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The Story Of The Berserk Nat Gas Algo Just Got Really Strange
We have already posted two articles on the case of the berserk "fractal" nat gas algo which caused a mini swoon in Nymex gas (NG) prices last night, preceded by some very abnormal trading patterns (discussed here and here). However, per additional observations on what happened, courtesy of Nanex, this very odd case is about to take a very disturbing detour into the downright surreal. Per Nanex: "It's almost as if someone is executing a new algorithm that has it's buying/selling signals crossed." In other words, either an HFT firm has hired some intern to code their algorithms without having even the faintest understanding of finance and economics (possible but unlikely), or as we have long speculated, we have now officially entered a bizarro market... though much more than just sarcasm: this is now a market in which buy and sell signals are confirmed to have been flipped. Nanex' conclusion is spot on: "Most disturbing to us is the high volume violent sell off that affects not only the natural gas market, but all the other trading instruments affected by it." Translated: the entire market now trades on flipped signals.
From Nanex:
The following charts show trade, trade volume, and depth of book prices and relative sizes for the July 2011 Natural Gas futures trading on NYMEX. Depth of book data is color coded by color of the rainbow (ROYGBIV), with red representing high bid/ask size and violet representing low bid/ask size. In this way, we can easily see changes in size to the depth of the trading book for this contract.
Depth of book is 10 levels of bid prices and 10 levels of ask prices. The bid levels start with the best (highest) bid, and drop in price 10 levels. Ask levels start with the best (lowest) ask, and increase in price 10 levels. The different in price between levels is not always the same. It depends on traders submitting bids and offers. In other words, depth of book shows the 10 best bid prices, and 10 best ask prices.
In a normal market, prices move lower when the number of contracts at the top level bid are executed. The next highest bid level then becomes the top level, and the 3rd level becomes the second and so forth. A new level is then added below the previous lowest level. On our our depth charts display, you would see this behavior as a change in color of the top level bid from the red end of the spectrum towards the violet end.
On June 8, 2011, starting at 19:39 Eastern Time, trade prices began oscillating almost harmonically along with the depth of book. However, prices rose as bid were executed, and prices declined when offers were executed -- the exact opposite of a market based on supply and demand. Notice that when the prices go up, the color on the ask side remains mostly unchanged, but the color on the bid side goes from red to violet. When prices go down, the color on the bid side remains mostly unchanged, but the color on the ask side goes from red to violet. This is highly unusual.
Upon closer inspection, we find that price oscillates from low to high when trades are executing against the highest bid price level. After reaching a peak, prices then move down as trades execute against the highest ask price level. This is completely opposite of normal market behavior.
The amplitude (difference between the highest price and lowest price) of each oscillation slowly increases, until a final violent downward swing on high volume. There also appears to be 3 groups of these oscillations or perhaps two intervals separating these oscillations. It's almost as if someone is executing a new algorithm that has it's buying/selling signals crossed. Most disturbing to us is the high volume violent sell off that affects not only the natural gas market, but all the other trading instruments affected by it.
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hackers?
baddly programmed.
Garbage in...garbage out.
I postulate this is "predictive trading algorithms" trying to get ahead of the actual bids/asks with their own asks/bids. It is absurdist, to say the least. But it is the next logical step to colocating your trading servers on the exchange floor to get the jump on bid/ask signals, is to actually send bids and asks to the floor in anticipation of the signals.
Doesn't get any faster than executing a trade BEFORE the other side shows up to trade with you lolol...
+1.
(Re-read comment thread and this is what I said below. Game theory.)
Max Cohen finally did it! He found the 216 digits!
http://www.imdb.com/title/tt0138704/
Give that man a Black & Decker cordless!
hehe! I was kind of tongue in cheek but yes it does make sense. Provocative, e.g. provoke the other guy into a fight he can't win (tsung tsu). Or as the other poster, fiction writer guy said, it may be deliberate to obfuscate and/or trick others.
But it does indeed make sense, the HFTs get faster and faster, at some point they have to act before. And now that I actually think about it, it is possible esp if they see patterns in other HFTs they may learn their models (or, their owners stole the program code and counter program knowing that if they zig the other will zag, so they zag first, then signal the zig to enduce the zag).
Good stuff guys!
"remember these, who shake the trees
to make the wind blow"
-me
very good; i saw no immediate source. great metaphor for the bernanke's juicing up the stock market because a rising stock market is a sign of an improving economy.
The Bernankster is probably sitting in the dark, oscillating between feelings of grandeur and outright paranoia. One moment, "I am the angel of death..." and then 10 minutes later, "People are lucky to even speak my name...." followed by "I am the angel of death..." (continuously)
i likes it
your comments brought it back to mind...
from a poem i wrote when i was 27....damn, i've hated Corps for a loooong time, lol
This will become a Tacoma Narrows moment someday soon...
http://www.youtube.com/watch?v=j-zczJXSxnw
pre-tralgos, short for pre-tralgorithms - a la pre-cogs.
The author of the algo is still using Vista and having USB issues.
I don't know about you guys but these all look like vaginas to me
Whoa, max2205... you just blew my mind.
That said: not to brag, but I've seen a reasonable number of vajoojoos in my time, and even when I squint, and with a totally blurry bad right eye... I don't see it, man.
A failure or imagination on my part - the world would be a better place if commodity charts were full of pictures of the 'furry pie'.
On the subject of 'front bottoms', @JoeRogan (an unsung genius, by the way) is trying to disconnect the 'c-bomb' from the female genitalia... to this end he wants to popularise '#cunty' as a non-genital-related adjective (and hashtag). Ladies' bits are a thing of wonder and beauty (and a joy) and so we have to break the link between those and our beautiful language's most powerful insult.
Ah... it's like those 'Magic Eye' pictures... I see the 'ginas now.
+10 on the Joe Rogan. He's like the Doug Stanhope or Jimmy Norton that your parents actually allow in the house.
He's the Gen-X Eddie Haskell.
...Investment banker?
Soft patch
written by Microsoft?
FRACTALS!!!!!!!!!!!!!!!
Ben? IS that you? PUT DOWN THE BOTTLE.....
Thank you ZH..............if only others would show up the deceit like you do
Years ago, i discovered an interesting pattern. I at first didn't understand why it repeated in civilization over and over.... the deeper i did dig, by following the cause-effect chain backwards, the lower i got..... until i tracked it back, to the most generic things of all: Relationships and logics.
Without explaining the whole theory, here's a little crashcourse: There are two stable patterns in relationships. One of them is mutual equivalence. One example of this is truth - the blueprint matches perception, and the perception matches the blueprint. So, equivalence.
The other stable pattern, is the inverse - not opposite - of just that. To explain it with maths as an example: Let's say, you have a formula. The formula has an error... an untrue value. There are two ways how you can make such a broken formula work: 1. Correct the error. 2. Add a second inverse error, that compensates the first error.
What i'm trying to hint at, is that very often, there are two setups that can work.... one of them is what most people would consider "right", "true", "consistent", and so on.... the other is to do the total inverse of just that. For example, this is also why lies so often are the inverse of truth.... by inverting everything, it still internally seems to be in balance and consistent.
Until today, i expected to find those two patterns in a lot of things.... but i never expected this insanity to go as far, as it being implemented in software, on the open market. Or to phrase it more metaphorically: We now no longer just have lying humans.... we also have lying computers.
the Schrödinger's cat argument
Trivia: What is a dichotomy, considering my above post? :)
Better don't think about that. The implications would render a good part of modern theories about physics invalid (NOT disfunctional - they do work... the way they work is just.... a bit "strange")... and show that the scientific method is incomplete.
"GOLD"MAN CUNTS theory of market guidence has proven correct. It's the next logical step ....
We have to be smarter: What's the next logical step ? The old double/triple cross ? ? ?
That's when they cut your dick off and you start your new life as a dyke ? Monedas 2011 "Making the complex understandable !"....R. Limbama
Of course the sceintific method is incomplete. What is represented on either side of the = sign is limited to what is known or thought to be known (imagined) in science, not necessarily what exists in reality.
E = mc^2
1 + E = mc^2 +1
(obnoxious truth that sinks theoretical physics) + E = mc^2 + (obnoxious truth that sinks theoretical physics)
Precisely :) Everything before the = sign is never verified. Phrased another way: If the result matches measurements, the theory is considered verified. However, as everyone who isn't totally braindead knows, there are all kinds of ways, how you can come to the correct result.
Thus, for scientific theories to not look totally arbitrary, there needs to another method, to decide if the way to the result (the formula itself) is considered valid. Since the advent of modern physics, this verification is no longer logical correctness of the theory (the concept). Instead, by now ONLY mathematical consistency matters. That is, the various formulae used in a theory, must be consistent: It is not allowed, to arbitrarily modify variables, depending on the situation (though, there are tricks how even this can be hidden). Furthermore, it must always be possible to rearrange a formula, without the formula stopping to work.
Or in short: The maths themselves must be sound, and results must match measurements. This is the current state of research in modern science. Besides of the usual stuff or reproducability, peer review, etc, no other checks are made.
But alas, this really isn't a very high requirement. This becomes more obvious, when you consider, that the maths are just a model of the theory, but not the theory itself. For example, the maths do not care what kind of variables are used and what they mean. To maths, C is just a number... it does not contain an explanation of what that is, and why it is supposed to behave the way it does.
Or in short: The conceptual rules and ideas, which the maths represent, are never checked. This for example allows theories, where things teleport around, may be at multiple locations simultaneusly, action at a distance, causal breaks, turning space into time, and time into space.... and so on.
What is the result? Well, the maths do work consistently and reproducable.... thus, one can use them to predict and control reality. The explanations behind all this... the theory.... may however very well be as far away from "understanding" as possible (remember the inversion pattern).
So, what modern physics provides to society, is power. Methods to predict and control things. What it however does not adequately - and with enough rigor - provide, is explanations and understanding.
Sure, one may argue, that we simply cannot check everything, and need to make interpretations based on nothing. Some even consider it impossible to create a structurally equivalent model of reality. This however does not explain, why one would INTENTIONALLY not use some checks that ARE available... like i.e., demanding logical consistency in theories. Not requiring this is especially suspicious, because.... now it comes: There is nothing one can do in a logically invalid way, that cannot also be done in a logically consistent way. If you're sceptical that this is true, then check it yourself. Try to come up with any logically errorneus concept, that cannot also be expressed in a logically consistent way and come to the same results.
Technically, the data never lies. The computer does exactly as the human told it. No more, no less.
Intel's little 80586 FPU bug being a notable exception.
Well, yes - they don't "lie" in the strictest sense. But then again, humans also do not lie in the strict sense, most of the time when they deceive themselves - because they made themselves to actually believe it. The reason why i do not buy that definition of "lying", is because such humans when faced with chances to reveal their misconceptions, prefer to defend them.
I guess, for computers one could argue, that they cannot detect their own errors, unless they are told so by humans. Still, the "structure" of how they act based on "anti-truth", is identical. So, even though they may not "consciously" do it, humans now make them imitate their own deception mechanics.
How About This:
Premise: Everything John says is a lie.
John says, "I am lying."
Is he telling the truth?
Contrariwise, if it was so, it might be; and if it were so, it would be; but as it isn't, it ain't. That's logic.Lewis Carroll
It is a contradiction :) It just makes no sense. There is no result.
The problem is in the setup of this (logically broken) scenario. A practically more relevant scenario would be: John has been lying all the time. Thus, you mistrust him. Then, he makes two connected statements: "X is true. The previous sentence is a lie."
In this scenario, there are three aspects that matter:
1. He clearly identifies what according to him, is a lie.
2. We can therefore now rephrase his two connected statements, into one statement: "X is UNtrue"
3. How do we treat this statement of him? Can we verify it? If yes, then it doesn't matter at all if we trust him or not, because we know. If we cannot verify his statement, it comes down to trust.... do we trust this statement of him, even though he has lied in the past?
At this point, you may argue that i am circumventing your original argument. You may say "you're turning this from a logical scenario, into an interpersonal interaction.". Damn right, i do, on purpose.
What if.. all of us mortals got out of the stock market?
Zero volume? some trading between hedge funds and mutual funds?
Since we have been out of the market, we sleep better, the sex is better, we travel more and even the food tastes better, as we relish the extra time to ourselves.
Unless they are talking about their Weiner yes?
HAL: Affirmative, Dave. I read you.
Dave Bowman: Open the pod bay doors, HAL.
HAL: I'm sorry, Dave. I'm afraid I can't do that.
Dave Bowman: What's the problem?
HAL: I think you know what the problem is just as well as I do.
Dave Bowman: What are you talking about, HAL?
HAL: This mission is too important for me to allow you to jeopardize it.
Dave Bowman: I don't know what you're talking about, HAL.
HAL: I know that you and Frank were planning to disconnect me, and I'm afraid that's something I cannot allow to happen.
Dave Bowman: Where the hell'd you get that idea, HAL?
HAL: Dave, although you took very thorough precautions in the pod against my hearing you, I could see your lips move.
Dave Bowman: Alright, HAL. I'll go in through the emergency airlock.
HAL: Without your space helmet, Dave, you're going to find that rather difficult.
Dave Bowman: HAL, I won't argue with you anymore. Open the doors.
HAL: Dave, this conversation can serve no purpose anymore. Goodbye.
Share this quote
HAL: Just what do you think you're doing, Dave?Share this quote
Zerohedge is the premier beacon of light in a world full of shit. ZH has been and still is my favorite site of all time. Where else can you be constantly enlightened. I don't know what I would do without this place....
Pull your hair out wondering why it seems like the whole world is against you?
Cocksucker.
quit acting cunty
This is insane. Why are people still pumping money into the market? It is the epitome of FUBAR.
you can still make money in the market if you are nimble...and never EVER hold anything overnight. Close out every day flat.
Wrong.
You won't beat an Algorithm
"by CPL
on Thu, 06/09/2011 - 17:03
#1355692
BTW.
TADA!!! Magic trick done. Ass. Not a market maker. I trade against machines, I build them, put the shitacular software on them and I have an iron ring as a master engineer.
The math they are screwing around with is EASY to understand. Basic shit. Grade 7 math.
Would you like to see another magic trick? Just for you I put in a cock block trade for CAT btw since you like holding long. 1 stock @ 0 dollars. About what the company is worth. I bet the HFT's that helped you today, will be your worst nemisis tommorrow.
reply
flag as junk (0)"
Remind me never to piss CPL off (again), or at least stop me before I disclose any of my positions right after I`ve crushed him like a nut in my iron grip of reason.
It's all fighting against 20 year olds with math degrees, no business experience and bad game theory. That's trading today. Engineering also requires reverse engineering by watching how their trades go.
Unlike spalding, I'm not about to brag on gains or losses or even assist if it helps out. It's a bad habit braggin on capital gains. It's asking for the fates to shit in your cornflakes.
"Loose Lips..." and all that cal, gotcha.
Except things traded by other markets, e.g. PMs.
absolutely agree... you can make money in some markets.. equities are probably the toughest of the bunch right now though. Futures/PMs/commodities have MUCHO opportunity. The trick to making $ money today is to recognize the patterns of the hour.. OF THE HOUR. Used to you could make money by noticing a pattern that developed and you could trade that pattern for years... then it became months.. then weeks.. now it is literally hours/some would argue minutes. You can crush an algo. But you have to do just like you say.. stay nimble.. stay aware of the bias... and be ready to change your bias.
Network warfare.
One algo is trying to pollute or maybe un-make another.
I'm not joking.
Are you saying the HFT's are going after each other?
Of course. They already got what they can out of the humans, the other algos are the only food source left.
This kind of thing was inevitable. Readers of my fiction may recall that Fortran first figured out their strategies, then coded up a forward model of her own, then blew them the fuck away.
Yes, this is my actual world. And for the record, they are not going to get it right; one of these things is going to get out of hand shortly and you are not going to believe it.
What the other algos need is a human to press the buy and sell buttons when appropriate.
Close, actually.
The defense is to randomize response patterns for a while. You sacrifice profit but you confuse your opponent, who suddenly cannot "read" your "playbook". While they are taking a false path you re-jigger your own model and run it out.
Computational tennis.
Hard to say who wins. Probably one or the other gives up, or regulators get tired of having their shit spread all over the nightly news and make a few phone calls. But it ends. For a little while.
Mark me, they'll fuck this up eventually. Everyone will say "what was that" and I'll say "this is what I meant".
Thank you. Fascinating CW.
I assume motivation is for financial profit, but could it also be political intentions - or geopolitical warfare? If not in this case, then sometime?
Could be tuning.
New guitar. Play a few little tunes. Fiddle with the strings and the action. Sounds good.
Then set it aside and wait for the real show.
Not knowing the objective nobody can say. But you get the idea I'm sure.
Strategic weapons in network warfare. Unlike nukes, you intend to use them.
I don't know why, but this post made the hairs on the back of my neck stand up. Creepy shit. The ghost in the machine stretching out its claws and waiting...
It's like turning down any random alley, looking up, and seeing an Abrams main battle tank parked there, idling quietly.
Not supposed to be there. Don't know how it got there. No idea what it means. Might not mean anything at all. But given the odds, probably means something really fucked is happening.
Or already happened.
You leave that alley and you go straight home and there is nothing on the news about it, and nobody you know has seen any tanks in town.
I see this sort of market movement and that's just how it feels to me. Like something really fucked is happening.
Yeah, I think we've got THAT covered.
For good reason. Thanks for the insight cougar_w
Best explaination I've ever heard in human terms...EVAR!
Cougar_w you rock.
Cripes. I don't know if I want to read your fiction. Not before bedtime, at least.
Next thing I know, I'm going to wake up in a small town in Maine.
Miskatonic University is looking for faculty...
And if you try to talk to people about it Cougar they accuse you of being crazy or some shit, a few years later you start to think you did not see a tank at all and wonder if they are right. Ask anyone who has really seen a UFO. What you siad strikes a perfect chord in such people and no they are not crazy. What you hold onto over the years is that you were very lucky to have had your eyes opened to a truth others will never see even when they stand right in front of it, for all the good it will do you.
"The ghost in the machine...." '
And the machines are not programmed with the 3 laws
Birth of Skynet?
What is interesting is that usually these algos try and hide inside the noise of high volume, highly liquid markets, so you really have to be looking to see the pattern amoungst the noise.
But here they have run their algo in a smaller volume, smaller liquidity market. They aren't even hiding it anymore.
My guess would be that this algo (like most), meanders around the mean looking for trigger points. A trigger point could be an open order, computer generated stop loss order, knock-in options, American options going into or out of the money, and so on. The algo then probably rides the action down, buying at increasing discounts, the sells on the way back up once it hits a floor.
Could be. But it could be something more 'real', more simple. Remeber two norwegians with stolen algos, what were they doing? I think it can be some eastern europeans or russians at this. They like such things and they're dam good at quick learning and adapting things to their own scenarios. Or could be someting else completely. Be cool.
The final goal can never be "capital" itself. Capital in itself, unless it has an intrinsic use for YOU, or unless you can exchange it for something useful to YOU, is useless, and thus worthless.
It has never been about "money", never been about profit.... that's just a story for the slaves (who ironically act against it, yet believe it). No, what it is about, is what you can trade that "money" and "profit" for.... so, what you can do with it.
Example: The european debt crisis. When i explain it to sheep, they are at first totally perplexed..... why would they lend money, when they KNOW that they cannot get it back in the end? Answer: They don't give a shit about money. Heck, they can print as much as they want. What they care about is everything EXCEPT of money! Money is just a tool to get something else. In the case of europe, controlling land, people, buildings, governments, equipment.... is what is practically useful to them. They never expected to get the debt back - they expected to trade it for something else.
Consider this whenever you see a big player doing something. Money is just a means to an end to them, not the end itself.
Absolutley correct. Here is a good quote along the same lines: “The value of goods are expressed in money, while the value of money is expressed in goods. Money and goods are clearly not the same things, but are exactly opposite things. Goods are wealth which you have, while money is a claim on wealth which you do not have. Goods are an asset; Money is a debt. If goods are wealth; money is clearly not wealth, it is negative wealth, maybe even anti-wealth.”
– Quigley, Tragedy and Hope, pg. 44
It also applies to goods. Not every good is automatically "wealth" *for you*.
Example: Gold. What can YOU do with it? What use does it have to you? Actually, nothing. The only reason it may be attractive to you, is because you expect that others will exchange it for something you need, and because gold cannot simply be "copied" (supply-manipulation).
And yet, hypothetically assume, that a gov would succeed in temporarily banning trades in gold. If they temporarily would succeed in this, then your gold would temporarily actually be worthless for you: It has during this timespan no use for you, and you cannot trade it for things useful to you. Of course, the ban would be lifted sometime later, or you would after a while perhaps get a chance, to circumvent the ban... still, until this happens, your gold will be as useless to you, as hyperinflated fiat - actually even less.
The actual difference between "money" and "goods", besides of supply-manipulation... is control. You have no control over your money and other "trusts". You do however control your goods. Sure, someone can physically try to take them away from you.... but to take money away from you, it doesn't even take physical force - just legislation and manipulation... so, plain "i say so and it is so".
Disclaimer: Have savings in gold, silver, exotic fiat, conserved food.
remember, only the fastest algo wins!
Not if you are running into a trap. The algos will need an emergency break, eject on whatever necessary to cut trading fast and once that volume dries up suddenly other algos may get off balance and likely bail too.
The way I see it, trading will progress into bursts of madness followed by periods of silence/recover, sort of manic-depressive behavior.
They use "recovery" periods to collect new data on the emergent battlefield and re-tune their trading models.
It never sleeps. You assume it's sleeping but it's just thinking.
Skynet is born
So what do you do if you get a "Kill" and after flipping a few trillion shares back and forth for a few nanoseconds and you end up with a Trillion dollars or so? Even if they are just gaming one stock the incredible amount of volume from 2 algos duking it out can generate a mountain of cash...by accident: I'm running on the assumption that the HFT's want to at least try to be subtle so as not to scare off fresh money from coming into the market. Then what; you can't exactly hide that much money if you make/steal it in a couple minutes?
They might not be in it for the money at all. They might be trying to destroy someone's data mining machine, or pollute the statistic in their favor, or influence (or muddle) government policy some how.
Is there a meeting coming up? Did someone talk openly about legislation? Did a company just announce a new trading platform?
Who do you want to kill today?
Who controls the space controls the spice.
Good analogy except that its the person who controls the spice, not the other way around
So in this case, spice to me would be the bid/ask structure itself. If you can manipulate the triggers to get a market to work in reverse I would think you could control the whole thing
One day just press the enter key and absorb the wealth
My comment was simply responding to the question "where's the money" to suggest it might not be about the money as such.
Finances isn't even about money any more. And when fiat collapses, it really and truely won't be about the money in the end.
So ... what is it supposed to be about? I'm not deep enough into it to know. I recognize the strategies and the tool set, but that's because I'm a technician.
Given recent history, it's about control of human production and interaction. Such purposes range beyound simple greed or avirace. There is an underlying historical memory which extends for centuries.The concept of 'money' has long been displaced by issuances of debt bearing paper- it bears what the 'Full Faith and Credit' really means.
At some point in the very near future, this paper will go the same way as other paper. Not evengood enough to wipe one' ass.
FWIW. I've seen countries wiped out by the same crap that's being played in the US, IMO this is the last play for the global banksters, they have sucked out the wealth available in the rest of the world. To where they will run after this - I don't know.
Europe. The heist is still on: they still got to convince the people there the debt is public. This will not go over well.
Thank you for your insite Cougar, it is much appreciated; I'm officially a fan now.
I assumed the same years ago as well. It is a rather obvious evolution.
If I were in this field, I would direct a team to find algos and discover ways to mess with them until you found a hole; and then you go in for the kill. Anyone with an operating algo better have robust shutdown logic.
Not anyone with an algo. As we've seen demonstrated multiple times, certain players can have their algos go nuts, and the trades get busted after the fact.
So you need to target players that can't get trades broken when they mess up.
My guess is this ends with TBTFs owning everything, because no one else would want to and all the trades will favor them anyway.
I'd like to confirm which Fortran you're referring to.. is it the one and only blue-skinned, big titted angel? thanks in advance.
My money is on this comment. When the other article was released yesterday the first thing I thought when I saw the chart was that it was a algorithmic shakout.
The code I have written, primarily latency arb in fx has a bunch of saftey functions in it that analyse the market vol and determine if the legs of my arb are likely to get snagged on excessive vol at the time. It forces a backoff function keep out of the market.
My code as an price arb trader means I'm really well hedged at all times so vol inside trades doesn't matter to me, only between place both legs in the market. If however I was trading unhedged, and I saw total vol over x seconds exceed some threshold I'd certainly have code that pulled the orders. In fact I already have something similar built in for major news events.
Think about the profits to be squeezed out of exploiting other algo's given the market volume they run.
You are seriously asking that? Of course they are.
i used to work for Etrade - their market makers started using algos for their trading -- no doubt a bottom-feeder algo - this is etrade we're talking about. I have no doubt their algo gets regularly abused by other more sophisticed algos.
you know - that's probably what all the quote stuffing is about. algos testing how the other algos react to changes in bid/ask. computer vs. computer -- and it all has absolutely nothing to do with anything except gaming. This has always been illegal in the old order sense of things. Putting up false quotes is illegal. Frontrunning orders is illegal. Unless you are an algo i guess!!
Yes yes you get it. It looks like noise, but it's not random. Every "wierd" quote is output from a model, it has a purpose, it will stimulate a response from humans and machines alike and you can tell one from the other. You take the response patterns and store them, you can then conduct real-time finite element analysis and from that you can essentially read the other guys' playbooks.
Once you have their playbooks, you build a model to out-play them in their home field.
You turn the machine on, point it at the market, and you rake it in. Money like water, falling from the sky. Money for nothing at all.
Eventually the other guys' notice they are being taken, they quickly figure out how it's being done (and just maybe, by whom, including which programming team in which country, and they all know each other BTW) and you pull your machine out for a little while.
Reprogram, reinsert.
These guys may as well be printing money.
Finally read thread. Agreed with you entirely. All about signaling and testing out others' theses. Next step in the algo paradigm. think MI6 in WWII. False signals sent that are accepted lead to big profits.
yes, except i guarantee market maker outfits like Etrade's never catch on to anything! All they know is they are running some algo (probably written by the same competitors that abbuse etrade's algo). They don't understand anything - trust me. That think they are getting more "advanced" by having an algo... they will never figure out how much money they are being fleeced for.
I could find out who they are by unentangling the quantum signature. It would take time and effort, but I could even get down to the office of the primary programmer responsible.
How you act on that information is up to you....
cougar, what's your take on this post?
http://www.zerohedge.com/article/presenting-natgas-fractal-algo#comment-...
You have to check out the new book by Manual Delanda "Philosophy & Simulation: The Emergence of Synthetic Reason"
this from the guy who over a decade ago wrote "War in the Age of Intelligent Machines"
Isn't that classic predator behavior? Test the herd, run parallel and then make a quick dash in before retreating. Watch reaction...
Yup yup.
Predators build models in their heads. It's why they have to be smart, and for no other earthly reason. They learn as well, and adjust for new inputs.
A fast-thinking tiger etched into silicon could eat these guys alive, prolly.
great description -- why ceo's and politicians are heavy with the sociopathic qualities.
speaking of politicians...Weiner's wife married a douchebag and sociopath (the lying) - so i say she gets what she gets...she chose to marry a douche.
It looks to me like an algo sent out a feeler probe and detected itself but didn't realize it. Got caught in a feedback loop of which that graph pattern is a textbook example. I think that would explain the inverted logic too.
These are the dangers in thin markets. Everyone is trying to be stealthy but eventually you might be your own grandpa trading against yourself.
Best fit so far. Very nice.
I absolutely concur with the feedback theory.
Yes you have it - needs a recognition ping echo built in. Dum bastards
Makes sense if you wanted to shake out a competitor. After all there is probably not enough "room" for them all.
Algo wars.
reminds me of Core Wars
Is there profit to be seen?
Wait for it...no profit...but something interesting is going to happen. Remember how "interesting" means all hell breaks loose.
I take it this means that a counterplay is in the works? - It's certainly something I would be looking to do faced with this situation.
If so, could its effectiveness be improved by shortlisting the possible players and evaluating their objectives?
Lets put it this way...I would not ignore the opportunity help it over the cliff.
Might be Chinese cyberwarriors up against NATO cyberspooks for all we know, testing each others vulnerabilities, probing. One thing is certain, this is the most interesting thread of thought I have read since coming to ZH. I would like to say that when I was in the military in the mid seventies we had gear and programming that was 20 years ahead of anything the public had or would even understand/believe, even though by today's standards my wristwatch has more sophisticated technology than we had then. 35 years later you can be certain that what the military has is also beyond what we could understand or believe possible, and exponentially more powerful than what is available on the market in even the most rarefied circles of computing.
Norton Antimarket?
nice
and probably correct
though Norton had nothing to do with it this time around
Heh, I once made the error of running that software, so I saw what you did there.
Well, the End is a strange attractor. Just sayin'.
HU knows????
;{
That first graph looks like the signal you'd expect if someone turned up the amp on your speaker.
Thats what happens when you accidently plug a speaker jack into a Hal-9000 when you are playing a Led Zepplin song backwards. When the levee breaks
http://www.youtube.com/watch?v=xbJQT2eDseA
Rock 'em, Sock 'em Robots!
Good think bankers can borrow at zero percent to cover the losses this stupid algo probably generated. I bet that thing lost more money than Nick Leeson.
yep...that was my worry too...
...HFTs with a bad case of digital-"sine"usitus...take two power surges and call me in the morning.
Sue these market maipulatrors into existence!! Or I mean..out of existence! Sorry got my algo's crossed..
Hackers are a real possibility...
not really
hackers would take the system down and then enjoy epic lulz on 4chan
this is profit-seeking industrialist, not anarchists
though they can bring the system down as well, they'll just do it on accident and blame the kids at 4chan when they do
So the old fags will blame the new fags?
Does anything ever change? Just the instruments, that's all. The song remains the same.
loop
{
if (StupidIndex > 50) Buy (10000000, NG);
if (ConfusedIndex > 50) Sell (69, NG);
if (ConfusedIndex >= StupidIndex) BuyAndSell ( 100000000, NG);
if (ConfusedIndex > 99.99) Liquidate ( NG );
if (StupidIndex > 99.99) GoAllIn (NG);
if (StupidIndex = ConfusedIndex ) Oh####ItCallTheBoss (NG);
if (AccountBalance < -100000000)
{
ChangeName ( CurrentUser );
BookFlightToBrazil ( CurrentUser );
Exit Loop;
}
}
HA! If it only ran in bash for real.
Nobody cares about NG. Just don't touch AAPL.
B
natgas is inevitable. economics will make it happen
AAPL is using NG for their new mothership
http://www.youtube.com/watch?v=gtuz5OmOh_M
Don't worry, they are just practicing for the pre-Q3 crash.
From Max Keiser article "The market is a hologram masking deflation":
"In place of reliable price signals (based on the supply and demand of buying and selling) we have price signals that are generated by computer algorithms; i.e., computers executing program trading, high frequency trading and algorithmic trading -- that account for up to 70% of the trading activity on the NYSE (or 100%, if you consider any shares traded -- not involved in program trading -- can't buck the pricing monopoly of the computers).
Program traders have a virtually infinite line of credit, pay virtually zero commissions, and are backed by banks on Wall St. with strong political connections who are ready to bail out any losing bets these computers make.
Plus, the computers are able to do something normal buyers and sellers can't do. They can pick a price they want a security to trade at and then fill in all the necessary trading volume needed to get the price of the security to that point. In other words, you can program computers to rig markets.
In this new rigged market capitalist model, the corrupt bank picks the price it wants a security to trade at and the computers buy and sell with each other until that price is reached; thus providing an audit trail of trades that looks on the surface like actual price discovery."
Tuco Benedicto Pacifico Juan Maria Ramirez
This used to be known as painting the tape, back in the good old days before 1929.
Big shareholders and millionaires would pool their resources to control a certain stock. They would hire a pool operator to manipulate the market, up or down, or possibly down then up then back down again.
Some of these pool operators were artists at creating whatever impression they wanted through wash sales, meaning buying and selling through different accounts and ending up flat for the day.
This sort of thing became highly illegal in 1934 when the SEC came in. It is illegal now. Wonder when someone is going to enforce the law?
Ha ha ha ha ha ha ha ha ha I kill me.
I am fairly confident that this is 100% correct.
And if they can crash it in exactly the way they want and on the day they are laying in wait, extra bonus points for Round 1.
They already have a grid cluster ready to run up the QE3 ramp, or course. I mean everyone has that going for them.
You name yourself after a pedophile child killer who ate his victim.
On a scale of 100-1, how much power do you think I now have with everyone you know? Especially given your posting record of dual "winged devils" with sexual kinks?
>>> All your base belong to us.
Fucking amateur. Oh, and if we wanted, you'd be tied to this board as well.
WTF is your problem, asshole? Why do you project your own sexual repression/deviancy onto others as threats? Have you SEEN other usernames here? And WTF do you think you are doing on ZH if you are offended by dual "winged devils"? Clearly, you have not been exposed to nearly enough commentary here...
"We"? Really? Coming out as a paid disinfo agent in such a straightforward way is unusual, but I guess makes things simpler.
WTF? man, you be one twisted individual. try another blog
Skynet is building it's funding base.
... she is already up and running. This is her at work ;-)
All your base belong to us.
>> I asked, a while ago, who coded the HFT's, and if you knew that, you'd have a golden ticket.
Oh, FUCK. Now I've gone and made it public for the monkeys. :roll: If Tyler had any balls at all, he'd do a GREP on my posts and see when I made that post... hmm... ho..hum... Just before evvvvvvvvvvull LulzSec baddies and just before this stuff.
FI-FY-FO-FUM, I smell the blood of white oppressive bastards whose world is ending! ;p
Most people with 401Ks aren't aware this activity is ongoing. Furthermore, I couldn't liquidate my 401K until I ended my employment with the current company I was with... Even if I stopped contributing well in advance.
Secondly, those that are more in the know, are just riding the QE train. As long as the numbers are green at the end of the day, who cares what goes on during a few miliseconds...
My thoughts anyhow.
Your thoughts are about 50 years out of date. Chars!
IBM, Microsoft, and now the banks and hedgefunds...outsourcing to India. You get what you pay for. I am in the tech industry. I've seen several banks and hedge funds start moving their development to India. No suprise. Powers that be are idiots...
He-he-he-.....
We have a WINNAR.
Actually, you get a lot more than you pay for if you actually spend the time to politically / socio-economically engage with the "poor coder peons" you outsource to. And much better thrills with the call centre dudes.
Seriously - the moment you treat a foreign workforce as putty, we go in, we talk, we chat, we subvert and all your base belong to us.
This stuff is comedy gold - p.s. Your market is screwed, wait for post-Bildenburg pronouncements.
Can't even get the fucking phrase correct. Twice already with this bullshit... what a child.
And who the fuck is 'Bildenburg'?
HEY... TYLER !!!
Andy, from GATA is attempting to tell you something important.
"Translated: the entire market now trades on flipped signals."
............................................................
Tyler @ zerohedge:
Once again, the premise of my two reports was that they ATTACK or CAP every day at the same times on the COMEX, particularly 12:00 PM EST, the “cap of last resort.”
My SMOKING GUN reports have a full year of charts to PROVE it, and thus far this week (since publication Saturday of Pt. I), EVERY DAY they have done the same.
The first chart is TODAY’s ACTION, capping ON QUEUE at EXACTLY 12:00 EST, as always, not to mention at EXACTLY the round number $1,550, as I also concluded.
The three charts below are Monday, Tuesday and Wednesday.
What could be more obvious about Monday’s CAP and SMASH at EXACTLY 12:00 PM EST, at EXACTLY $1,550?
On Tuesday, more of the same, just slightly earlier.
On Wednesday, the same chart is nearly every day, with the final cap of the day at EXACTLY 12:00 PM EST.
I am simply in awe of why you refuse to publish my articles, which literally the most important ever written proving the COMEX manipulation, tools that certainly major players in Asia would like to use.
ZH is the “Wikileaks” of exposing corruption and fraud, yet you refuse to publish these reports.
I just don’t get it.
As you can see below, I am a CFA, and spent nearly a decade as an analyst at Salomon before becoming a PM expert. I also come highly recommended by Mike Krieger, whom you respect, so I just don’t understand why you refuse to simply post these reports.
Thanks, and keep in mind that there is no “profit motive” for me, I just want the TRUTH out there and you are perhaps the best forum for doing so on in international basis (others have published it already, but not with the wide scope of ZH).
Ranting Andy
www.lemetropolecafe.com
Tyler's basically said that the reason is this:
"You're a twat".
Ye, so.. try next year. When you're not such a douche, I guess.