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XLF Sets World Record In Quote Stuffing With 23.3 Quotes Per Millisecond

Tyler Durden's picture




 

Today, the most fascinating fuck up in the stock market was not the flash dash in Renaissance Learning after hours, after the company announced it was handing out a $2 special dividend which based on some Keynesian version of mathematics resulted in a $9 surge in the stock price, but what is almost certainly a world record set in the churn of one of the most actively traded ETFs: the SPDR Select Sector Fund - Financials, better known as the XLF. As the linked Nanex data demonstrates, between the times of 14:25:18 and 14:27:20, someone sent out a total of 2,793,000 quotes on the Nasdaq exchange, an average of 23,275 quotes per second, and 23.3 quotes per millisecond! While we have not followed individual churn rates before, we assign today's quote bombardment in the XLF the world record (for the time being) in churning empty quotes. All joking aside, the SEC should immediately figure out who the offending party in this flagrant example of quote stuffing was, and politely ask just how it is that the entity could possibly expect that someone, anyone, could possibly trade on these 2.8 million quotes in 2 minutes, and if the intention was not to actually trade based on the massive quote packet (which is the only legal option, but that's a story for a parallel universe in which the SEC actually cares about the rulez), just what the actual intention of this world record in churn was?

Below is a visualization of the explosion in XLF churn:

 

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Wed, 10/27/2010 - 23:30 | 682355 rocker
rocker's picture

Pinch Me.

Wed, 10/27/2010 - 23:36 | 682363 LongSoupLine
LongSoupLine's picture

Rome just had some more fuel dumped on it.

Wed, 10/27/2010 - 23:39 | 682370 TheGreatPonzi
TheGreatPonzi's picture

Faster computers, faster networks each day: let's face it guys. Human traders are dead forever.

Wed, 10/27/2010 - 23:39 | 682371 tewkatz
tewkatz's picture

In other news, Fujitsu now shipping 10 petaflop supercomputers based on Sparc 64 VIIIfx processors... :)

Wed, 10/27/2010 - 23:45 | 682385 trav7777
trav7777's picture

Impressive...anyone who thinks Japan isn't a de facto atomic weapons state with this type of technology at their disposal is a fooool

Wed, 10/27/2010 - 23:41 | 682376 Bose Einstein OracIe
Bose Einstein OracIe's picture

Looks like it occurred at a key point on the chart too. I think most of the manipulation out there is related to this kind of stunt. It's not hard to create technical buy signals at certain points on charts. 

If the net result of this churn was raising the price a few cents just after double-bottoming on a moving average as this did, thus creating a moving average crossover and subsequent rally...mission accomplished.

My question is was it this churn that produced the rally that followed via technical buying on a short term period? Looks like it could be.

Thu, 10/28/2010 - 00:39 | 682459 palmereldritch
Thu, 10/28/2010 - 23:26 | 685102 palmereldritch
palmereldritch's picture

Wow.  I gotta say that there are some serious POS Fascist, censorious, bloodsucking, penurious fuckwads in the world when a link to a 15 second clip of the original Frankenstein movie portraying the moment when Dr. Frankenstein breathes life into his creature is pulled because of copyright infringement?!!

Indulge my egocentric perspective for a moment but this clip had no ostensible activity on it for more than a year before I linked to this (based on the comments on youtube) and was for all intents and purposes idle.  It had a very low view count.

Tyler, you have some serious communist parasites trolling these threads dude.

You know...sometimes it's the little things that piss you off the most.  [Note to self: study more on HFT]

 

Oh wait a minute...here it is again....

http://www.youtube.com/watch?v=xos2MnVxe-c

It's Alive!!!

 

Wed, 10/27/2010 - 23:44 | 682380 trav7777
trav7777's picture

Tyler...dude..haven't we been over this before???

The culprit is ALREADY KNOWN.  WADDELL & REED, gfdit!

GET OVER IT ALREADY

Thu, 10/28/2010 - 08:20 | 682868 Cistercian
Cistercian's picture

Just providing needed liquidity.....for their pockets!!!!!!!!!!!!!

Wed, 10/27/2010 - 23:44 | 682381 system failure
system failure's picture

Mr. Obvious would ask just what is going on with the banks stock etf maings? Maybe I should be buying before everyone else. But hey, wait a minute, maybe I should be selling cuz this is obvious overload and to rich to handle right now. With all the good news on forclosuregate, I would figure Mr. Obvious would be okay with at least 50,000 quotes per second before Mr. Obvious buys.  

Wed, 10/27/2010 - 23:45 | 682383 FischerBlack
FischerBlack's picture

Since this is almost certainly algos trying to trip-up other algos, nobody will ever know the reason for it. Personally, I've been running an HFT system from the 3rd floor men's room at the NYSE, second stall. I can stuff a trillion IBM quotes in Planck time while dropping a deuce. There's plenty of room at the bottom, boys and girls.

Thu, 10/28/2010 - 01:51 | 682575 frankTHE COIN
frankTHE COIN's picture

pass some toilet paper into my stall.

Thu, 10/28/2010 - 05:43 | 682746 theprofromdover
theprofromdover's picture

Old joke-

Says Mrs Dunn of Dublin -if you are going to the Big Apple, look up my son -little Neilly. He never calls.

Where does he live?

No 3-4 oi think. Yes, that's it

???

A week later, on 3rd floor men's room NYSE, oi'm using the facilities, but all the cubicles are locked.

I tap on No 4- Are you Nearly Done?

Oi am dat -but there's no paper!

You should be ashamed of yerself.That's a poor excuse not to be writing yer poor mother.

Wed, 10/27/2010 - 23:48 | 682384 samsara
samsara's picture

 

"...just what the actual intention of this world record in churn was? ..."

 

Again,  Imagine these are individual 'Test Runs'.   Different routines on different markets using different techniques. 

Imagine once they field test them all, at particular time,   a coordinated blitz of all markets.   FX etc.

 

 

Thu, 10/28/2010 - 00:53 | 682491 fuu
fuu's picture

I think you mentioned this last week and I have been thinking about it a lot since then. Certainly nightmare material.

Wed, 10/27/2010 - 23:47 | 682389 system failure
system failure's picture

Wait a minute, JPM has switched from Silver manipulation to XLF manipulation. Now we can sue them for this too.

Wed, 10/27/2010 - 23:52 | 682396 Mad Max
Mad Max's picture

So, just to make sure I really understand what's going on here - a large pseudofinancial industry, "high frequency trading," has been created on the basis of using techniques that are both obvious and blatantly illegal under clearly settled federal law?

Do I have that right?

Banana nana (republic) no nana nana (republic) etc.

Wed, 10/27/2010 - 23:59 | 682404 A Clear thinker
A Clear thinker's picture

As I often think about things...

"The only winning move is not to play".

Thu, 10/28/2010 - 08:22 | 682872 Cistercian
Cistercian's picture

 No one beats the Theive-o-matic.

 

  No one.

Wed, 10/27/2010 - 23:59 | 682406 moofph
moofph's picture

...that's almost as fast as those robo signers.

Thu, 10/28/2010 - 00:18 | 682423 putbuyer
putbuyer's picture

I lost 3 cents to them. Fuckers

Thu, 10/28/2010 - 00:38 | 682454 Conrad Murray
Conrad Murray's picture

For those whose spirits aren't completely broken and feel like doing something:

http://www.sec.gov/complaint/selectconduct.shtml
http://www.congress.org/  <---- Use the "Find your lawmakers" search box ont he right side of the page.

Thu, 10/28/2010 - 01:32 | 682551 LeBalance
LeBalance's picture

Churn, Baby, Churn!

Market Inferno!

Thu, 10/28/2010 - 01:43 | 682565 poor fella
poor fella's picture

Uh, yeahhhhhhhh, we had a little coffee accident here....    sorry about that, no harm no foul?   xoxo

Thu, 10/28/2010 - 01:56 | 682581 The Axe
The Axe's picture

Just broken.and no one cares....

Thu, 10/28/2010 - 03:17 | 682641 StychoKiller
StychoKiller's picture

"Bots Gone Wild!  New New York unbolted.  What if you could travel the city and find the hottest robots just waiting to show you how wild they can get?  Catch the insane action when our cameras find the hottest real college robots doing things they never taught you at Mom's Robot Factory!" -- From a Futurama poster

Thu, 10/28/2010 - 03:46 | 682659 fiftybagger
fiftybagger's picture

Ever read the message boards?  Sometimes informative because a lot of guys like to discuss their book, gives you an idea what people are thinking.  Know what this board tells me?  NO ONE OWNS THIS SH*TE BUT COMPUTERS!!

 

Now, sell all your paper, buy physical, drain all but the last couple thousand and fill the coffee cans with cash, get some popcorn, and enjoy the show.

 

IT'S OVER PEOPLE!

 

http://messages.finance.yahoo.com/mb/XLF

Thu, 10/28/2010 - 04:29 | 682699 alleyb
alleyb's picture

on 10/26 the wire services reported:

==============

WASHINGTON (Dow Jones)--Federal futures regulators will begin seeking comments from the public on how it should develop rules to deal with disruptive trading and whether those rules should specifically address automated trading programs similar to the one used on May 6, the day of the so-called flash crash.

The Commodity Futures Trading Commission voted 5-0 Tuesday to publish a lengthy list of questions on disruptive trading practices and how to address them. The agency plans to follow up with a public roundtable on the subject Dec. 2.

The Dodd-Frank financial law gave the CFTC new powers, which go into effect next year, to police certain disruptive trading practices without the need for additional rule-making. That gives the CFTC the power to target practices like violating bids or offers, intentionally or recklessly disregarding the orderly execution of trades in a closing period, and spoofing, or intentionally cancelling orders before they can be executed

==============

Note to ZeroHedge Pls: make sure your article is made available to the CFTC etc

Thu, 10/28/2010 - 06:12 | 682758 Bear
Bear's picture

I lost $11,000 in about 3 minutes on 5/6 ... filed a complaint with CFTC, and never heard from them again ... public input will fall on real deaf ears:

See No Evil

Hear No Evil

Become Evil by not hearing or seeing

Thu, 10/28/2010 - 09:00 | 682952 trav7777
trav7777's picture

but...but...that guy who worked on wall street told me that this type of practice can't happen!!!!11

right here on ZH, he said that HFT was just trying to do daytrader momo trades that just don't last very long

Thu, 10/28/2010 - 04:56 | 682716 Azannoth
Azannoth's picture

Moore's Law at work

Thu, 10/28/2010 - 10:01 | 683084 hedgeless_horseman
hedgeless_horseman's picture

hedgeless_horseman's corollary to Moore's Law is the number of bids that can be placed inexpensively on a security will double approximately every 6 months.

Thu, 10/28/2010 - 05:53 | 682751 anony
anony's picture

Tortoise vs hare.

Aesop may have had a point.

All I know is my Apple, MO, BMY and PFE, while subject to a billion trades each this past year, are worth significantly more than I paid for them, simply by ignoring the millisecond moves and all the controversy surrounding HFT.

Isolated instances all. Not to say that it's right just that for INVESTORS, it's irrelevant.

Buy and hold is baaaaacckkkk!

Thu, 10/28/2010 - 08:12 | 682856 Coldfire
Coldfire's picture

Mary Schapiro needs to be fitted for size 36 shoes and a red rubber nose.

Thu, 10/28/2010 - 09:01 | 682959 firstdivision
firstdivision's picture

Where has Kat been?  She's the one that says that this type of thing is needed in the markets to provide liquidity and compress margins. 

Thu, 10/28/2010 - 10:20 | 683133 threefingerscam
threefingerscam's picture

HFT programmer at keyboard "oops. I thought I was logged on to the test system."

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