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HFT Stock Manipulation In Action

Tyler Durden's picture




 

Trading has a few simple rules - do the opposite of Goldman's Thomas Stolper; don't fight the Fed; and buy low, sell high. However, as this series of charts from Nanex shows, it is the latter rule that is the easiest to comprehend and yet - thanks to massive and obvious HFT manipulation - is an extremely difficult thing to do. As Nanex's Eric Hunsader notes, high frequency trading algos do not get much clearer than this as the machines buy low (from you) and sell high (to you) each and every millisecond of the trading day.

 

Via Nanex:

Nanex ~ 11-Jun-2013 ~ Clever HFT Manipulation

Manipulation by high frequency trading algorithms doesn't get much clearer than this.

1. ASBC trades color coded by exchange and NBBO shaded gray.
As soon as the market closed (16:00), the NBBO (National Best Bid/Offer) rapidly expanded. What happened next will astound you..



2. ASBC trades color coded by exchange and NBBO shaded gray. Zooming to about 2 minutes of time.
Zooming in to this level, you can see the trades at Nasdaq (gray dots) scattered between $15.05 to $15:67.
Also, the wisps of gray lines shows the NBBO (best bid/ask) is changing rapidly.

 



3. ASBC trades color coded by exchange and NBBO shaded gray. Zooming to about 27 seconds of time.
Zooming to this level, we can make out the wild swings in the NBBO. Incredible!
The bottom of the gray shading is the best bid (the price someone is willing to pay), the top is the best ask (the price that someone will sell at).



4. ASBC trades color coded by exchange and NBBO shaded gray. Zooming to 5 seconds of time.
At this level, you can see the NBBO is actually changing even more wildly than we could see in the previous charts.

 



5. ASBC trades color coded by exchange and NBBO shaded gray. Zooming to 1 second of time.
At this level of time, you can see that the trades (gray dots) near the top end of the range executed at the best bid (bottom of the shading), while the trades near the lower end of the range executed at the best ask (top of the shading). Which means there is aggressive buying low and selling high. So who is on the other side: selling low and buying high?
Pretty clever HFT manipulation.

 



6. ASBC bids and asks color coded by exchange and NBBO shaded gray. These charts are the same as above, but show best bids and offers for a different view.

 



7. Zoom-2 ASBC bids and asks color coded by exchange and NBBO shaded gray. Zooming to about 27 seconds of time

 



8. Zoom-3 ASBC bids and asks color coded by exchange and NBBO shaded gray. Zooming to 5 seconds of time.

 


 

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Tue, 06/11/2013 - 19:03 | 3648250 Kirk2NCC1701
Kirk2NCC1701's picture

[out of breath]  Porn!

Tue, 06/11/2013 - 19:11 | 3648268 nope-1004
nope-1004's picture

 

 

HFT Stock Manipulation In Action = US FED.

Petro dollar "reserve currency" must survive at all costs, the majority of which ironically is at the expense of its own citizens.

"We take your liberties, your freedoms, and monitor your interactions in return for the chance to participate in a computer-rigged market, where you'll never win.  God Bless America."

 

Tue, 06/11/2013 - 21:05 | 3648636 RockyRacoon
RockyRacoon's picture

Why are not there names, faces, company names, phone numbers, etc. associated with the information in the charts shown above?

Oh, that's secret.   I get it.   Looks like the NSA is after the wrong folks.

Wed, 06/12/2013 - 05:56 | 3649390 painlord-2k
painlord-2k's picture

DO you understand now because Google Glass will not have an app able to do face recognition without strong privacy protection?
Would you know who the people walking the street side or in the metro is?
This is a JP Morgan employee, this is a government official, this is a cop, and so on.
It would spoil all the fun of government officials and their cronies.

Wed, 06/12/2013 - 09:05 | 3649665 StychoKiller
StychoKiller's picture

"It's like a splinter in your mind..." -- Morpheus

Tue, 06/11/2013 - 19:18 | 3648301 slaughterer
slaughterer's picture

Look at silver trading tonight after it reopened.  WTF?

Wed, 06/12/2013 - 08:30 | 3649599 Remington IV
Remington IV's picture

Where'a Maxine Waters to explain this , when you need some real clear analysis ?!?!?!?!?

Tue, 06/11/2013 - 19:04 | 3648251 OMG
OMG's picture

Yeah I see it now, It says FUCK YOU BERNANKE

Tue, 06/11/2013 - 19:07 | 3648265 Wave Maker
Wave Maker's picture

I always suspected this was going on.  The game is rigged.  Is there any way around this crap?

Tue, 06/11/2013 - 19:13 | 3648282 QuantumCat
QuantumCat's picture

Don't play.

Tue, 06/11/2013 - 19:40 | 3648376 gatorengineer
gatorengineer's picture

wide stops and trade the trend.... If your going to play thats how...

Wed, 06/12/2013 - 00:04 | 3649115 RebelDevil
RebelDevil's picture

Exactly. Day-Trading for the non-HFT is dead. The only chance you have of winning in stocks now is "investing" (either BTFD and/or STFR and holding the position).

Wed, 06/12/2013 - 00:01 | 3649135 RebelDevil
RebelDevil's picture

There is: Make a decision to either go long [expecting equity inflation] or go short [expecting equity deflation] for the long term ... or play a diferrent game (Forex, bitcoin, bonds?)

Your choice literally depends on your interpertation of how well the FED has control, and if they can keep it.
(Will this "New Normal" game the FED created going to continue indefinitely, or are we approaching the return of the "Old Normal" based on fundamentals?)

that, and make sure do trades within the open market (it was after 4pm EST that HFT dominated, but i know it's hard for the guy who works the 9-5 shift to stay away from after-hours trading).

Tue, 06/11/2013 - 19:11 | 3648278 NoDebt
NoDebt's picture

"It was a blur.  It all happened so fast.  I was just looking over my trade blotter.  Next thing I know, I'm laying in this hospital bed."

Witnesses were reluctant to come forward.  Authorities had 3 comments about the incident:

1.  It never happened.

2.  There's nothing they can do about it.

3.  And "what possible difference can it make at this point?"

 

Tue, 06/11/2013 - 19:11 | 3648279 Nue
Nue's picture

How do we even call this Investing anymore? This is gambling nothing more and nothing less.

Tue, 06/11/2013 - 19:24 | 3648330 11b40
11b40's picture

It's not even gambling.  Getting reamed is a better description.

Tue, 06/11/2013 - 19:18 | 3648305 1C3-N1N3
1C3-N1N3's picture

Shaded areas in Charts #4/#8 both say, "MOUTH".

Tue, 06/11/2013 - 19:21 | 3648311 chump666
chump666's picture

There is not such thing has overbought/under-bought markets anymore.  HFTs are incredibly efficient at scalping ranges, mixing bid/offer, offer/bid on the micro sec cue.  Anyone buying dips selling highs, as a human, is boned sideways.

Your best bet, try and time an all out crash.  We and Europe haven't correct yet, 1% sell offs on average are nothing.  HK and rest of Asia is holding ranges,  Japan was a surgical 'hit'.  Everything is distorted and broken till the great reset and/or war.  Whenever that will be.

I love Nanex's research.

Tue, 06/11/2013 - 19:41 | 3648377 gatorengineer
gatorengineer's picture

look at EEM and then tell me the rest of the world is holding a range....

Tue, 06/11/2013 - 19:22 | 3648317 Racer
Racer's picture

And  people's pensions are linked to this.........

Do NOT save for a pension and kill the fukkkrr

when you get to old age, if you have saved they take it from you to pay for the care

if you don't save they pay for your care

Tue, 06/11/2013 - 19:21 | 3648323 phoolish
phoolish's picture

It's not gambling.  At least when you gamble, sometimes the house looses.

 

Tue, 06/11/2013 - 19:25 | 3648337 buzzsaw99
buzzsaw99's picture

We must fight, to run away. [/Cap'n Jack Sparrow]

Tue, 06/11/2013 - 19:31 | 3648350 Bear
Bear's picture

So many traders, after careful considerations, making these long term investment decisions that will build America

Tue, 06/11/2013 - 19:32 | 3648356 hooligan2009
hooligan2009's picture

don't forget the NSA has more powerful servers than even those at an exchange and are co-located

even every HFT order could be being front run by the NSA. it can then make "real" profits, rather than the imaginary paper profits created by the Fed every time it prints money (or the government runs a deficit).

new normal = no accountability for profits, losses, actions or surveillance..

coming next..fat fingers in military bases...fly softly and carry an armed drone

Tue, 06/11/2013 - 19:42 | 3648381 gatorengineer
gatorengineer's picture

isnt it clear that Nanex should be shutdown?

Tue, 06/11/2013 - 19:42 | 3648382 Unknown Poster
Unknown Poster's picture

I got hypnotized by this stuff.  ~20,000 shares at .50 swing in a quarter second. Sounds like $10k. What I wonder is why the other algos let this one play alone?

Tue, 06/11/2013 - 19:43 | 3648387 Bernankenstein
Bernankenstein's picture

#3 and # 7 look like the elephant in the room.

Tue, 06/11/2013 - 20:39 | 3648583 bluskyes
bluskyes's picture

I was going to say truck, but elephant works too.

Tue, 06/11/2013 - 21:39 | 3648748 graspAU
graspAU's picture

“The markets were once non-profit organizations run for the benefit of investors, and the people that worked there and actually traded there. Now it is a for profit operation that, basically is willing to sell their souls out to the highest bidder. So all of these co-located servers the hedge funds are putting at the exchanges in order to get a millisecond advantage over everybody else, it gives them the ability to sniff orders before they go to the market, allows them to front run investors. These guys are literally pulling billions and billions of dollars out and that profit doesn’t come out of thin air, that profit comes out of the actual investing public…these people are stealing money from the investing public and it is really a great tragedy”.

-Barry Ritholtz, February 15, 2011 on the Keiser Report Episode 121: http://www.youtube.com/watch?v=KiEQ7ONc55k

Tue, 06/11/2013 - 22:06 | 3648828 asteroids
asteroids's picture

HFT algos disrupt the direction and flow of natural trading. Market wants to go down, turn on the fucking supercomputers to slow down and levitate the market. This only works for so long if the market wants to dump. When it does dump, it makes things worse. This stupidity buys time, but little else. It's not worth it really. The FED and SEC should outlaw this crap.

Wed, 06/12/2013 - 01:58 | 3649282 Archduke
Archduke's picture

for this to happen liquidity has dried up or velocity slowed in the other exchanges.

it looks like some massive moves on nasdaq pummelling the other exchanges.

 

Wed, 06/12/2013 - 06:39 | 3649426 Racer
Racer's picture

And look at out of hours US markets, they .... must... fix.... down ....day

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