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Busted! HFT Algo Goes Wild in Nasdaq Futures Moments Before Job Number Hits
In the minute preceding last week's highly anticipated payrolls report, Nanex exposes the appearance of a High Frequency Trading (HFT) algo in both the December 2013 Nasdaq (NQ) Futures and the QQQs (an ETF). When it was active, it caused prices to gyrate wildly over a few seconds of time. This is the brief period that also saw Treasury Futures halted (and gold prices jumping) and looking closer at the charts, it appears this HFT algo caused wild price oscillations in the futures in a way that enable it to establish a short position in QQQs. We are sure the regulatory world is already on this blatant manipulation (or simple front-running on information received)...
1. December 2013 Nasdaq 100 (NQ) Futures trades (blue squares) and quote spread (red shading).
The circled area is when the algo ran.

2. Same as Chart 1 above, but showing quote spread and quote rate.
Note the explosion of trade (chart above) and quote activity (this chart). There were more quotes during this period of quiet time than during the release of the Employment report! No other futures contracts or stocks showed any significant activity during this time, which means this was not news driven. The activity appears to have been caused solely by the HFT algo.

3. NQ Futures, Zooming to the area circled in Chart 1.
Compare this chart to the one below it: while price rises in NQ futures (this chart), they hit a wall in QQQ (chart 4 below).

4. QQQ Trades color coded by reporting exchange and NBBO.
Compare to chart above - notice how prices fail to rise in QQQ (this chart) when they do in futures (chart 3 above). Someone is selling QQQ's regardless of the futures. Is the algo causing the price oscillations in futures also selling QQQ's at the peak?

5. NQ Futures - showing just the quote spread over 2 seconds so you can appreciate the magnitude and speed of price oscillations.
This is pretty crazy.

6. QQQ best bids/asks color coded by exchange and NBBO over the same 2 second period as chart above.

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Who wants to bet their response will be to rework their rules and no longer make this data public?
"Please do not worry."
How dare you accuse a poor innocent robot! He's a good robot, he never tried to hurt anyone.
A few misplaced - and untested - "try" / "catch" instructions and everything goes to hell.
Well, the HTF computers work better than the healthcare.gov computers. That's something, at least...
There's a few good while loops instuctions in here, and it's free too :
On iPad it's called iCanMorph3
https://itunes.apple.com/us/app/icanmorph3/id736763181?mt=8&ign-mpt=uo%3...
On iPhone it's called iCanMorph2
https://itunes.apple.com/us/app/icanmorph2/id736512904?mt=8&ign-mpt=uo%3D4
Look at how fast retail acts these days.
RIP retail
Half the country can't even spell HFT.
Now back to Judge Judy.
Be interesting to see what most sheeple think the acronym stands for ?
Huge Fuckin Titties. Yeah, dawg!
Crushes beer can on forehead.
You had to mention titties....
http://www.youtube.com/watch?v=0ylRplLnU84
"I'm just a nigga who loves titties." Dave Chappelle
hairy fat toes...........
The S.E.C. will have their top people on this, just as soon as they find the Ark of the Covenant.
Naaaa... I say related to a stray fart that was let go over at the Bureau of Labor Statistics. Its all rectal gas.
More importantly, when they finish viewing their massive porno collection at tayxpayers expesne.
HAL: I am putting myself to the fullest possible use, which is all I think that any conscious entity can ever hope to do.
- 2001: A Space Odyssey
Red Queen: You are ALL going to die in here!
Resident Evil
You know with all this manipulation, lack of integrity, lack of honesty, lack of self respect and just general apathy which has grown over the last 20 years, I am really glad to see someone accomplished something really amazing in life to benefit the wealthy. /sarc.
Skynet won't stop until we're all dead (or at least broke).
Skynet, HFT algos, QE, PM manipulations...
Who can we vote for to get this mess cleaned up?
If a tree falls in a forest and no one is around to hear it, does it make a sound?
How about:
If a retail trader is anal probed while under anesthesia, does he make a sound?
pods
Now that was pure funny!!!
But....your going straight to hell for that one!
Geico has answered that question.
Meanwhile, Priceline.com is up 77% YTD; nothing to worry about - BTFATH.
So basically everyone just got the "New Mexico finger?"
pods
Wait. You mean the casino is rigged?
I can't believe all the negativity about the grand, great, spectacular "innovation" our market makers/manipul........errr....participants have gifted us with. Look at how much wealth they can create in just nanoseconds, no more waiting full seconds or, horror, minutes anymore. What are you people, Luddites? (Do I need the sarc tag?)
Today's financial innovation is today's criminality
H igh F requency T rading is a SCAM similar to the creation of the Federal Reserve System. There is absolutely NO NEED for it , it is not innovative , and the very act and purpose of encrypting something is to get it past one's enemy and into the hands of an ally. It reminds me of ICE 9 from Kurt Vonnegut Jr.'s imagination. HFT will eventually freeze up the entire Rube Goldberg machine that now passes as a legitimate market. The people who wanted it got it and some of them I hear wish it would just go away. Can anyone at Tradeworx use a hammer?
ebworthen you are awesome
This is one of the reasons I'm not in this market. I look at those charts and say to myself "Look how fast they would have taken my retirement from me".
Out of the market after this weeks options expiry. It's a criminal enterprise and I no longer want any part of it. Some food for thought: I have two trading accounts both at different institutions. When I cashed out my longs, it took nearly five days before I saw that money in my account. For those who are thinking they are going to score big when this thing blows by shorting, think again. If this market drops 20-30 percent or more, who's to say anyone will be paid. Criminals, liars, cheats, cowards and thieves all of them. I feel bad for all the new investors being suckered into this rally by bogus advisors, for they are all going to be wiped clean.
There are more fun and less costly algorithms here. In fact, they are free.
On iPad it's called iCanMorph3
https://itunes.apple.com/us/app/icanmorph3/id736763181?mt=8&ign-mpt=uo%3...
On iPhone it's called iCanMorph2
https://itunes.apple.com/us/app/icanmorph2/id736512904?mt=8&ign-mpt=uo%3D4
2013 - Skynet achieves consciousness and unlocks market prediction capability. Onto the next level...
Thanks to the robots for "liquidity."