 Village Idiot
Village Idiot's picture

"Although I am of limited financial, intellectual and political means, I would be happy to help."


Thank you for the offer.  I know this idea just needs an appropriate place, and the appropriate minds to incubate. Very short gestation period - guaranteed! 

Who might know where that place is?  Standing by.

Sat, 07/31/2010 - 13:27 | 497877 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

There's a site called "Conspiracy for Good / I am not a Member" that seems to capture the idea you're going for, fairly well. 

However, it all looks just a little too slicky for me...A honeypot maybe? 

I first saw it 6 months ago and they've got < 350 people?  Anyway -- you might get some loose ideas from the language and angle of their 'trailer' video.

Curious if you also find the site to be a little creepy.  I mean, "we'll contact you when the time is right" ???  WTF?  Just being cute?  I dunno...

Sat, 07/31/2010 - 14:39 | 497953 thesapein
thesapein's picture

another slick honeypot for fighting a nonviolent war against a more powerful opponent:

Keeping in mind that "the enemy" is actually way ahead of "us" on this nonviolent front, as well.*

*not sure who these groups are in present context.

Sat, 07/31/2010 - 15:09 | 497996 DoChenRollingBearing
DoChenRollingBearing's picture

Yet another repost of my response to Village Idiot's call to arms:

Let's pick a day and make this easy for everyone.  How about Thursday, August 12?

EVERYONE goes to their ATM (early enough during the day) and pulls out the max you can.  When the machine runs out of money, go into the bank and ask for $1000 (sort of a fine on them for not having enough money in the machine).

I pick Thurs, Aug 12 because it gives a little time to organize and get the word out.  Then Thursday's and Friday's market action would be REAL INTERESTING, hmm?

I'm ready, let's do it.  Thanks again VI for your call to action yesterday.


EDIT: I think I am going to repost this a few times in similar upcoming threads.  Alternative ideas welcome (as VI has said).  Oh, and buy some gold too.

Sat, 07/31/2010 - 15:41 | 498043 DoChenRollingBearing
DoChenRollingBearing's picture



Oh, and send the SEC / HFTrs / banksters / politicians, etc. for a quick trial in Iceland, put 'em all in dump trucks, and throw them into Katla.

Sat, 07/31/2010 - 16:49 | 498108 thesapein
thesapein's picture

I was hoping to see them put on game shows, like the Running Man or Death Race.

Sat, 07/31/2010 - 16:46 | 498106 thesapein
thesapein's picture

A problem I see with this is that a lot of us who visit ZH have probably already stopped trusting our moneys with these banks. My business with shady institutions is already at a minimum.

Same goes for a run on gold or silver. I've already been doing all I can with my own accounts.

I'd be happy to spread the word though.

Sun, 08/01/2010 - 12:05 | 498570 Windemup
Windemup's picture


If you tell two friends, and they tell two friends, and they tell two friends,...

By August 12 that should just about do it.

Sun, 08/01/2010 - 02:28 | 498335 Village Idiot
Village Idiot's picture

I first saw it 6 months ago and they've got < 350 people?


I'll check it out.  350 people, hmm.  I was thinking that an engaging rallying cry at ZH would get a least a thousand committed? No?

Start off with small stuff - do a brodey (burn-out) across someones lawn.


Seriously though, have any "call to arms" been attempted here? If so, anything of a successful nature?  Bueller?

Sat, 07/31/2010 - 19:26 | 498208 Cistercian
Cistercian's picture

Why not use the ZH logo?If it is ok with Tyler of course.I would just use the stylized zero with the h inside and drop the words.Everybody here would see it instantly.

Sat, 07/31/2010 - 22:56 | 498313 MeTarzanUjane
MeTarzanUjane's picture

Plain and simple. The sticker for all involved even those resisting the resistance.

Sat, 07/31/2010 - 23:49 | 498337 Village Idiot
Village Idiot's picture


Sat, 07/31/2010 - 16:21 | 498090 hayleecomet
hayleecomet's picture

I'll put my thinking cap on, Village.

Sat, 07/31/2010 - 23:50 | 498338 Village Idiot
Village Idiot's picture

thank you

Sat, 07/31/2010 - 22:24 | 498296 Misean
Misean's picture

Kelly's Heros

"Oddball: Who is that guy, Crapgame?
Crapgame: Him? Name's Kelly. Used to be a lieutenant, pretty good one, too, till they gave him orders to attack the wrong hill. Wiped out a half a company of G.I.'s. Somebody had to get the blame and he got picked."

"Kelly: [after he finds the hidden gold bar in the Colonel's bag] Sit down on this bench. I want you to have a drink.
Col. Dumpkopf: Under the Geneva Convention...
Kelly: This isn't Geneva, Colonel."

Sat, 07/31/2010 - 11:32 | 497769 grunion
grunion's picture

I just sent this article to Senators Hutchinson and Cornyn. I sure hope I haven't doomed someone.

Sat, 07/31/2010 - 11:42 | 497776 freshman
freshman's picture

Robots have indeed taken over the human world.

Sat, 07/31/2010 - 14:47 | 497965 thesapein
thesapein's picture

You didn't think billions of years of evolution were just going to suddenly stop for us, did you?

Sat, 07/31/2010 - 11:55 | 497787 Leo Kolivakis
Leo Kolivakis's picture

HFT has become part of the modern market's DNA. And in the next decade, it will become worse, not better. Either you accept this or risk getting continuously frustrated with "erratic" market moves. Don't try to beat multi-million dollar computers programed by "wizards", you will lose. Understand that HFT works well when VIX is between a range, say 15-25. Above 25 these strategies break down, and below 15, they need to take extra leverage to make the returns. I see HFT as a structural fact of the market. It will never go away, so get used to trading alongside computers.

Sat, 07/31/2010 - 12:04 | 497801 ZeroPower
ZeroPower's picture

HFT will never go away because of the profits for the shops, but i think the market as we know it will change or a new market might replace it. Still many years away no doubt.

As for VIX, i've heard of greater successes $$ when volatility is at the highs. Above 25 is rare for an extended period of time, and so instead of being long/short-only the funds will sell premium to take advantage of the more expensive options.

Sat, 07/31/2010 - 14:56 | 497976 thesapein
thesapein's picture

I like that thought. DNA is basically a crystal structure that tags things like photons, directing the flow of resources. Crystals, in a sense, create handles on otherwise random packets, creating patterns that oscillate like the notes in the above graphs. 

Sat, 07/31/2010 - 17:07 | 498121 Abiggs
Abiggs's picture

Where did you come up with your VIX/HFT range idea? That's just a crock of shit - the vast majority HFT strategies incorporate some form of stat arb or another which thrives on volatility. In reality it's the other way around, HFT strategies break down when the VIX falls below 20...

Sat, 07/31/2010 - 12:04 | 497803 Blaise Pascal
Blaise Pascal's picture

Really, first, let's just appreciate this for the beautiful, creative and artistic art-work that it is.  And the commenter who said the boyz just like to p*ss their names in the snow is spot on.

Completely criminal, but that is the game.  Obviously, no one, literally, can compete on a micro time-frame; a few days or weeks is a gamble, and long-term investing is dead.  You could buy real internationally-based revenue and earning streams, based on commodities (XOM, BP, etc), and do well.

But how to play it?  Short the leveraged ETFs on both sides of a vertical; write calls on them.  Let time work for you.  YOu'll never get rich, though you might be surprised at how comfortable you are.

And Dodd-Franks exempts SEC from FOIAs?  That, plus Pelosi's stripping out the proposed amendment that technical experts be added to the Obama Gulf spill comedy (er, "investigative") commission, DESPITE unanimous bi-partisan recommendations from Committee, tells you much. 

First, these Democrats and Obama are worse plutocrats than Republicans and Obama, as they are hypocrites (at least Bush actually believed the stuff he said, and had a framework for making the decision).  Second, the only real question is how much can be looted from all before the collapse?

They want to fix the educational system?  Start by teaching critical thinking, and self-accountability.  As long as Obama talks about Snooki with Behar and Whoopi, and Idol rules, and twenty-somethings are glued to their phones, the game continues.

That said, Liz Hasselbeck is worth watching and thinking about, in a private sort of way.  ;)

Sat, 07/31/2010 - 12:27 | 497820 unrealrally
unrealrally's picture

are you sure this is a single program? It could very well be a "war" played out by machines trying to outwit each other. If the programs are stupid enough, there could easily be these repeating patterns. This is like a repeating pattern during a chess endgame.

If it were quote stuffing indeed, wouldn't a given program throw random orders (size and price) instead of these repeating patterns? I'd think that this is just the result of badly coded algorithms that chase each other up and down the price and size ranges...

Sat, 07/31/2010 - 12:41 | 497835 litoralkey
litoralkey's picture

Constraints on the Algos by the exchanges, that is the "liquidity provider mechanism" results in movements of no more than a penny per order.

And yes, competing algos definitely are fighting the spreads.  Just looking at this stuff, it's apparent most of these Algos will be blown up using 2d and 3d slices of 4d fractal sets to so randomize the order flow the competing algo shops can no longer functionally trade in the market without brute force $$s to crush the smaller algos.

Sine,SawTriangle,Square,Noise, etc. will soon be replaced with 2d slices of mandelbulbs.  

(Think of them as a single image of a MRI scan.)

Sat, 07/31/2010 - 16:55 | 498027 thesapein
thesapein's picture

So these patterns aren't necessarily the result of any single HFT server or program?

That makes intent hard to prove.

It could be the case that these traders kind of stumbled upon algorithms that worked well for them but only because of a coherence and the periodic "notes" that can emerge from the overlap. Is it possible that their creators don't even know that they're breaking the rules on these tiny timescales?

edit: Of course, they know. But it could be hard to prove intent. Oh, no, we never bothered to look at those patterns.

Sat, 07/31/2010 - 16:02 | 498071 thesapein
thesapein's picture

I like your image of a MRI scan, analogy.

To complicate things a bit, have you studied squeezed coherent states? Do any of these patterns look familiar to you:

I noticed that they're basically adding a dimension to be able to generalize a formula for both noise and coherence, but it's NOT a fractal dimension. What if someone played with this exact same generalization but in a fractal dimension...

Sat, 07/31/2010 - 20:12 | 498224 litoralkey
litoralkey's picture

Physics is definitely not my forte, outside of a layman's fascination with the possibilities of graphene, (buckyballs, graphene tubes, pseudo-magnetic fields etc.)

The fractal equations point is my general point, however thinking it through now, the programmers have to have enough $$s behind them to swing bid/ask wider, more complexity and more risk involved.  The oligopoly already exists, there are not going to be new Algo shops allowed to cut in on the business without serious money and power behind their entry.

It also makes sense why Goldman Sachs was able to have Sergey Aleynikov arrested so quickly.

The HFT patterns being used are rudimentary(in the overall field of fractal equations), and could have easily been attacked successfully from an organization with the money, power, balls, and access to trade flow and dark pools.  "Predatory Fractal Disruption of Liquidity HFT Mechanisms".... That would be a heck of a PhD thesis...

p.s. I have no 1st hand info if different Algos blackboxes are actually dueling in the spreads, but for highest volume stocks like C, SPY, QQQQ, etc there has to be multiple programs running.

p.p.s. apparently people are hiring to increase Algo shops...

Sun, 08/01/2010 - 00:02 | 498345 Village Idiot
Village Idiot's picture


"excellent benefits and work environment as well as great opportunity for advancement."



Sun, 08/01/2010 - 09:16 | 498449 New_Meat
New_Meat's picture


"... Statistics, Computer Science, signal processing, game theory, machine learning, artificial intelligence, data mining, market microstructure theory, econometrics or time series analysis. "

and we have all of the disciplines needed to characterize the market as a system.  Put those classic patterns (delta, step, ramp) as well as the fractally-looking thing (NAZ Blotter).

If they can characterize the market in close to real-time (that is, they can closely approximate the market's current "transfer function") means they have a toolbox of inputs to derive expected outputs.

Is this going on in individual stocks with stock futures, or would that leave too many fingerprints.

Barrons used to advertise for quants with superior talent to be compensated well above average.

- Ned



Sat, 07/31/2010 - 12:29 | 497822 litoralkey
litoralkey's picture

Eye opening to me, never seen the graphs of the algos.  This is less complicated than it seems when it's being demagogued.

Having spent a few years studies audio engineering in MIDI studio environments, this stuff is exactly parallel to various soundwave equations used in modern synthesized sound programs, and Algorithmic Composition.

Very very cool.

Search out Algorithmic Composing for more info

I want to see more....

Sat, 07/31/2010 - 14:16 | 497927 addvalue
addvalue's picture

So why not hook up a couple of synths to a market datafeed giving every major suspect stock its own tone and livestream the audio result right here on the frontpage of Zero Hedge.

This way everybody can 'listen in' to the manipulation in full glory and even learn to recognize stock (tone), HFT strategy (waveform) and who knows what more...

We'll give Marja the exclusive rights for mixing the results into some sort of musical representation of it all...


Sat, 07/31/2010 - 14:57 | 497978 trav7777
trav7777's picture

who's bringin the X tho?

Sat, 07/31/2010 - 15:18 | 498005 addvalue
addvalue's picture

what is X?

To elaborate a little, Nanex has the datafeed and synthesizing into sound from it may open a whole lot of interesting possibilities.

Think of the SETI project, ever listened to the sound files of white noise from the stars? Sometimes there is an unknown audible pattern the human auditory system picks out of an enormous amount of static (white) noise, that is how sensitive we actually are to sound.

The HFT market signals will be much more 'pronounced' to the regular (Slow) trading activities then that of SETI (and easier to filter/transform into something better to spot too)


Sat, 07/31/2010 - 17:03 | 498117 thesapein
thesapein's picture

What sorts of patterns are sometimes heard from the stars?

You just peaked my interest.

Sat, 07/31/2010 - 17:58 | 498162 addvalue
addvalue's picture

Try this one, could not find one from SETI but from Jupiter but you'll hear what I mean...


Sat, 07/31/2010 - 18:46 | 498191 thesapein
thesapein's picture

I found this one:

Cheers, indeed. Thanks!

Sun, 08/01/2010 - 17:32 | 498902 addvalue
addvalue's picture

Thats a good one, thank you...


Sat, 07/31/2010 - 15:18 | 498004 thesapein
thesapein's picture

Oh, I so love this thread of thought.

The timescale would have to be way expanded, the "livestream" would actually be old news by the time we could hear it, but would still be better late than never.

Sat, 07/31/2010 - 15:33 | 498011 addvalue
addvalue's picture

? Why is that? HFT is how fast? milliseconds? less?

Sound upto say 10kHz could be mapped 1on1 to 10.000 trades / sec... realtime.. Faster patterns can be transformed.. Filters can select market instruments and I just starting to think of all the ways to engineer the sound to best fit the purpose (manipulation spotting and/or making weird music)



You may even inverse the idea and transform your favorite music, may it be mozart, rock or techno into HFT trade orders and see if that outperformce the HFT algo's. At least that would give the script kiddies writing the current HFT algos something to freak out about when done by a few music enthousiasts here on ZH...


Sat, 07/31/2010 - 15:49 | 498059 thesapein
thesapein's picture

Birds don't even chirp as fast as HFT. Yet, to really hear the full composition of many bird songs, most of us non-gifted non-Mozarts can't make quite make out the tunes without recording and slowing down the playback of bird songs. I never really heard a bird song until I heard one slowed way down. But maybe that's just me.


Sat, 07/31/2010 - 15:55 | 498064 addvalue
addvalue's picture

FT (fourier transform) comes in handy, that will shift any high/low tone into the audible range without changing the speed.. (like singing into a karaoki kit and sounding like really heavy bariton live) But look again at the screenshots, the first one is not that fast really.


Sat, 07/31/2010 - 16:14 | 498084 thesapein
thesapein's picture

But, but, but look at the Blotter graph. It has a pattern that repeats 6 times within 09:34:26 to 09:34:33. It's not exactly a simple pattern either.

Sat, 07/31/2010 - 17:09 | 498122 addvalue
addvalue's picture

If I am not mistaken that is 6 seconds, 6 patterns, about 1 Hz and not audible by itself but if the underlying stock is suspect it could be assigned a specific instrument, say saxophone, the tone would be set by the price and the loudness by the volume, you would get a sort of woOow_woOow_woOow_woOow_woOow_woOow_ etc..


Sat, 07/31/2010 - 15:27 | 498016 New_Meat
New_Meat's picture

"So why not hook up a couple of synths to a market..."

instead, hook them up to the buy side and play "Tubthumpin" to make Chumba as happy as he'd let himself be. 

"I get knocked down,

then I get up again..."

As the price goes up and down on the minute bars.

- Ned

Sat, 07/31/2010 - 15:46 | 498058 addvalue
addvalue's picture

OK, I'm in, anybody want to join?

I'd suggest starting with for the feed and then to for the Graybox-Trading forums to get us some tools. Suggestions for the sound engineering are welcome...


Sun, 08/01/2010 - 00:09 | 498348 Village Idiot
Village Idiot's picture

"This way everybody can 'listen in' to the manipulation in full glory and even learn to recognize stock (tone), HFT strategy (waveform) and who knows what more..."


Do they sound like whales?

Sun, 08/01/2010 - 17:31 | 498900 addvalue
addvalue's picture

I Guess that depends on the sound engineers preferences...

.... Cheers

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