"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
"Quote
Stuffing
", 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:

07-29-10
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.

07-29-10
"The Crown". While not a large number of quotes, this NASDAQ/BATS
Bidsize sequence was just too unusual to bypass.

07-28-10
BATS "Batsicles". BATS price cycling through a large price range,
each intermittent with a stub quote, drop it down and start over.

07-27-10
NASDAQ "Blotter". One of the more unusual repeating Asksize
cycles.

07-23-10
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.

07-23-10
NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid
price/size in 3 increments and effecting the Best Bid along the way.

07-23-10
BATS "Periscopes". 8000 quotes in 3 seconds, alternating the bid
price each quote. Pop the size up 1 every second or so.

07-22-10
NASDAQ "Double Dip". Symbol SH. 10,000 Quotes in 4 seconds, each
affecting the Best Bid.

07-19-10
NASDAQ "Racing Stripe". Symbol WYNN. 2000 Quotes in one second, each
affecting the Best Ask.

07-19-10
PACIFIC "Puzzle Pieces". Symbol IIC.

07-14-10
NASDAQ "Blue Bandsaw". Symbol SHG. (760 quotes in 1 second, taken
from a total sampling of 10,000 quotes in 12 seconds)

07-13-10
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).

07-12-10
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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New_Meat's picture

every time I've peed into the bottle, THEY COULD NOT FIND ANYTHING.

i have no idea what you are talking about.

- Ned

OT-my bunkmate at an exclusive boys summer camp buried himself into Nimitz ass and left behind two little girls.  Navy started the pee-in-the-bottle thing and found, well ... "grass" 'board a grey boat.

- still Ned

 

Oh regional Indian's picture

Whoa! The Unravelling the HFT mystery. 

How can the average investor even stand a chance. 

But even this will blow over. There is not enough angst left in us, no vitality left to fight, even the most egregious crimes against us.

We're happy enough venting with words.

We'll end with a whimper at this rate.

 

ORI

http://aadivaahan.wordpress.com

 

LeBalance's picture

Those in complete surrender have taken the position of ultimate power by shirking all responsibility.

Neo's picture

Those in complete surrender have taken the position of ultimate power by shirking all responsibility.

 

That is f'ing brilliant.

 

SteveNYC's picture

Brilliant. The true power of "surrender" could not possibly be understood by the sheep at large. Most sheep see "surrender" in the context of "surrender, and the terrorists win...." or some other false description of the word that has been implanted into their simple, washed brains.

One must surrender, accept what is, in order to be master of one's self and attain ultimate power.

MayIMommaDogFace2theBananaPatch's picture

Most people have to survive some sort of end-of-the-road or near-death experience to crossover into this viewpoint / existence.

Seems that the opportunities for such experiences are on the increase.

Cathartes Aura's picture

One must surrender, accept what is, in order to be master of one's self and attain ultimate power.

the acceptance of what IS includes surrendering the illusion of control over All That IS. . .

the "ultimate power" wordage has too many "meanings" and can be con-fusing when not defined. . .when truly embodying a full surrender, one acts, observes, and surrenders the outcome, simultaneously.

Power-full.

Village Idiot's picture

you must have missed the "bumper sticker" memo.  getting a voice back - it's a start.

 

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.

 

 

SteveNYC's picture

How about "Being:Aware"

 

 

Village Idiot's picture

thanks for the reply steve.

Oh regional Indian's picture

Good plan VI. It does need to start somewhere.

But given where things are and where we (as in everyman) have reached as beings, something more substantial will cause the shake-up needed.

Now a strike is aggression (it's in the name/word/symbol, regardless of it being a peaceful "strike", I'm sure the oxymoron is clear to behold.

Eye for eye and the whole world.....etc.

So first we need to intelligently re-language what word to use in an act of subverting the system without violence, implied or real.

Also, violent actions bring about violent change, quite needless. We do not need more violence.

I have a solution. It is the most graceful way to pull the system back. An effortless and face saving return to the saddle. A way to reach a place where HAL will always remain a piece of fiction. A path for us, individually and collectively regain our "selves".

The first step is the hardest one. That's no cheap cliche.

I was given a key, six years ago, almost to the day. 

I'm absolutely and completely serious. If a 1000 people were to co-ordinatedly do and document their practice of what I call Luddite Karate, we could seed a shift of something, perhaps just perspective. 

Often, that's all it really takes.

Can I find them here? Or here and within six degrees? 

My sixth sense always goes into "high" mode on ZH, particularly in my interactions with people on certain topics.

Resonance is just a 1000 people clapping together.

 

It's how they built the pyramids in Egypt and the monasteries in Tibet.

Through the largely lost art of directed acoustic resonance. 

 

 I'd like this community to help me find the 1000, with due kudos to ZH for creating this mind-bending community in the first place.

 

Remember too, that we are coming into the age of Aquarius,

From Wikipedia:

Ages are believed by some astrologers to affect mankind while other astrologers believe the ages correlate to the rise and fall of mighty civilizations and cultural tendencies. Aquarius traditionally "rules" electricity, computers, flight, democracy, freedom, humanitarianism, idealists, modernization, rebels and rebellion, mental diseases, nervous disorders, and astrology.[4] Other keywords and ideas believed associated with Aquarius are nonconformity, philanthropy, veracity, perseverance, mankind and irresolution.[5] The appearance or elevation in status of many of these Aquarian developments over the last few centuries is considered by many astrologers to indicate the proximity of the Aquarian age. There is no uniform agreement about the relationship of these recent Aquarian developments and the Age of Aquarius. Some astrologers believe that the influence of a New Age is experienced before it arrives because of a cuspal effect or Orb of Influence. Other astrologers believe the appearance of Aquarian developments indicate the actual arrival of the Age of Aquarius.

Well, I'd say this is an Aquarian group. We have all the characteristics, save irresolution, which I did not quite understand.

Come on by....

 

ORI

http://aadivaahan.wordpress.com

Village Idiot's picture

"Resonance is just a 1000 people clapping together."

 

that's easy, i'm in.

Cathartes Aura's picture

. . . and what was thought, is now shared, holding the space begins with intent.

I'll add that the Aquarian archetype has two planetary rulers, Saturn (of old) and Uranus ("discovered" more recently). . . Saturn represents the "status quo" or the structures built to contain the intent / vision / beliefs, including personal and the collection of persons known as "cultures". . . when the structures are outgrown, there can be a "breakout" - which is Uranian, the overthrow of systems that are now limiting further growth. . . Uranus was the first planet to be "seen" with a telescope (technology invented which furthers the culture - Saturn). . . Uranus was "seen" a few years before the American, and French Revolutions. . .

I'd agree that the ZeroHedge community embodies both sides of the Aquarian archetype, with some still holding their cultural positions, and others breaking out of the accepted "reality," turning around to point fingers and mock. . . here's hoping more will apply the need for "change" to works that further a new "vision" - a personal revolution embodied for cultural shift. . .

Resonance.  It's how we "find" each other. . .

 

Oh regional Indian's picture

"Resonance.  It's how we "find" each other. . ."

Yes...yes.

Anyone resonating?

ORI

http://aadivaahan.wordpress.com

New_Meat's picture

Village not an--I have refined my business case, here goes.  Team with:

https://americantees.com/bs_removal_kit .

It will sell like hotcakes, both the removal and the new sticker.  Especially after the training video is viewed:

http://www.youtube.com/watch?v=xn_IAwe8-q4

No affiliation, dang.

- Ned

Village Idiot's picture

Village not an--I have refined my business case, here goes.  Team with:

https://americantees.com/bs_removal_kit .

It will sell like hotcakes, both the removal and the new sticker.  Especially after the training video is viewed:

http://www.youtube.com/watch?v=xn_IAwe8-q4

No affiliation, dang.

- Ned

 

  

Joint product launch, my pig! 

 

 

I hope that 75.9% of this site see's the first link. The bestest.

PatsPal's picture

I don't agree. I believe that there are millions and millions of people willing to act and act now. We need to unite with a cause. We need a way to to create a single granuality to push a wave in one direction or another. The teachers union can control the outcome of an election, why can't we unite and take the banksters down in a single day? We can. Its easy. We just need to set a date in the future and spread the cause. A national bank run on a single day. Let's freaking do it.

Village Idiot's picture

your post has merit for sure. whether it be a bumper sticker, or something else, the awareness level has got to come up. What is that symbol of awarness going to be? all in the spirit of peace, of course.  thanks for responding.

DoChenRollingBearing's picture

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.

RichardP's picture

Most banks have limits on how much a person can withdraw in cash on one day.

DoChenRollingBearing's picture

ANY bank will let you take out a lousy $1000, perhaps until August 12.

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.

Village Idiot's picture

by DoChenRollingBearing
on Sat, 07/31/2010 - 11:54
#497967

 

"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."

********************************************************************************* 

 

I'm feelin' the juices starting to flow!

 

I just put "PULL MAXIMUM AMOUNT FROM ATM AUG 12" in my Outlook (microsoft).

 

 

How about a weekly/bi-monthly/monthly action plan? an idea, doesn't need to be a "majority vote" kind of thing - just the most passionate (and legal) idea to come forward that draws people together.

If you commit to this idea/plan, then you do your best to follow through. Encourage friends to follow along. Keep it rolling.

 

The ATM idea would be a great place to start.

 

PS - with the right PR assistance something like this could get coverage.  And with the right people up front...a new political force, perhaps?

PatsPal's picture

I think a successful protest requires coordination. We need to determine the medium of communication. I think it is clear the internet as it is free and not under the control of our facist government. I like the idea of a bumber sticker. What if we had a bumber sticker "Withdraw $$ Or Government Will - March 10 2011" 

Village Idiot's picture

"I think a successful protest requires coordination. We need to determine the medium of communication."

 

Agreed - Coordination isn't my strongest suit, but I would venture to guess we need a meeting place (forum) that is dedicated to the project.  And some sort of bulletin board.  Any thoughts out there?

Village Idiot's picture

Never used it.  If it works, so be it.

RichardP's picture

Word will spread the fastest on Twitter.  Find someone who will tweet their friends, who will then tweet their friends, who will tweet their friends, and so on.  Date, time, and amount of withdrawal.  You could actually reach critical mass with Twitter.  Other blogs would pick up on it, and maybe the MSM.  Good social experiment.  It is your idea.  Make it happen.

New_Meat's picture

Google: "meetup" and get

About 6,330,000 results (0.11 seconds)

Iranians were using twitter and meetup.

But, thanks to suzie and olie, Our Dear President now has internet kill switch.

What does that do to FX and futures traders who are monitoring trades minute by min...?

- Ned

Village Idiot's picture

"It is your idea.  Make it happen."

Good input, thanks. However, this little gem is not my idea - my calendar is marked for august 12th, though.

DoChenRollingBearing's picture

.

.

Twitter and Google meetup are two technologies I know nothing about.  But I have a Google account so I will start learning right away.

I have posted my $500 out the ATM 5 times here at ZH, once over at fofoa and emailed it to all my financially literate friends and family.

merehuman's picture

There are groups that do spontaneous things en masse. seen it but forgot names. This can be done. Be aware NSA has an eye on all of us. (ear)

Chunkton's picture

Seems the market is well and truly rigged and a game for those that think they can outmanuever a computer. Just when you think there are limits to the crime and corruption the government endorses for its friends another one comes along.

hedgeless_horseman's picture

My father-in-law was the managing partner at a large regional brokerage firm in the 50's, 60's and early 70's.  This is nothing new, folks.  The markets have always been rigged.  The digitalization of trade data just makes it easier to see. 

Do you disagree?  Please point to a time period that you believe the financial markets of the USA were not rigged. 

Sidebar: On slow summer afternoons my father-in-law would run a small trade on a stock at the very top of the (chalk) board just to get the girl wearing a skirt to climb the ladder and change the quote.  Good times...good times. 

ZeroPower's picture

Haha, i guess pasty faced male interns are a thing of the present :/ 

(Thanks for the illustration hh)

 

MayIMommaDogFace2theBananaPatch's picture

Today that gal would be going up and down the ladder several THOUSAND times per second. 

Why wear clothes?

rapunzel's picture

speaking of ladder tricks, mine didn't quite work out, that trick i mean. fell 15 feet down. ladders are very very very dangerous.

F A I L ‡

Iam Rich's picture

Up a ladder and down a pole...perfect.  Where's robo, we need pics.

Phat Stax's picture

Call me naive but print this off and send a well-written letter to Mary Shapiro, with a cc: to your congressmen and senators.  Will it do anything?  Probably not, but at least the issue will be on record....

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

 

papaswamp's picture

The issue is on record and they know it...but the masses don't understand and don't care as long as the cable TV still works and fast food flows.

ZeroPower's picture

Are you kidding?

About 95.4% of the people here don't understand this post.  My guess is a place like EliteTrader or maybe the Wilmott forums about 1/2 the people would understand it. Sending this to any sort of government agency unless theres a new one called 'US Dept of Quants' will simply have this mistaken for spam and be put in the trash.

 

mark mchugh's picture

Yeah, using computers to generate phony prices,  slow down Einstein...

ZeroPower's picture

My argument with you doesnt extend beyond the CSCO circuit breaker thread. I see no reason for your attack here, so i assume youre still bitter about your un-printed market order fill at an unfavorable price.

mark mchugh's picture

Um, you just insulted the vast majority of readers here (about 95.4%, I think), and you're the victim?

ZeroPower's picture

Oh really. Are insults only supposed to be false accusations? Or do you want to tell me every person posting in this thread, you included, could explain to me what said quote stuffing is? For the record, if it wasnt for some quant friends, this post would have been over my head too. Luckily for me, i dont shy away from learning new stuff from forums, blogs, friends; anyone more knowledgeable than me. It seems like you however simply don't want to admit youre wrong on many, many topics so far. I guess it would suck to delete all those blog posts of failed info huh. Its a good thing HFT is given spotlight by places like ZH and Themis - after which ultimately the MSM catches on to.

Since youre incapable of any interesting discussion, i suggest you educated yourself with some excellent white papers and books on the markets just a quick goog search away.

mark mchugh's picture

Since you won't stop, yes I will explain this to you.

Our stock market has become one giant turd sandwich (that's the essence of this post).  What passes in your mind as "interesting discussion" is chattering on about the composition and nutritional value of said sandwich.  Oooh look, you found a kernel of corn!

Honestly, I don't care how much you and your "friends" know about turd sandwiches, because at the end of the day, it's still a turd sandwich your describing.  It's when you try to sell it as anything else, I've got a problem.

But please, keep refering to my posts capturing snapshots of price manipulation.  I know you and all the rest of the turd sandwich vendors would just love to see them deleted.

Your friend,

Mark

ZeroPower's picture

Theres too much wrong in your post to comment on it again and again so just enjoy trading in this turd sandwich, good luck.