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Guest Post: A Five Minute Example of HFT Shenanigans

Tyler Durden's picture




 

Via Dennis Dick of PreMarketInfo.com,

I was trying to buy 500 shares of a preferred stock this morning, Principal Financial Group Inc. series B (NYSE:PFG-B).  It is such a challenge to trade any type of illiquid issue as the execution of orders is nearly impossible in this HFT world.  Here is the sequence of events.

At 09:39:08, the stock is offered on EDGX at $26.29.

I place an order to lift the offer.  The shares trade but I get filled on zero shares.  Knowing that my bid will cause a bunch of HFT programs to penny-jump me (step ahead of my order by a penny -  which they immediately do), I cancel the order. The HFT penny jumper cancels their order as well.

At 09:39:29, the stock is offered on EDGX again at $26.32.  I place an order to lift the offer.  The stock trades at the exact same second.  Again, I get filled on zero shares.  I cancel the order.

At 09:39:41, the stock is offered on PCSE at $26.29.  I place an order to lift the offer.  The stock trades at the exact same second again, but I get filled on zero shares.  I cancel the order.

At 09:39:50, I place a hidden order to buy the stock at $26.32.  Five second later the stock prints in front of me at $26.33 (Obviously these hidden orders aren’t as hidden as they should be).  I leave the hidden order to buy at $26.32.

At 09:40:05, the stock prints right through my hidden order on another exchange at $26.30.  So despite my bid being higher at $26.32, thanks to the fragmentation in the market, I get filled on zero shares again (and the seller gets a worse price!)

At 09:40:20, the stock prints through my hidden order again at $26.30.  Again, no execution for me.  Frustrated, I cancel my order.

A few seconds later, at 09:40:36 a couple of HFT programs battle out for the top of the order queue, and the bid changes rapidly, as you can see below:

At 09:40:40, the HFT programs go to battle again fighting for the best bid.

This battle continues for the next few minutes.  In fact, during one period of time from 09:44:53 – 09:46:35 (a total of just over a minute and a half), the best bid changes over 800 times, as these two HFT algorithms battle to be at the top of the queue.

At 10:07:14, I finally lift an offer and pay up to $26.35.  The HFT firms scalps their few cents from me, and all the games are over.

Some serious issues are highlighted in these few minutes of activity:

1) Inability for market participants to access a quote.

2) Excessive quote pollution as HFT algorithms battle each other.

3) Market fragmentation can lead to inferior execution.

4) HFT penny jumping can discourage market liquidity.

The bottom line is that all of these issues discourage participants from trading illiquid securities – making these securities even more illiquid.

 

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Tue, 12/11/2012 - 18:36 | 3053427 molecool
molecool's picture

Great detective work, Dennis - thanks for posting it. Not that anyone running the exchanges will give a rat's rectum. HFT is in - human traders are out. It'll all end in tears one of these days. Maybe tomorrow, maybe a few years from now - but it's coming.

Tue, 12/11/2012 - 18:38 | 3053442 Big Slick
Big Slick's picture

When algo trading is outlawed only outlaws will have ... (wait)...  Aw forget it.

Tue, 12/11/2012 - 18:47 | 3053453 Big Slick
Big Slick's picture

I like to tell myself that my 'down-arrows' are all algos

(see... there's one right there at 17:45:45)

(and another 17:46:01....  and another... FLASH CRASH)

Tue, 12/11/2012 - 19:32 | 3053619 Jay Gould Esq.
Jay Gould Esq.'s picture

No, Stanks ( as once identified by Bill Banzai ) the serial junking dog is apparently running off-leash, and "marking his territory" with impunity, over the entire site this evening.

Tue, 12/11/2012 - 19:45 | 3053676 Sylvia Plath
Sylvia Plath's picture

Samething happened to me trading BPL....

Tue, 12/11/2012 - 20:45 | 3053784 Manthong
Manthong's picture

Mercy sakes!

Those HFT shenanigans as so like the mischievous antics of little Wolfie Hochstetter.

http://i.imgur.com/P5FR5.jpg

Tue, 12/11/2012 - 21:50 | 3054218 smlbizman
smlbizman's picture

jay, would you guess it is a really lonely human being or a program?

Wed, 12/12/2012 - 06:48 | 3055087 noses
noses's picture

If crimes are outlawed only outlaws will comit crimes.

Wed, 12/12/2012 - 10:24 | 3055516 Big Slick
Big Slick's picture

"If crimes are outlawed only outlaws will comit crimes"

Yeah... what HE said

Tue, 12/11/2012 - 18:37 | 3053443 knukles
knukles's picture

Impossible.  All lies and misdirection, trying to besmirch the Street's good name.  Obviously a propaganda exercise of the left wing press in order to have further excuses to nationalize the markets.
The Street says it's good for America and what's good for America is good for the little man in the middle class.

See how well that worked for GM, eh?

 

Tue, 12/11/2012 - 18:43 | 3053458 boogerbently
boogerbently's picture

Had he NOT cancelled his cheapest order, it would have filled @ 9:40+ (AM)

Tue, 12/11/2012 - 18:39 | 3053448 Hype Alert
Hype Alert's picture

No, the exchanges love it.  It LOOKS like liquidity.

 

I've found the best option is to cancel the order and walk away.  They love a biding war and I'm glad to let someone else get scalped.

Wed, 12/12/2012 - 06:07 | 3055054 Nage42
Nage42's picture

OK, so it's like this guys... if you really want "the powers that be" to take some action on HFT all you need to do is the following.

 

Recruit some (~4) smart Russians with math backgrounds.  Tell them that if they can "get 'er done" they'll get a bonus of $50K USD.

Get in bed with some Prime Brokerage that has co-hosting facilities.

Initiate a "wack-a-mole" strategy on the following stocks:  HAL, LMT, MMM, DD, and MON

 

I bet you that within 2 weeks there will be regulators shutting down the possibilities of HFT faster that you can say: "I'm sorry Senator, your portfolio just halved."

 

Think I'm wrong?

 

Nage42

 

Tue, 12/11/2012 - 18:34 | 3053430 Gubbmint Cheese
Gubbmint Cheese's picture

yup - I see it every.. single.. day.

 

 

Tue, 12/11/2012 - 18:35 | 3053434 duncecap rack
duncecap rack's picture

excellent post

Tue, 12/11/2012 - 18:35 | 3053439 Pairadimes
Pairadimes's picture

Why isn't this against the law? It would be in almost any other form of transaction I can think of.

Tue, 12/11/2012 - 18:37 | 3053445 Cdad
Cdad's picture

Laws do not apply to bankers and brokers...at least not in the U.S.

Tue, 12/11/2012 - 18:44 | 3053460 boogerbently
boogerbently's picture

....or congress....or celebrities....

Tue, 12/11/2012 - 18:39 | 3053449 knukles
knukles's picture

Front running is against the law.

Go figure.  It's not being done by a human, just a buncha chips.  And how ya gonna arrest a chip?
Ergo, nothing to enforce.

Tue, 12/11/2012 - 21:35 | 3054149 MachineMan
MachineMan's picture

HFT is too fast to fail

Tue, 12/11/2012 - 18:49 | 3053474 boogerbently
boogerbently's picture

It's like when there is a Senate investigation of some company that gave money to a foreign politician to get something done. Irony.

Tue, 12/11/2012 - 19:37 | 3053644 NotApplicable
NotApplicable's picture

That word "law?" It doesn't mean what you think it does.

Tue, 12/11/2012 - 18:37 | 3053440 asteroids
asteroids's picture

Some day, these HFTs are going to freeze and the market will drop like a stone.

Tue, 12/11/2012 - 18:42 | 3053457 buzzsaw99
buzzsaw99's picture

you are either a terrorist or a commie besmirching the fine american capitalist system like that tsk tsk

Tue, 12/11/2012 - 18:36 | 3053441 Cdad
Cdad's picture

The bottom line is that all of these issues discourage participants from trading illiquid securities – making these securities even more illiquid.

Good!  Maybe it expedites the trade of such illiquid securities to zero?

 

Wed, 12/12/2012 - 01:05 | 3054691 GoinFawr
GoinFawr's picture

I agree, but I think this article is meant to be a hyperbole that demonstrates how HFT removes liquidity from everything it touches, especially when it is crucial,  and so even from traditionally liquid securities.

Tue, 12/11/2012 - 18:40 | 3053452 buzzsaw99
buzzsaw99's picture

just wait until you try to sell - lulz

we must fight, to run away... [/Captain Jack Sparrow]

 

Tue, 12/11/2012 - 18:41 | 3053455 Joebloinvestor
Joebloinvestor's picture

I always thought it was the market maker playing games.

Everyone knows these guys are above reproach.

Tue, 12/11/2012 - 18:47 | 3053471 mammoth mo
mammoth mo's picture

 

What a coincidence - look at the spread on the TVIX at 3:07

 

VelocityShares Daily 2x VIX Short Term ETN TVIX:NYSE Arca

Volatility

Last Price

Today's Change

Bid/Size

Ask/Size

Spread

Today's Volume

Schwab Analysis

$0.84

-0.04 (-4.01%)

$0.8398/1

$0.8399/6

$0.00

3,849,128 Average

Report Card PDF

As of 3:07 PM ET, 12/11/2012

Tue, 12/11/2012 - 18:47 | 3053472 shitting_alpha
shitting_alpha's picture

whine whine whine.

 

if you're bitching about .2% on your execution, you have no idea why you're even making the trade. you just think it should go up.

 

how far, dummy?  .4%???????????????????

L O L.

take up a sport that you can actually play.

Tue, 12/11/2012 - 18:50 | 3053478 nanex
nanex's picture

We created charts of the event to commemorate Dennis's experience:

 

http://www.nanex.net/aqck2/4014.html

Tue, 12/11/2012 - 19:42 | 3053663 NotApplicable
NotApplicable's picture

I tell ya, once the SEC finishes going after Dennis for bot harassment, they're coming after his enablers.

Don't say you weren't warned!

(You folks are awesome)

Tue, 12/11/2012 - 18:53 | 3053486 comrade rally monkey
comrade rally monkey's picture

whats his complaint. he got pipped for $15 bucks...that his clients pay ...and still made more today than the HFT program.

silly broker seeks sympathy...

 

 

/snark

Tue, 12/11/2012 - 18:55 | 3053489 kdrury12
kdrury12's picture

what type of order was placed?  You can tell based on Nanex's charts above that Dennis did not place a resting limit order.  It seems impossible to not get executed if Dennis had placed a limit order to buy @26.29 on EDGX....was it a routable order?

Tue, 12/11/2012 - 18:57 | 3053496 shitting_alpha
shitting_alpha's picture

like most engineers, nanex, you have failed to efficiently monetize your information.

 

so instead of printing money like you should, you spend all of your time complaining about the markets.

 

i have an egghead buddy like you.  he also makes dick.

Tue, 12/11/2012 - 19:41 | 3053664 chump666
chump666's picture

We got a HFT bubble, add that too the stupid goverment bubble, Obama bubble, Bernanke's bubble, China destructo bubble, insane European bubble etc etc etc

Any nerds that rush in now and set up a HFT trading company now, most likely are Johnny-come-lately...that and some crazed nerdy programmer may crash the whole f*cking market.

We are that close to a major reset, and not by design, just by our arrogance.  Nature punishes the arrogant.

 

Tue, 12/11/2012 - 19:42 | 3053666 phyuckyiu
phyuckyiu's picture

I have a stockbroker buddy like you. Fat, miserable, many pills. Everyone knows he's a dick.

Wed, 12/12/2012 - 21:27 | 3058018 SanOvaBeach
SanOvaBeach's picture

Make the $ and fuck everybody in the process,  Your a whore and proud of it.  Your mother fucked a dog and you came out!  So did mine!  Takes one to know one.  Salute, one asshole to another................

Tue, 12/11/2012 - 19:01 | 3053503 comrade rally monkey
comrade rally monkey's picture

ps: that guys a real Dick

 

 

seriously.

Tue, 12/11/2012 - 20:07 | 3053750 fonzannoon
fonzannoon's picture

Chump is one of the better dudes on this site. People have their panties in a bunch because we are staring at the abyss and Chump (and every hedge fund on the planet) thought we were taking a ride down at some point this year? So what?

You Permabull ass clowns should step back and take a look at the long term charts. My favorite is the Nasdaq but go ahead and take your pick.

Tue, 12/11/2012 - 19:14 | 3053542 icanhasbailout
icanhasbailout's picture

My idea for a new, no-HFT-permitted, integrity-based exchange sounds better and better every day.

Tue, 12/11/2012 - 19:47 | 3053682 CPL
CPL's picture

There are called flea markets, yard sales, Kijiji, craigslist and boot sales.  Trade, barter, cash and it's foundation, haggling.  

It's all good as long as you think you are getting what you need at the price you are willing to part with.

Wed, 12/12/2012 - 06:24 | 3055067 Non Passaran
Non Passaran's picture

Define "no-HFT permitted" and I'll think about it.

Tue, 12/11/2012 - 19:23 | 3053576 Getting Old Sucks
Getting Old Sucks's picture

Heck, we've capitalized on the ignorant world (other than the USA) until they got smart.  Now we revert to the place where ignorance abounds (USA)  Surprise anyone?

Tue, 12/11/2012 - 19:32 | 3053621 ekm
ekm's picture

Question:

What do you do when Corleones and shooting against Lucchesis

 

1) Stay in the middle of the bullet shooting

2) Run as fast as you can

 

Any ideas?

Tue, 12/11/2012 - 19:33 | 3053626 chump666
chump666's picture

Now imagine a whole index, the Dow, with HFTs gaming players (the so-called Pros, also Europe and Asia  - except China).  A HFT crowded trade stopping out any shorts and sucking in longs, with a hedged DXY trade to boot. 

The flip-side: HFTs will crash this monster, with or without the fiscal cliff side issue.  Yes, they trade of news, but also know that they can support the MA's, with longs piling on top. 

 

Tue, 12/11/2012 - 19:50 | 3053652 babylon15
babylon15's picture

Over the same time interval of this post, the S&P 500 rose 29 basis points.  Why did he expect to get filled at the 9:40 price when it was 10:07?

Tue, 12/11/2012 - 19:41 | 3053661 shitting_alpha
shitting_alpha's picture

I REMEMBER YOU CHUMP666.  THIS IS WHAT YOU POSTED ON 6/8/2012 ( http://www.zerohedge.com/news/asia-opens-and-risk-closes ):

***********

Quit the crack, turning your mind to mush...

Look Asia starts the corrections, forget Europe it's a write off, no one cares and they have lost brains.  The USD bids started on the Asian open...boom, blew their equities markets south. A slight correction is forming as supports break on most indexes.  We may have a tight range till June passes.  If you are going long have a ten year plan with equities.  No new highs for a long time, you just witnessed the last highs for maybe the next few yrs 3mths back.  Not even Bernanke can do anything, QE3 has to be massive to offset Aisa's meltdown.  Impossible.  A creditor going to the wall will take out America, Europe has already been taken out sans the ECB's mad Mario buying.  Europe is a zombie.  A recession till the great reset when markets can't price anything (goes to zero)...3-6mth time-frame

In the meantime US markets will be short once the supports have been retraced. Maybe a week or so

*******

WRONG AGAIN, GENIUS.

 

Tue, 12/11/2012 - 19:50 | 3053698 chump666
chump666's picture

Um yeah, well November did 4% neg, I made cash ala "slight correction" my words note "slight". Hmm I was also right about the post QE3 selloff and "no new highs".  Thanks for the reminder.  But yes i did miss the current meltup. Which I am pissed about, but with crappy gap-ups on open and no volatility, this market is short rather than long...I lay in wait for 2013.

Overall I think I was on the money with that rant.  And I don't think I was even drunk when I wrote it

Tue, 12/11/2012 - 20:31 | 3053826 shitting_alpha
shitting_alpha's picture

melt up?

 

you mean the 140pt meltup contained in the 200pt yearly range?

 

LOL.

 

if calling it a "meltup" makes you feel better about yourself...

Tue, 12/11/2012 - 21:17 | 3054033 chump666
chump666's picture

But-nut says: "it is 6 months later."

 

Tue, 12/11/2012 - 20:35 | 3053835 Papasmurf
Papasmurf's picture

shitting_alpha


Vote up!

1
Vote down!

-1

I REMEMBER YOU CHUMP666.  THIS IS WHAT YOU POSTED ON 6/8/2012 ( http://www.zerohedge.com/news/asia-opens-and-risk-closes ):

***********

Quit the crack, turning your mind to mush...

 

Look Asia starts the corrections, forget Europe it's a write off, no one cares and they have lost brains.  The USD bids started on the Asian open...boom, blew their equities markets south. A slight correction is forming as supports break on most indexes.  We may have a tight range till June passes.  If you are going long have a ten year plan with equities.  No new highs for a long time, you just witnessed the last highs for maybe the next few yrs 3mths back.  Not even Bernanke can do anything, QE3 has to be massive to offset Aisa's meltdown.  Impossible.  A creditor going to the wall will take out America, Europe has already been taken out sans the ECB's mad Mario buying.  Europe is a zombie.  A recession till the great reset when markets can't price anything (goes to zero)...3-6mth time-frame

In the meantime US markets will be short once the supports have been retraced. Maybe a week or so

*******

WRONG AGAIN, GENIUS.

 

Don't drink and post.  Soon you'll need larger font to see your text.

Tue, 12/11/2012 - 19:43 | 3053667 shitting_alpha
shitting_alpha's picture

 you permabears crack me up.  you're worse than the regular lemmings.

Tue, 12/11/2012 - 19:47 | 3053683 shitting_alpha
shitting_alpha's picture

oh, and one more thing, CHUMP666, like all good lemmings, you called the top

 

AT THE BOTTOM.

 

hahahahahahahHAHAHAHAHAHAHAHAHAHAAHHAAAAAAAAAAAAAAAAAA

 

awesome.  it never gets old.

Tue, 12/11/2012 - 19:53 | 3053708 bobert727
bobert727's picture

Somewhere...someone is working on an algo that will exploit the weakness of these algo, take advantage of them, and send the market into a tail spin. 

Like the movie Close Encounters of the Third Kind when they play cords on an electic organ to communicate with the giant ship.  Soon the command is given to let the computer take over and it begins to communicatea at a much faster rate.

Somone is going to figure out what makes most of these algo's tick and how they react....and then use their algo (X100) to drive those algos into a death spriral. Someone will figure out the predictabliity of these algo and use it to their advantage and to the operators of these algo disadvantage and demise....especially is many of these have no on/off or kill switch.  They will make the machine panic!

It will be coming soon......

 

Tue, 12/11/2012 - 19:56 | 3053716 shitting_alpha
shitting_alpha's picture

are you drunk NOW, chump?

 

on 6/8, the close was 1322.

 

it is 6 months later.

 

we're at 1431.

 

and if you're suggesting that you didn't get smoked in june when you said, "no new highs", you're a liar by omission, or you don't have any confidence in your own trades.  either way, you're a lemming.

 

and i normally don't do this, but i feel sorry for you.  short the march contract after the roll.  it's time.

 

no more freebies for you.

Tue, 12/11/2012 - 20:38 | 3053854 chump666
chump666's picture

Drunk?  Slightly.  But lets go, ok June blows out at 1300, volatility till the July meltup, somewhere on here I actually said we would break highs after Mario's meltup, our immediate top was 1400, we got another 75 points.  Then what? We crunch back to June 2012 lows, fancy that it falls back to 1350 in Nov (yes 6mths)...which was the "slight correction" - hence the short and the top. 

Longs would have been burnt holding from June to Nov, the current melt-up is 100% HFTs. I didn't get smoked, but I missed the meltup from the 1350 bounce.  But HFTs are gaming players to pile in from the 1400.  Go for it.

You have my blessing.

 

Tue, 12/11/2012 - 19:59 | 3053720 Stuck on Zero
Stuck on Zero's picture

The rule is simple: "Never submit a market order."  Always use limit orders or you'll be screwed. 

 

Tue, 12/11/2012 - 20:19 | 3053771 Papasmurf
Papasmurf's picture

Look at the shit storm you caused while Wall $treet firms struggled to sell to you at the "best price".

Tue, 12/11/2012 - 20:20 | 3053777 dreich8688
dreich8688's picture

Point well taken,  the cost of execution goes up significantly.  What u miss, along with the regulators, is the order you entered is coded by the exchanges as retail.  The HFT reads this code before it is displayed to the market and has the millisecond of opportunity to penny the order.  We think our firm has paid an additional $500k in execution costs due to HFT and we are a small RIA

Tue, 12/11/2012 - 20:32 | 3053825 1000924014093
1000924014093's picture

And people wonder why retail left . . .

Tue, 12/11/2012 - 20:47 | 3053893 slightlyskeptical
slightlyskeptical's picture

Just put in buy orders every time you want to sell and let the HFT take it in the bhole like they deserve.

Tue, 12/11/2012 - 21:03 | 3053967 Drachma
Drachma's picture

Anyone ever consider a Stuxnetesque HFT bug? I'd love to see these things literally "flash-crash" themselves. Just saying.

Wed, 12/12/2012 - 00:42 | 3054746 Cthonic
Cthonic's picture

That's a job for alciaduh

Tue, 12/11/2012 - 21:41 | 3054169 Mediocritas
Mediocritas's picture

If you want to see something even more obvious, go looking for issues with a completely blank order book (ie, totally illiquid). Easiest to find them outside the USA, but HFT is still active there. 

Watch the book.

No quotes, still no quotes, continue for half an hour, no quotes at all. Now place an order and, surprise surprise, there's a quote printing just in front of yours, before your quote prints at all. Of course, the book lights up like a christmas tree when your quote appears and the price jostles around while your quote is live. Now cancel the quote, watch the shenanegans for a while until they all disappear again.

It has been like this for years.

In my experience, the way to play it is to take advantage of the fact that these bots have to close net neutral. If you're on the bid, run them up a bit, get them to take positions, then back right off and sit until the end of day. They'll hit you to clear in the last ten seconds. If not, try again tomorrow. Don't, under any circumstance, place a market order, and try to avoid giving in to frustration and handing the bots their pennies.

It can take days, sometimes even weeks, to get into a good position in the desired price range, in this supposedly highly liquid market. In my opinion, measures of "liquidity" should exclude bots or trades involving a position that lasts less than 5 minutes. We'd see how truly "liquid" the markets are.

Tue, 12/11/2012 - 23:12 | 3054536 helping_friendl...
helping_friendly_book's picture

Would it make sense to require a penny tax on all CANCELLED orders?

Make the HFT pay everytime they cancelled an order?

Seems legite buyers would execute and HFT would get to pay for the billions of cancelled orders which transpire trying to scalp you.

Wed, 12/12/2012 - 00:55 | 3054773 jackinrichmond
jackinrichmond's picture

make them pay what we pay !  

Wed, 12/12/2012 - 06:19 | 3055063 Non Passaran
Non Passaran's picture

No it wouldn't to me. Sometimes I need to cancel my orders because I have a limited amount of money at my disposal.
I don't care that it's only $0.01 but I don't want to be taxed (fined) because I didn't do anything wrong. Let the Nobel prize winners tax their people in the EU.

Wed, 12/12/2012 - 08:49 | 3055199 helping_friendl...
helping_friendly_book's picture

But, if you make HFT very expensive by charging them for the millions of cancelled orders market transparecy would result. HFT is BS anyway. It drives investors, me anyway, out of the market.

 

Tue, 12/11/2012 - 22:03 | 3054282 villainvomit
villainvomit's picture

Man o Man.....I can't invest or trade in these markets at all.  Pulled out almost three years ago.  Just doesn't feel right, doesn't look right.  Yeah, yeah it ain't right !!

F these markets

F the fed

F the sorry ass politicians we "elected"

Oh, and while I am at it......F the alledged apollo moon landings.  Hahahhahahaahahahahah!!

Tue, 12/11/2012 - 22:59 | 3054482 fast mover
fast mover's picture

This is why God created MKT order.

Wed, 12/12/2012 - 00:49 | 3054760 Johnny Yuma
Johnny Yuma's picture

I agree that the HFTs need to be disposed of for the most part but shouldn't you just hit the offer (i.e. market order) here? Last time I checked, putting capital into preferred stock should not be based on the exact execution price. Let's say the par value for the preferred shares is $25 and the shares are trading at a premium. What difference does a few cents make if its already trading at a premium? Yeah HFTs are a pain in the ass but you should see the BS that goes on in the fixed income market... Preferred stock's attraction is the income it produces. When trading at a premium, your yield is affected obviously. But who the heck buys preferred stock these days?! If you really knew how sketchy these were, you wouldn't touch them with a ten foot pole and I'm not referring to their intra-day trading liquidity...

Wed, 12/12/2012 - 00:52 | 3054766 Johnny Yuma
Johnny Yuma's picture

Also, if you really want to learn how to trade... Learn VWAP you newb!

Wed, 12/12/2012 - 01:43 | 3054836 resurger
resurger's picture

Keep the ponzi running, i got fucked by so many algos .... not any more. i quit

Wed, 12/12/2012 - 06:33 | 3055048 campag
campag's picture

My experience in trading is mainly oil. I have observed that if i wish to buy say Brent i am best putting a sell stop order in the market. The market will normally head lower to hit my stop , i cancel my stop and then buy the market. The exchange in question ICE say no one can see my stop. I dont beleive them , I believe the security of the exchanges has been busted . Proof I have none !As a trader of many decades experience I see this on a regular basis for it not to be so. 

The HFT have greater viewing of the market - the Exchanges say they dont - as the HFT,S are the exchanges best customer who do you beleive ?

As for S***ing Alpha - should have  fingers removed to stop  comments.

 

 

Wed, 12/12/2012 - 06:56 | 3055095 q99x2
q99x2's picture

Ya but if you get rid of HFT everyone would know what the PPT are buying.

Wed, 12/12/2012 - 12:27 | 3056077 swmnguy
swmnguy's picture

Here's a very clear illustration of the real bailout of Wall Street.  What we see on the front pages of the papers is just the window-dressing.  All the QE and Operation Twist and the buying up of all the worthless real-estate backed securities is the headline stuff, not the real shit.  The real shit is allowing the HFT's to scalp pennies on every single trade.  It's like in the movie "Superman 3" where Richard Pryor figures out how to steal all the half-cents.  Allowing naked front-running like this is how the Fed is letting the TBTFs to restock the larder.  If public outcry gets to be too much and they have to scale back the QEs (highly unlikely), they still have the HFT plasma drip to keep them alive.  If they institute some sort of Tobin tax (extremely unliikely), then they have to massively ramp up the QE and out-front socializing of losses and privatizing of profiits.  People are a lot more willing to get scalped a few pennies here and a few pennies there, adding up to real dollars annually.  Why do people spend $4.00 for a cup of coffee at Starbucks, rather than buy a decent $20 thermos and brewing their own coffee at home for a quarter a cup?  Drip, drip, drip.

Everything the Feds and the FED are doing is designed to divert the flow of money through the TBTFs.  ZIRP through at least 2014?  I don't see any break on my credit cards.  Sure, my mortgage is about 4.675%, but that only leaves the bank a 4.25% profit, backed by my house, and it's front-loaded so they get the profit part first.  Student loans are non-discheargeable, so they can lend a king's ransom to burger-flippers taking online basket-weaving classes, get paid by the Feds, and leave the debt for the rest of us to cover.

The whole system is a scam.  All one can do is form an S-corp, funnel all one's income and expenses through that, claim a small but plausible salary, and take the rest as capital gains.  Buy PMs, and keep any interest-bearing debt as minimal and short-term as possible.  Eventually the algos will eat themselves, like the rest of the economic clusterfuck is doing.  You can only run an economy where money is a commodity and debt = money for as long as you have infinite markets, resources, and money supply.  We've hit the wall on markets and resources, so all that's still infinite is money supply.  Once that happens, any growth has to come from within the system.  In short, it has to cannibalize itself.  Here we go. 

Wed, 12/12/2012 - 12:52 | 3056180 vinoverde
vinoverde's picture

They don't break the law, the exploit the margins of the rules,

Of course outlawing fractional prices would make a ton of this shit leave the markets, A 0.05 spread, or even 0,01 minimun quote would not harm investors and would do so much,

Yet, people tell me straightfaced, Getco;s just a market maker now, benign,

A mess.

Wed, 12/12/2012 - 12:53 | 3056181 vinoverde
vinoverde's picture

They don't break the law, the exploit the margins of the rules,

Of course outlawing fractional prices would make a ton of this shit leave the markets, A 0.05 spread, or even 0,01 minimun quote would not harm investors and would do so much,

Yet, people tell me straightfaced, Getco;s just a market maker now, benign,

A mess.

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