This page has been archived and commenting is disabled.

Laugh Along With Darclays "Ongoing Commitment To Transparency" Presentation To Clients

Tyler Durden's picture




 

Now that any credibility Barclays, pardon Darklays, may have had in the capital markets has drowned at the bottom of its (soon to be shuttered) dark pool, it is time to start making fun of the bank. To do that we bring our readers the British bank's "Ongoing Commitment to Transparency", and specifiically the "Equities Electronic Order Handling" handbook.

Curiously, nowhere in said book does it say that the bank will route the vast majority of its trades to the most lucrative predatory HFT algos lurking deep in the bowels of LX, which incidentally is co-located in the Savvis NJ2 Data Center in Weehawken, New Jersey, may it rest in piece now that nobody on the buyside will ever use it again.

What it does report are the following creative lies, which we reveal to the general public because after all remember: the biggest defense the HFT lobby makes is that "whatever HFT does it never hurt retail investors." We will let retail investors decide for themselves.

First, here is how supposedly Darclays prevents "Information leakage and anti-gaming protection." As a reminder, it doesn't.

Barclays’ algorithms employ various techniques to minimize information leakage and to detect gaming activity.

These techniques include, but are not limited to, the following:

A. Symbol-specific analytics

1. Volume profiles

2. Average spreads and quote depth

3. Volatility estimates

B. Dynamic scheduling and volume forecasting

1. Intraday real-time volume adjustments to react to deviation from typical volume profile

C. Chase protection

1. Symbol-specific block exclusion logic for all participation tracking

2. Symbol-specific volatility bands prevent algorithms from immediately chasing new price levels

D. Price impact detection

1. Real-time tracking and prevention of excessive market impact created by our order

E. Randomization of Time/Size in child order placement

1. Release time of passive and aggressive child orders is randomized

2. Child order sizes are randomized and set to match order book dynamics

F. Dynamic Limit Pricing for Hidden Non-Displayed Orders

1. When routing pegged hidden orders, a local “fair price” limit is applied to prevent unfavorable executions due to short-term market movements

We will leave it up to the reader to figure out how many of these are sheer, outright lies.

We also learn the following about the types of orders Barclays accepts:

LX accepts limit, pegged, and conditional orders. For broker-dealers, ISOs are supported. Only Day and IOC TIFs are accepted. Additionally, ATS users have the option to set execution parameters based on their trading objectives on an order-by-order basis. These optional parameters include: prevention of crossing when LX detects a locked NBBO, minimum execution size, add (provide) liquidity only, and NBBO price shift protection for pegged orders.

And in table format:

Here is the Smart Order Routing disclosure of LX:

Barclays’ Dynamic Router is the firm’s smart order router (SOR) and primary vehicle by which Barclays’ electronic orders are placed in the market for execution. When an order is marketable, the SOR will sweep and source liquidity across displayed and non-displayed venues with the objective of maximizing fill rates and minimizing information leakage. When an order is not marketable, the SOR will post the order on displayed venues to maximize spread capture. The SOR can also be used to route directed orders to specific venues (e.g., primary opening and closing auctions, IPOs).

Of note: Barclays' prop traders can and do frontrun client order flow on a consistent basis. It may explain why all the TBTF banks now report that in every passing quarter they have at most a handful of trading day loss days. The reason why? They frontrun everyone!

Barclays Equities sales and trading personnel who facilitate customer orders utilize the same suite of algorithms as those made available to clients.

Finally, this is where the HFT algos operating in Barclays LX end up executing the actual trades once they learn that a size buyer or seller is trying to lift the offer or hit the bid (hit the bid? What's that?).

 

Here is the full presentation chock full of lies. Enjoy.

 

- advertisements -

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Thu, 06/26/2014 - 14:22 | 4898854 crazytechnician
crazytechnician's picture

How's [the] Frontrunning Today ?

Thu, 06/26/2014 - 14:28 | 4898886 Headbanger
Headbanger's picture

It will be "Diedlays" soon

Thu, 06/26/2014 - 14:41 | 4898953 Winston Churchill
Winston Churchill's picture

With their derivatives book ?

Care to bet on it ?

Thu, 06/26/2014 - 15:13 | 4899138 insanelysane
insanelysane's picture

Former Whitehouse spokesman Jay Carney has submitted his resume.  Perfect fit.

(You won't get this from the Whitehouse or from Barclays but this post is unsubstantiated and is probably complete fiction.)

Thu, 06/26/2014 - 15:24 | 4899205 ilion
ilion's picture

There are firms like FX broker Armada Markets who even promote HFT trading. The world is getting crazy.

Barclays is just being used as scapegoat so that nobody would focus on US banks.

Thu, 06/26/2014 - 16:50 | 4899651 Say What Again
Say What Again's picture

Can someone please explain to the rationale of using BATS-Y over BATS-Z?  And the same question goes for EDGA over EDGX.  What are the scenarios where I would choose to use one over the other (EDGA over EDGX) or (BATS-Y over BATS-Z)?

Thu, 06/26/2014 - 17:33 | 4899813 Leonardo Fibonacci2
Leonardo Fibonacci2's picture

I don't get mad, i get stabby!

Thu, 06/26/2014 - 14:23 | 4898864 rosiescenario
rosiescenario's picture
"Ongoing Commitment To Transparency"

 

Didn't the current resident of the White House make a similar non-kept promise?

Thu, 06/26/2014 - 14:37 | 4898940 PartysOver
PartysOver's picture

Why, yes , he did.  Same results I see.

Thu, 06/26/2014 - 15:19 | 4899191 insanelysane
insanelysane's picture

Both parties were technically correct about being open and transparent.

Barclays was open and transparent when they gave their customers' information to the algos and the Whitehouse when they gave Sen. Reid, Mitt Romney's tax returns so he could speak about them to the press.

Thu, 06/26/2014 - 14:25 | 4898870 firstdivision
firstdivision's picture

Dear SEC, *cough*SigmaX*cough*

Thu, 06/26/2014 - 14:24 | 4898871 TeamDepends
TeamDepends's picture

The leading scorer in the DarclayCard English Premier League, Luis Suarez, will miss the first nine matches for cannibalism next season and may not be welcome in Liverpool ever again.

Thu, 06/26/2014 - 14:38 | 4898941 farmboy
farmboy's picture

Darklay is offering the standard banking " baffle them ith bullshit"

Thu, 06/26/2014 - 14:38 | 4898942 bugs_
bugs_'s picture

Darclays!  fabulous laughter.

Thu, 06/26/2014 - 14:42 | 4898963 Seasmoke
Seasmoke's picture

Oh no NJ. Turn those machines back on. I can't take any more highere taxes and fees !!!!!!!!
Wow. This state is really really doomed. They must know this.

Thu, 06/26/2014 - 14:49 | 4899011 smacker
smacker's picture

"We will leave it up to the reader to figure out how many of these are sheer, outright lies."

Probably all of them. In the UK when a bank - and many other companies nowadays (eg big energy) - get caught red-handed blatantly and fraudulently cheating customers or some other serious mal-practice, the one thing that soon happens with certainty: they run TV ads or some other hi-profile ad in which they emphasize how honest and trustworthy they are, implicitly denying any involvement in what they've just been caught red-handed doing.

It's a carefully crafted scripted process intended solely to deceive people.

Thu, 06/26/2014 - 14:54 | 4899046 Inthemix96
Inthemix96's picture

Eeeh, the commitment to transparency that Darklys strives to meet, never mind adhere to?

Darklys days are growing shorter, they kow this, they also know we know this, and they also know we know they get free money printed from thin air from their friends to lend to us cunts for 29.9% APR.

And the best thing is, they know we know they didnt print the interest, and they know, we know, that is called 'Usury', a hideous tax on your labour, otherwise called, 'Indetured Servitude'.

And they are shitting themselves, that they know we know this.  Because all these corrupt cunts can do is thieve by deception, and live life as a parasite, leaching interest payments for nothing more than just sitting there.

To the Darklys staff, and the ever monitoring NSA, GCHQ, you had better find something 'Useful', 'Constructive', 'Gainfull' that your pampered bodies will allow.

Tick, tock, you filthy mother fuckers.

:-)

Thu, 06/26/2014 - 14:56 | 4899056 kevinearick
kevinearick's picture

where are all those promises for transparency. again? (walk out / lock out)

The Civil Utility

“Join the pack, and someone else will fix it.”

“Know your limits and stay within them.”

Why do you suppose they have emergency credentials and miscellaneous consultants?

What the consumers, from the energy industry on down, lack, is imagination, which should be expected, given their relationships devaluing marriage, fueled by debt to consume surplus on a one-way trip. Status symbols merely reflect the chase to the bottom, all of which depend entirely upon willful ignorance, ponzi participation.

The majority choosing weaponization of jointly held utilities, to the end of commandeering your surplus, has to go somewhere in the circuit, but the consumers kill themselves if uninterrupted. RE occupation doesn’t work because without circulation, from and to the planet, there is no economy.

The laws of gravity follow behavior, not the other way around, unless you choose otherwise. The consumers are led by consumers, to believe that debt as money will buy what they need, but no amount of debt will buy a real marriage, the explicit kernel, which they have been trying and failing to replace for 5000 years.

As soon as you drop the motor in, the status quo cave dwellers begin to weaponize it, because that is all they understand, their perception of the past. Implementation will proceed in both directions initially, but the gravity of History will soon overtake them all, which is why you prototype two bridges ahead, first.

How long the motor lasts depends upon demographic timing, the catapult distilled by the last motor. From the perspective of drive-by Christian consumers, conspicuous consumption is a virtue, faith rests upon central redistribution of production, and Rapture is winning. Family (Common) Law is MADness, regardless of religionism.

Moses presided over divorces for gold. Bet they didn’t give you that little piece of information in Sunday School. California and New York recognize common law in every way, but name. And what sense does it make to award children to one parent and make the other pay, unless you want to dissolve all the assets of marriage? The moment a party seeks adjudication outside the marriage, it’s already dissolved.

Civil Law is a stack of entitlement promises for civil marriage in the middle class, and a hash table for legacy to bypass all the limits. The contract grants legacy the right to print, delaying transparency for generations, and to take advantage of the interest rate arbitrage to dissolve non-conforming marriages.

When Warren Buffet talks about the value of the dollar, he’s talking about playing all sides against the middle, taking advantage of government hubris, discounting its debt and buying the assets it has confiscated with inflation into a pool, but cannot hope to make productive, for pennies on the dollar, growing control over natural resources in the process.

Bank treats housing like talent, and labor and soil like commodities, which wouldn’t be a bad counterweight (echoes folding within and without echoes in micro and macro dimensions), if the general population were sufficiently intelligent to see how stupid that is, and discount into equilibrium, rather than breeding on RE occupation, with public education in public housing enforced by law to ensure the outcome.

CO2 is a derivative of artificial RE inflation driving transportation, asphalt and concrete jungles in the city sucking the countryside dry to feed artificial global trade. Most of that traffic is nonsense. Without a functioning discount mechanism, dropping developments into the economy can only fuel war.

Net, the big cities are stealing natural resources from the countryside with debt money against the expected resources, based upon majority ‘vote’ in the big cities, and inflating countryside land prices with the paper profit, shrinking the population capable of effectively discounting the loop. If you’re in a shrinking community with resources, the city manager is working for absentee owners up the chain.

Taking your car to the mechanic because you have more profitable extortion to attend is one decision; being a prisoner to technology, a game in which everyone ultimately loses, is another, but the same. Developers choose C, to build something better. Despite the black belts conferred by the best-business-practice wizard, the incremental tweekers on the margin of weaponization are not developers.

Climate variability is no threat to labor; all legacy can do is consolidate, the middle class, collapsing the monopoly structure form the bottom up, evacuating the countryside as it does so. Extortion is self-adjusting over time. This planet has not begun to reach its potential for life. Humanity is simply swamping it with duration mismatches, a conflict humanity will lose, as it always does.

Children are born assuming their parents are heroes. Don’t disappoint them by allowing a doctor, a school superintendent, a city manager, or any other automaton dictator to persuade them otherwise. All you have to do is encourage them to seek their own truth, develop their own talent, and build their own skills. Time is only a perception, you create by observing it as others do. Empire history is not a guide.

You are getting energy from the solar system. What are you going to do with it? How does that relate to spacetimetravel? What is the relative difference in clocking between humans and rocks, and electrical transmission? What is the limit in either direction? If time is not relative to your perspective clock, what is it relative to? What is memory?

Funny, how all of legacy’s transactions are self-financing and the bottom of the middle class is paying 20% interest. It’s all so rocket sciencey isn’t it?

Thu, 06/26/2014 - 14:57 | 4899064 Sutton
Sutton's picture

If HFT is so bad that venues are built and sold on the fact that HFT's are not allowed into the arena, then why is HFT allowed?

Thu, 06/26/2014 - 15:00 | 4899088 crazytechnician
crazytechnician's picture

Same reason the New York Mafia could front run trades in the 1920's and 30's by running the ticker through their secret room first , because they could.

Thu, 06/26/2014 - 15:07 | 4899125 NOTaREALmerican
NOTaREALmerican's picture

The smart-n-savvy people always run scams (they are smart-n-savvy that way).   HFT was just the latest.    Remember when HFT existed to benefit the "common man"?  The best scams are right out in the open simply covered with invisible bullshit created by the smart-n-savvy people.   The smart-n-savvy people are already working on the next scam (they are smart-n-savvy that way).

Bullshit,  ask for it by name.

Thu, 06/26/2014 - 14:58 | 4899067 frankTHE COIN
frankTHE COIN's picture

" Our UniCorns only graze on the Finest 4 Leaf Clovers "

Darclays Chairman

Thu, 06/26/2014 - 15:04 | 4899104 NOTaREALmerican
NOTaREALmerican's picture

There is only ONE SOLUTION!!   Send them all the ethics classes at Harvard!

Thu, 06/26/2014 - 15:17 | 4899177 insanelysane
insanelysane's picture

I wonder what the minions were thinking when their bosses were saying they were going to invest via Barclays?

Minion - "I don't think it is a good idea boss."

Boss - "What are you talking about?  Says right here that their systems are transparent and the nice sales person said the same thing.  Besides we might get free beach towels."

Thu, 06/26/2014 - 18:01 | 4899920 NEKO
NEKO's picture

"Taking care of" your money, This is what banks do. The machine is starting to wobble TPTB need a diversion, quick fine someone.

Do NOT follow this link or you will be banned from the site!