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HFT Contagion

CalibratedConfidence's picture


Nat Gas kissed $4 just after 10:00 EST and then subsequently collapsed to $3.891 before rebounding all the way back.  Coupled with Fannie Mae, we're in an Efficient Market!  This time, the computers were a full 7 seconds ahead of the release, not the 400 ms we've been seeing.

Via Nanex:

1. UNG Showing trades color coded by exchange.
EIA news is released at 10:30. Market starts moving 7 seconds earlier.

2. May 2013 NG Futures - showing trades (squares) and quote spread (pink).
Same story in futures - movement starts 7 seconds before news release.

3. UGAZ Showing trades color coded by exchange.

4. UGAZ Showing quotes color coded by exchange.
Averaging 166 quotes (orders) for every trade. And look how wild the quote prices are.

5. UGAZ Showing quotes color coded by exchange - zoomed out view of chart 4.
Quotes. Everywhere.


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Thu, 03/21/2013 - 15:41 | Link to Comment dontgoforit
dontgoforit's picture

One would surely suspect some 'cheating' going on.  Where's the SEC?  Don't they monitor this stuff?

Thu, 03/21/2013 - 14:03 | Link to Comment ebworthen
ebworthen's picture

Seven seconds ahead? 

That's a very long time in machine time.

Thu, 03/21/2013 - 13:48 | Link to Comment Nobody For President
Nobody For President's picture

Silicon normal.

Thank God for NANEX! Someday maybe even the SEC will be able to read and interpret Nanex charts.


Thu, 03/21/2013 - 13:31 | Link to Comment walküre
walküre's picture

HFT gets shut down in Europe. Coming here soon. The end of the "market". No HFT, absolutely no volume, no trades. Prepare for a long 2013 and start watching paint dry until you like it.

Thu, 03/21/2013 - 13:25 | Link to Comment Bear
Bear's picture

The last one looks like a NY homeless guy sitting against a wall blowing bubbles ... Maybe BB on a break

Thu, 03/21/2013 - 14:56 | Link to Comment DeadFred
DeadFred's picture

Nanex is the ultimate Rorschach test.

Thu, 03/21/2013 - 16:49 | Link to Comment Bear
Bear's picture

Did I pass?

Thu, 03/21/2013 - 13:23 | Link to Comment Downtoolong
Downtoolong's picture

If physical gas knew we were trading it like a bastard child it would probably all spontaneously combust in disgust.

Thu, 03/21/2013 - 13:21 | Link to Comment pirea
pirea's picture

A proof that the market is manipulated: I remember that just a few weeks before the price of NG collapsed from 24 to 5, a bunch of guys came one by one at my door, over a few days proposing a contract to decrease my bill gas 20% but to lock the contract for a few years. They were sent by the big guys who knew for sure what is comming.

Thu, 03/21/2013 - 13:15 | Link to Comment adr
adr's picture

I love how regardless of supply and demand I end up paying more because some silicon wafer tries to scalp pennies every milisecond for its bankster owner.

At least the winter is pretty much over.

Thu, 03/21/2013 - 15:19 | Link to Comment IdiocracyIsAlre...
IdiocracyIsAlreadyHere's picture

Not to mention that the pennies don't exist in any physical form whatsoever other than the silicon wafer itself.  People bitch about the government printing press but don't realize the most of what passes for "money" doesn't even exist in paper form, it is an imaginary combo of 1s and 0s that is making the bankster "rich".  Sickening.

Thu, 03/21/2013 - 13:06 | Link to Comment 11b40
11b40's picture

4 & 5 look like the Manhattan skyline on acid.

Thu, 03/21/2013 - 13:05 | Link to Comment daneskold
daneskold's picture

I see dead quotes.

Thu, 03/21/2013 - 12:18 | Link to Comment worbsid
worbsid's picture

Pretty graphs.

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