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It Took Algos 4 Seconds To Fully Process The Flashing Red DELL Headline
At precisely 14:04:08 a flashing red Bloomberg headline hit that "DELL IS SAID TO BE IN TALKS TO GO PRIVATE." Moments later the stock slammed higher by 10% triggering a circuit breaker. Whether or not there is an actual deal behind this is unknown: considering the "two sources" used by Bloomberg gave virtually no details on who the buyers are, or what the vision for the pro forma private company will be, we are inclined to assume this is nothing but a big, and successful, fishing expedition by a party that sought to make a quick buck. Either way, it will be made known if there is a deal here within a few days, because unless some PE firm steps up they will be unable to say the 20% premium is based on a pre-announcement price, and will end up having to overpay by another 20%. What we do know, is something completely unrelated. Courtesy of Nanex, who have broken down the trades from the pre-headline prices of $10.90 to the halt price of just under $12.00, it appears that today's robotic algo brains take no more and no less than 4 seconds to fully process flashing red headlines. This is how long it took to send the stock in a straight line from the bottom of the range to the top, because all along the ride there were offers, until finally the offer stack was exhausted at the circuit breaker price. To anyone who blinked and missed the move: condolences - just get a collocated algo and any future LBO announcements - real or fake - will be far more lucrative courtesy of an electronic trigger finger located right on the exchange.
Source: Nanex
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Them there compooters Ma.....theys fast.
I just took me 6 seconds to realize the fart I just delivered, was not just a fart!
You Bidersharted?
Oh if I only had access to the Bloomberg newsfeed for just a few minutes.
BREAKING>>> TREASURY AUCTION GOES BIDLESS
BREAKING>>> COMEX DEFAULTS
BREAKING>>> AUDIT OF AAPL REVEALS MASSIVE FRAUD, INVESTORS SUING
The fun we could have!
Now now, don't go running around spouting truths. Doesn't do anyone any good.
I know you are joking, but you may be onto something here.
Swinging the HFT trades like this could make a lot more money then one would need to spend to employ some competent hackers.
You know, given that crap trades have happened with bogus twitter accounts, if one were so motivated you could shadow a real news source with a plausible fake account for six months, then drop a bomb like the above.
If you work for GS or JPM, you can even do this without being prosecuted!
M&A Advisor: Dude, you're getting Dell!
Ben Bernanke caught giving a $RIMMjob in the $GS elevator.
He is getting excited throwing dollars in the furnace at the Marriner Eccles building.
Ben Bernank to print a new Beatles album, vinyl sales expected to go parabolic, through the roof, hockey stick and all that!
<go> <go> gadget "buy"
Efficient!
don't worry about michael dell, he got plenty already and he's fixin' to get much much more. pension fund losers lose again. SUCKERS!
If it turns out there were no talks to go private, the hilarity will be due to the fact that Dell never denied the rumor while watching their equity spike.
I read "DELL IS SAID TO BE IN TALKS..." and that was enough for me, I furiously logged into my E-trade account and by the time I hit confirm, I got in right at $12.00! Woohoo!!!!! no, wait... did i just get screwed?
Dell today is the market holding out one hand and yelling LOOK AT ME while they hold the other hand which would consist of another tech stock about to break all support behind their back.
I was thinking along the lines a short squeeze (posted 4 mins after you) but that didn't make sense to me, your post does.
If it took under 4 seconds, the algo wasn't running on a Dell.
VIX-termination clock counting down... time for news highs on stocks. Our Chairman MUST look good at his QnA.
Did goldman release a note recommending a short dell position this morning? WSJ report 60mm shares short as of Dec 31, float of 1.74bn doesn't seem that high to me...
circuit breaker prices and overhead resistance matched...?! how prophetic.....
This is good. System is getting faster at eating itself
Time to start issuing press releases with National Enquirer type headlines, such as: "APPLE TO BUY GOOGLE AT DISCOUNT" (speculates market observer). Others?
Dam.
Last time I gave this some thought, I was thinking 30 sec. Think about it, to read, to digest, and then to act.
Even then, is that program just a headline hunter, or an article finder? (And then, that is before the program is keyed for which source is defined to be acceptable, and that is before so many other variables.) OR, is it just another test run like the "Gator Algo"? (Tyler.)
Even then, 4 Seconds. I smell a loop-hole being sown up. Hmmmm. Noted.
Thank-you for sharing Tyler.
Cheers,
Pens,
Those algos are completely useless.
The Stock Market is a bankster playground,it's only good if you have the right friends. Respectable companies should be private.
Everything from investing to murder has been computerized; it's no wonder our learned money men have so much free time on their hands to devise grand schemes for directing the future...........
I would like to see a variable cap gains tax depending on how long you hold the asset. Go long and hold something for five years, the cap gains rate for that transaction should be 14%. But if you make your money with HFT and hold for 100 milliseconds, 90%! (Let the down arrows commence!)
How about taxing a dime for every cancelled trade?
That should slow them down!
+1 for theory & intent, but I question: who COLLECTS this tax? How is that good for us?
Apple is about to dip under $500/share. This should launch many orders? To Sell i.e.
Looks like Kevin Henry is fighting to keep it over $500. To the wire we go!
Oh well!! Not today! It is only Monday though!
aapl 2013 jan long-term curves 01 goldpricemodel
aapl 2013 jan long-term curves 02 goldpricemodel
My earlier take when I wouldn't dare go short AAPL:
short aapl : not smart - goldpricemodel
> 1 second is not algo trading!
The algos didn't scan the Bloomberg headline and then act.
Numerous insider human traders were tipped off that this Bloomberg headline was coming, and when. They couldn't hit "buy" until the headline actually hit the wires, or they'd trigger insider trading flags. But they were all set up and had their fingers poised over the enter key, like a guy trying to snipe an eBay item at the last second.
The headline hits the Bloomberg terminals. Insider humans hit "enter".
The algos recognize the price action instantly, and try to frontrun the buys (as they're programmed to do). But the buy orders are unusually large and numerous. Within 1 second the algos are driving the algos. At 4 seconds critical mass is reached and the circuit-breakers halt trading.
Thanks for this post. I was initially wondering if it was headline reading algos, but your explanation makes more sense. The curve looks like a cumulative distribution function for a normal distribution, which would be what you would expect with a bunch of independent actors all waiting for the same event, but timing it slightly differently. A lot of the algo "events," "malfunctions," or whatever you want to call them, seem much more erratic, and at least to my untrained eye, bizarre.
Shorts got squeeeeeezed!!
Another low margin hardware success story.
Must be those intel Quad200 9000GHz processors
I hope other companies catch on to this trick. Dell already cried wolf re: going private, but hey why not try again?
It's like the fat kid at the playground with all the big marbles in the sandbox and nobody wants to play. So instead of making friends, he says he's packing up and going home taking his fat marbles with him. In this case its fat desktops and a lackluster stock price.
Molycorp should try this. So should Office Depot or Sturm Ruger.
Any wagers out there on which company would be next to want to say they are crying in their beer and want to go private?