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Visualizing The Death Of The Citi HFT Rebate Collection Machine
Earlier this week Citi underwent a reverse 10 for 1 stock split to create the perception that the world's worst financial company is not a pennystock. So far it has failed miserably, with Citi stock dropping in nearly a flatline since the event. But the biggest casualty by far are the rebate collecting robots who would ping pong the stock among each other with no intention of ever holding, merely creating the impression of a deep and liquid market (repeat after us: volume is not liquidity, and HFT provides volume not liquidity). With the price increasing tenfold from before, it was expected that broad trading in the name would drop but a substantial margin. Sure enough, Nanex has helped us by preparing the relevant charts indicating the dramatic change in trading and quoting pre and post the change.
Quote and Trade Price and Size (note the extreme difference in quote sizes).
Trades and Quotes are plotted sequentially as they occur
| 3/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Trade Price and Size. Size is scaled to the same amounts pre and post split.
Trades are plotted sequentially as they occur.
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Trade Price and Size. Size is scaled by a factor of 10 (as this was a 10-1
split). Trades are plotted sequentially as they occur.
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Quote Counts per second.
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Quote Counts per second (5 second view).
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Price and Tick Counts per second.
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Price and Volume (scaled according to split factor of 10) per second.
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Next Nanex looks directly at the heart of the issue: simple algo repeaters, or the same constructs that were responsible for the infamous crop circles:
It was common to see Citigroup ("eC") in our simple size algo filters
everyday, all day. These were usually low grade repeaters (such as the algo
images below demonstrate) that ran at fairly low to moderate quote rates. We no
longer see any from Citigroup.
| 03/21/2011 - Pre Split | 05/11/2011 - Post Split |
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Some of the most fascinating size algos could be found in Citigroup prior to
the split.
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*blip* *blop*
binary disco dancers in neon lights...
Just like any other split: They wait for the stock to return to the pre-split price and then repeat.
To be timed to coincide with the launch of QE3
the TBTF bank is now TETT, Too Expensive Too Trade :-)
Its the matrix! We're in it.
but,but, they raised their dividend by 1 cent!
"volume is not liquidity, and HFT provides volume not liquidity"
This needs to be the rallying cry for the destruction of HFT. Keep repeating it until the point is made clear.
+1
+1
I think you meant +2?
pods
Get lost you 12 year old.
I suppose you could say liquidity = expected volume but it's ridiculous how the two terms have been thrown around synonymously for so long.
There is a easy solution for this. Tax each trade made. We would all be better off. Then the real liquidity trades would reveal themselves and the phony bots will have to pony up for their fraudulent trades. It's better than having the bots hedge your good trades for days pushing stocks up or down to benefit themselves.
Genius! It's like hashcash for marketbots.
you had me at 10-1 reverse split...you lost me on the charts
Well it was a 10 to 1 reverse split. Of course now it looks like those 10 shares are only worth 9 shares in the last few days of trades.
It will be interesting to see if C ever drops into single digit territory again.
Supercool lookin charts, that shit is disco.
ROTFLMAO
Like seeing things through the eyes of a terminator.
FTW
Hearing AIG deal is off the table....its a no go...
Sad day when it is time to trade in a terminal for an o-scope.
+1
Make sure you get a THz one.
With that nifty wave lock feature.
Don't under-estimate Citi. They have a lot of infrastructure and brand power left. Also, they've been selling off their bags of crap as fast as they can. Of course, this means little if the Obama recovery isn't happening like we're being told it is. Rumor has it, Citi has found several hundred 100oz bars of Gold in an old forgotten vault and has traded it for some of that magical Obama-fairy dust. They're planning to sprinkle it all over 399 Park Ave this weekend. By monday, our obamaconemy will rise and Citi will be catapulted to the high 80's with a 25 cent dividend by years end!
you're right, their banking business is solid, they got rid of the retail brokerage at the right time, their leadership is relatively blameless in any of the 2008 shennaigans, (they are or were up to their ass in bad mortgage paper, but hey there are no consequences are there?) the government got behind them early, and the worset seems to be over. which makes me cringe at this latest move. but if it shrinks the float, that is going to help i guess, i figured they would just buy it all back using Bens magic money, and then retire it, so maybe its a good thing
disclosure, went long near the bottom, and inclined to hold.
This is the same citi that has been bailed out by the taxpayer some 12 times in the last 30 years right?
they are actually a retail bank (although Goldman now has FDIC, is has no retail accounts) and they have international branches. They were in deep in the mortgage fiasco, but probably not as deep as BoA and Wells. A bank is a necessary business, they were bailed out by taxpayers, while Goldman simply stole all of AIGs assets, and then feigned innocence, while their top men run the Treasury department. there's really no comparison between them. their stock was punished, (and their shareholders). and i am sure as a money center bank they do a number of dubious things, their business model demands they participate in most of it. do i like their leadership, and their responsibility to consumers, yeah i do. i do business at a CITI branch and they treat me pretty well. I hear other people bitch all the time about Wells and BoA. and the vampire squid front runs my pension fund, and does zip shit for me otherwise. its a rough world ducklings, but making a few basic distinctions between who is who will help you a lot.
Yo grateful...they were deeper than BOA et al, they were broke..they were bankrupt. Yeh they have sold off a bunch of shiite, but notably no other bank creatyed an entity called "bad bank" to place all there shiite.
Propaganda!
I see Green Shoots, an organic recovery, a strengthening economy with solid fundamentals, and if the government (which is now, in reality, the marginal additional consumer of the economy) pulls its extraordinary level of hot beef injections, all will be unicorns, pixie dust and rainbows again.
All is well!
/sarc
I have no idea what I'm looking at.
IMHO --10 for 1 means ten shares traded for one share-- priced times ten at the moment of reverse split-- HFT (high frequency trading) will use computing power to place many trades a second and withdraw or sell instantly when price moves a % of one cent. The trading programs are compeating against other HFT programs so you see many different types of code. However the HFT trade in currency so the number of shares bid is dependant on the price. In this case Citi has volume at one tenth the presplit volume but the liquidity persists--- the crux- volume does not equal liquidity--
+1
Wow. My four-year-old imaginary daughter could understand that explanation.
Keep at it !! It isn't all that hard to learn and once you do the fun is stupendous.
shittybank
Aw, just because they had to split 1 for 10 to afford a $0.01 dividend? Harsh!
Skynet threw up a little in it's own mouth.
Markets are dead. End of story.
NYSE:C 1,000,000 shares @ $4.60 = 100,000 shares @$46.00 date 29 th April 2011
100,000 shares @$46.00 = ZERO, date to be announced, hopefully soon.
well, I see light at the end of the tunnel... it's probably a train :)
I don't know what all that shit means.
Even more simple explanation: A bunch of computers selling and buying forth and back to each other, to give the impression that there is strong market activity. Bot A sells to bot B, Bot B sells to Bot A, Bot A sells to bot B.... and so on.
EDIT: Considering how systematic those algos are, i wonder if one could detect such bots, by simply rendering such charts to soundwaves, and then listening to them.
Now see, that's what I'm talking about. You're now my go-to guy for the ever needed "dumb this down for me" request.
It's so true. US technology is amazing. All that trading activity done at peta-flop speed.
USA, USA. #WHINING!
Actually, it is china and taiwan who is selling the hardware to the USA (though, the software may be inhouse. And from looking at the graphs, it seems to work VERY primitive (but who needs "advanced" when the market is so stupid.... similiar to who needs good propaganda, when the masses are beyond stupid).
I am all over that 1 Cent Dividend.....yeah baby, ROI is back
Wasn't Citi a Cramer buybuybuy fave?
The atheist priest must still pretend twice to keep its fictitious job.
I'm a bit confused by these graphs. i suppose it would help me to compare these with some before/after graphs of 10-to-1 stock splits from the time when there was such a thing as true liquidity. i mean, that would be the scientific method?
Ohhhh..... dude, look at this stuff..... this has written ARTIFICIAL and "ALGORITHMIC" all over it.... it doesn't get much more clear than sine waves FFS! You don't need some stupid scientific method or a degree or be an expert to know, that a natural market does not behave like a sine wave.
citi is the TBTP bank par excellence. If it disappears in the ruins of the coming wind down it will be poetic justice. But it won't as it is Oligarchy protection prone. So there, what Caesar loves he protects. Get lost you rationalists!
Great report but another one of those,,,,"on the verge" moments that many of us can no longer prepare for.
looks like a good beat ....easy to dance to...I´ll give it an 85 Bob......
http://www.youtube.com/watch?v=qZUKBCupZaA
the price charts look like somebody changed the cam in the sewing machine.
embroidery bot.
Citigroup should have been liquidated along with all the bad business it created
.
instead i got to read this garbage
No way, Citi won fair and square:
http://www.youtube.com/watch?v=1QWyg50K4MU
Looks like a pervert with palsy trying to draw a vagina on an Etch-a-Sketch!
They offered me CC no interest 21 months balance transfers & purchases.
I shredded the offer and mailed the empty envelope.
Should have bought something you can easily re-sell for the same price and stuck the money into a CD. Free profits.
Good work Moe..feck the junsters, Curly would be proud.
Everyone see all that selling when the first sign of an attack was believed to ocurring on the train this morning. The market plummeted 100 points in seconds. It is definitely time to get out if you are long stocks, because this ponzi on Wall Street is about to fall through the thin ice into the abyss.
We are seeing small caps (i.e. the ponzi Russell 2000(IWM) selling off hard. This is the precursor to the big board getting wiped out and sold off harshly.
The HFT master control program used be "PONG". It's heritage is clearly shown here.
Great chart porn. And with the employees of nearly everywhere, including Déjà Vu and Tryst knowing NOT to bank at Citi one has to wonder what this song is really about now .. besides learning folks that bank at Citi are trading to Chrysler.
http://youtu.be/u7aDstrDMf0
As long as the federal government and all its spooks need a money laundering entity, Citi will remain viable. Of course should the empire collapse as happened in the USSR and the KGB go tits up, or is that the CIA, hard to tell the commies from the capitalists without a program anymore. - in any case should CITI no longer be needed for money laundering and disbursement of black funds, it would fail since it can't really operate as a business.
I own no banking shares of any banks.
once again....
I'm guessing the guys who wrote the code for the software must have also designed the user interface. HTF can you look at that screen for extended periods of time? How is a novice supposed to derive any meaning from that? Badass UI/UX design pays dividends son. Too bad software in your industry is stuck in the 80's.
I got three letters for your industry...WPF...google it bitchez!
Hey, maybe C can get in on the silver short with JPM so when silver goes to $500 they can be destroyed along with JPM. Oh, they're already destroyed? Never mind.
Wait a minute .. Cramer has been touting C as a value stock for a long time. Well until recently when he said he doesn't like any of the bank stocks..
Call him...for his analysis, and have the pleasure of getting front runned into obilivion.
Whether it is $4 or $44 it is still a ShittyBank!!!
Whether it is $4 or $44 it is still a ShittyBank!!!
Just die already. Why is this Zombie bank still allowed to live?