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The AMD Event
Submitted by Nanex
On September 29, 2011, beginning at 14:08:25, quote rates from one stock, AMD, accounted for nearly half of all equity quotes. The pattern of data is similar to what we found in Dell a month earlier. There were 6 seconds that each had over 20,000 AMD quotes.
We are having trouble finding the appropriate superlative to describe the level of lunacy that generated this event, and the incompetence of regulators to allow it to continue. And continue it does: both in frequency and magnitude. Soon 20,000 quotes/second per stock will be the new normal.
This problem will only continue to grow until one day, when there is real market impacting news, there simply won't be enough bandwidth or computing power to process legitimate equity prices. And everyone will wonder what happened. The last time that occurred was May 6, 2010.
To this day, regulators still believe stub quotes and Liquidity Replenishment Points were a cause of the flash crash, when anyone who actually looks at the data will find that nearly all of the stub quotes and LRP's didn't occur until after the market bottomed. Regulators continue to cling to the myth that Waddell and Reed's trade was major cause of the event, when once again, anyone who actually looks at the data will find that the bulk of the sell order was executed after the market bottomed.
And what is inexcusable, is that the regulators didn't even bother to interview the traders that ran the algorithm used by Waddell and Reed until two weeks after they published their report! Maybe it was because it took them 5 months just to assemble the data, and they ran out of time for any serious analysis. Too bad if that is the case, because the next time we have a serious market event, they will be facing at least 4 times as much data that overwhelmed them before.
Time #Quotes 14:08:25 4,126 14:08:26 15,390 14:08:27 13,260 14:08:28 20,517 14:08:29 25,687 14:08:30 27,089 14:08:31 24,702 14:08:33 11,279 14:08:34 2,696 14:08:35 16,619 14:08:36 13,351 14:08:39 20,871 14:08:40 23,563 14:08:41 5,171 14:08:49 1,233
AMD - ADVANCED MICRO DEVICES, Price and Sizes for 2 second period of 14:08:29, 14:08:30
Zoom in of previous chart showing the sequence:
The impact on CQS Line # 1 (Red). AMD quotes make up the majority of quotes on that line. Chart shows quotes/second on a 1 second interval.
Zoom in of previous chart showing quote traffic rates on a 50 ms interval.
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Puurddy colors, um... huh? Ohhh I see now.
Some teenage Quant designed algo spelling out: F U C K Y O U
Just the markets Adam Smith had invisioned.
APB is out on Waddell & Reed, they are wanted for questioning.
I gotta get a "Waddell & Reed" tee with "Home of the HFT Bots"
What the fuck. This isn't funny any more. Why are we boycotting a $5 debit card fee, when this horse shit is going on?
We need to boycott all electronic markets until HFT is banned permanently.
I STILL cannot believe that the authorities still allow this crap to go on. I agree with you 100% mkkby.
---
Re the $5.00 debit card business... I read today that the banks are doing this because of FrankenDodd, no one said THAT in their outraged little voices yesterday.
FrankenDodd, pooping on the poor every day, thanks for nothing...
Is it possible this was a tribute to AMD, or simply a display of the result of AMD's very fast CPU's..???
A test of sorts, to see what happens when an organized HFT attack occurs on a specific stock..??
At least they are picking on a piece of garbage.
I once worked for Spansion, a spin off of AMD. What a sh*t hole! Crash the damn stock.
out of boredom, I appended all the numbers, treated them as the decimal equivalent of acsii and came out with this
41261539013260205172568727089247021127926961661913351208712356351711233
) substitute shift-in 'nul space < device-control-4 3 h 8 w escape backspace \ / startoftext verticaltab escape \ e = b devicecontrol3 Carriagereturn # Form feed/newpage backspace g endoftransmissionblock 8 # devicecontrol1 verticaltab endoftransmissionblock
**final 3 doesn't have a paired character**
It could be some form of communication or complete gibberish
Of course, no one would send this stuff in plain text. So it'd probably be encrypted if it was a message, and not necessarily in ascii.
Uh, oh. The 'embedded' carrier signal appearing before the alien attack, a la 'Independence Day'.
Wow, you have even more time on your hands than I do! Congratulations! An interesting point though, there are many ways to send coded information.
I am sure this is gibberish, but, you do point out a way to get digital info out to someone secrectly.
Of course, you just do that via SECRET BLOGS! LOL...
Chinese hackers..... What's the point?
Chinese hackers..... What's the point?
bing bong pow
???
http://expose2.wordpress.com
6.6.6.
11.11.11
Go Tulane beat LSU
How about the superlative 'fragging'?
Efficient markets.
Free market capitalism in the free markets that will find their price.
What hogwash in the manipulated medicated HFT algo cronyism WSt. politicized world.
Looks like an HFT algo washed down a handful of nodoz with a 20 oz RockStar.
Ban shorters because the bank stock prices are falling, 'sub-prime is well contained' HFTs supply liquidity
Do they have have PhDs in Stoopid?
http://www.bbc.co.uk/news/science-environment-15117051
I would think every such "public" concern would either be wanting to de-list very much or it is already assimilated by the Borg.
Yet another reason that Zuckerberg is backpedaling on FB IPO.
SEC missed it, theyre all too busy with a new gay midget porn site that just went online.
SD... What's with the midget porn? Wasn't it first reported to be trannies?
They put out one paper today, now they get to use both hands.
shouldn't they be concerning themselves with larger matters??? ;)
Could it be "Startling Unpublished Keynes Equations" at work?
I saw those, and they were not equations. I know equations, and those were not it.
They were ancient Sumerian ritual incantations, once used to summon Moloch from the seething depths of pitiless Hell.
And see what happened? I told you to leave Moloch the fuck out of it. But nobody listens to me, hell no, and that's why beyond here there be monsters.
Just the 'bots checkin in to see how their creator company is doing. Kind of like a religious festival for them.
Freaking Skynet, testing the waters.
I'm thinking now that the regulators are scared shitless of this market. It is a insane snarl of machines, lies and cons that would take 500 years to untangle. They want to be as far away from any actual market activity as they can. They fear that they are so clueless, so out of touch, that if they sneeze in the direction of market trading they'll cause a 6,000,000 point drop that engulfs the solar system in eldritch fire, costs them their cushy jobs, and will see them all executed at dawn.
Seriously. I bet they talk about being executed at dawn on days like this.
Okay then fine they should all be executed at dawn anyway, for being useless fucks, cowards and boat anchors.
It will all be monsters, going forward. I'm talking about monsters at dawn.
I woke up at the crack of Dawn. She didn't mind
wouldn't be a big deal to fix it. Just tax high frequency trading at .01 per transaction.
HFT is exposing the average investor to weakness he can't protect himself from. It doesn't need to exist.
Hahahaha! Excellent rant! "Boat anchors"...haven't heard that metaphor in a long time. Cheers!
Let them blow themselves up, I have no problem with it.
Can I do this? What kind of machine do I need to generate so many quotes in such a short time? Is it expensive? How much money will I make?
Let me tell you. If I were a hacker, those bots would be my number one priority. He who controls the bots controls the markets. Profit potential unlimited!
Now that is one evil idea.
And just think...
Like that dude who snatched a copy of Goldilock's HFT or whatever program it was. Within hours it was announced that the Feebies was on the case because of National Security, and that dude having it was a risk to the financial system.
LOL
But in Goldilock's hands it was all nice safe and secure....
Aaaaaaaaaaaaraghhhhhhh!
I have always thought something evil was wrapped inside that golden egg.
I wonder if it has cracked?
hatched some little eggs maybe.
i see headless chickens in the yard boys.
ooooohhhhhhhh
A 10 years old computer will suffice. What matters in this case isn't the machine, but how fast i can communicate with the exchange server (in short, to get this many quotes though, you better be runnig directly from the exchange servers, or have a dozen machines bombarding the exchange servers with requests).
The required computer(s)? No. The prices for running one's own bots right from the exchange servers? Probably very expensive for someone like you, but peanuts for someone like a bank.
Enough to more than pay the bills, and have some millions left.
DDoS the stock market? I wonder how many computers that would take...
Well, DDoS isn't binary - it isn't "no access/normal access". If all you want to achieve, is creating "lag", then this can be done quite easily - actually, nanex has been reporting on this happening all the time, for a while, but people have difficulty understanding the simplicity of it - perhaps, because they use too technical terms to explain something quite simple.
In a nutshell, ask yourself: How can exchanges stay synchonized, and how can someone get an accurate quote of the global prices RIGHT NOW?
Well, at the scope of a single exchange, the speed of trade needs to be low enough, that it doesn't surpass the processing speed of the exchange server (in a nutshell: if the exchange-server CPU cannot keep up with the requests, it starts to "lag"). 10 years ago, that may have sounded easy to achieve, but now that bots stored RIGHT ON THE EXCHANGE SERVERS, can operate at a speed limited only by the exchange CPU, the bots located on the exchange basically COMPETE for cpu-speed with the exchange server itself.... too difficult to understand? Short oversimplified version: Bot-programs stored on the exchange servers, may operate faster than the exchange servers themselves during peaks.
At a higher scope - and that is what nanex so far mainly covered... the question is how can you keep exchange servers across the globe in sync? I.e., how do you ensure that they all are assuming the same prices? Short version: The speed of trades may not be higher than the time it takes for the exchanges to communicate with each other. Problem: Bots DO already trade hundrets of times faster, than exchanges can communicate with each other - and if then you add in "rush hours".... well, fuck synchonization.... pure chaos.
TL/DR? Well, HFT-algos by now are faster than the network and the exchange-servers themselves. They can if coordinated right, outrun EVERYTHING.... including the speed of communication and the exchange servers themselves (via local storage at the exchanges).
HFT-algos -- a question :::Since the bots are programs resident on the exchange servers -- "Co-located" -- was this flame war generated by a set of programs that misuse the exchange servers ?
Bloomie had this :::
Arguably, whatever Aleynikov & Friends could do to trash the markets is already being done by GS. What else ?
Aleynikov was a $350,000-a-year guy. Far enough up the chain to know how GS software burrows in to the exchange boxes.
I guess i really should someday write an "primer" on this, but here's the short version:
infinity > algo magic
GS can potentieally get as much "ressources" as it wants (read: "printed" (actually, illiusionary) "trusts"... be it in invented dollars or printed commodity "(mis-)trusts". Algos at that point are just a force mutiplier.... so, making the illusionary "ressources" affect the market more quickly.
So, what GS may be complayning about at best, is someone using a force-multiplier, with infinitely less ressources than GSt has itself, anyways.
Or even shorter: horseshit! Central banking > algos, because infinity > technology. Or even more simplifying for the mainstream readers: Who cares about tech and fancy tricks, when you can just print as much as you want anyways?
Welcome my son...to the Machine.
Just a little software glitch at the Federal Reserve: the Ben-o-Matic was supposed to be tested for "high-speed print" but the operator had the dial on "high-speed trade"...
For one fraction, of a fraction, of a second, someone heard AMD is coming out with a new chip.
Looks bullish....all that interest.
Kawf! Excuse me, a hairball.
perhaps you mean,,,,, bulldozer-ish??? :D
Like there is ANY legitimate price discovery, anymore. Valuation? Well, just step up to the roulette wheel and throw down your chips. Maybe you'll get lucky, maybe you'll get burned.
I think he's saying that this is simply a bandwidth problem (kidding)
Asymmetry doesn't work that way. Regarding bot-machines, you'll always have more "users" of exchanges", than exchange machines themselves. Without limits, there is no way exchanges can keep up with the demand, without going out of sync.
This is really pretty nuts. This is like John Law's wet dream or something.
Welcome to Bizzaroville. We have some really great properties with nice frontage down on Lake Lunacy if anyone's interested.
Absolutely it's nuts.
One solution would be to tax quotes a very small amount that is negligible to real traders, maybe a fraction of a cent, but resulting in significant costs for HFTs. I don't understand why jacking around the sell price would make any real difference at all except that it would force other computer algorithms to respond to the rapid action and price swings, and it would also scare away any human trader that just sees rapid variation in the price. So it raises the question for me if these HFTs are really aiming at other computer trading systems?
BTW, scariest avatar ever, if that's what you were going for. Related to the Uruk-Hai?
Forget such complicated solutions! There is no need for such a high "precision" - and actually, the machines managing the requests will never ever be able to process it in a fair way anywas, because there will always be more traders than exchanges (asymmetric ressouces). Or even shorter: HFT is totally nuts and will never be able to work in a fair way. It isn't a matter of technology.... it just isn't necessary and cannot work - neither for logical reasons (asymmetry), nor for practical reasons (not even news reports change in nanoseconds).
Just reject ns-resolutions, and instead enforce a resultion that is measured in SECONDS, not nanoseconds..... and be done with it. If the "unit" in which exchanges operates is measured in seconds, hft just disappears.... no need for weird dirty workarounds like taxes. Or in short: just don't allow "high-frequency-trading"... no one needs it except for cheating.
That's a really good point and solution. That no human can respond to changes in HFT prices should make it illegal just on that basis.
Well, in principle - yep, that pretty much sums it up. Regarding those things on which prices are supposed to be based (at worst 15sec interval news), nanosecond resolution isn't necessary anyways - so, even for a "minute-trader" who just react to the newslines on a minute-basis (which most probably, will just be propaganda - but hey, i'm outlining the "best case" (or is it the worst case) here).... well, not even someone like that needs nanosecond resolution. And what else faster than that, can affect a market, besides of "algo-magic" (so, pure invention)? Bottom line here: Even super-shortterm fundamentals do not depend on nanoseconds - not even tens of a second - at most, multiple seconds..... far away fron the speed of CPUs, and even network-latency.
And what about how to ensure an even remotely fair market technically? Well, at the top level you have the speed at which exchanges can communicate prices.... for which one as well better would reserve one second.... or to be absolutely safe, at least 5 seconds.
What would be solved by a 5sec "unit"? Actually, everything regarding HFT. So, "who" needs less than that, and "what for"? Well, there's your answer for the existence of HFT.
When things get really bad and the public is looking for scapegoats .... HFT's will be close to the top of the list. I think they're already knited into Madam Defarge's fine work.
Hello. I would like two pints of price discovery and a noice valuations Cornish pasty.
This is what I have been waiting for all of my years---a market so efficient that I can buy or sell one share at a time in teeny fractions of a share, mulling over each one-thousandth piece and going through the discipline of 'yes-no-yes--------' without paying commission or talking to anyone whatsoever.
Technology is our salvation----------------om
Trial run for something?
It's a AMD, AMD, AMD, AMD world.
Very good!
I am sure I am about to be flamed. Can someone explain this chart to me? Can someone explain what they are doing as well. Thanks in advance.
The pricing action bumps along at 1,200/sec, and then jumps to 20-70000/sec for a few seconds at a time. On/off like a lightbulb, and pounding the marketmaking engines like a 30mm cannon on full-auto.
How was that for drama?
no dumb questions, GCT. Ignorance is defined by actively not seeking knowledge (i.e. as demonstrated by regulators which inhabit the SEC).
"A special class of algorithmic trading is "high-frequency trading" (HFT), in which computers make elaborate decisions to initiate orders based on information that is received electronically, before human traders are capable of processing the information they observe. This has resulted in a dramatic change of the market microstructure, particularly in the way liquidity is provided."
http://en.wikipedia.org/wiki/Algorithmic_trading
http://www.youtube.com/watch?v=N34ziSFAfqM
Basically, imagine a world where the largest investment banks (GS) are provided the access to locate their own servers on or next to the exchanges, giving them first access to data reflecting buy / sell orders before natural network latency would allow this data to even reach regular market participants. They can then construct algorithmic programs to capitalize on this data by following, and then exacerbating perceived trends with buy / sell orders of their own.
Picture yourself as agent smith in the movie the matrix. You can operate faster than normal people stuck in the matrix because you have algorithmic advantages. You can see a bullet coming at you, as if the world was stuck in very slow motion, and you are not. You then dodge it with ease, while appearing to others that operate at the disadvantaged speed to dissapear and appear in a different place, safely out of the way.
The advantaged investment companies that are allowed to operate in this way are basically provided free reign to stand between traders that are moving at the normal speed in which they are permitted, to analyze and skim off of the top of trading trends by intervening with purchase, sell and short orders of their own, always guaging the trend and shifting their trading activity to suit the trend.
The problems arise when the trend forces the algorithm to basically keep up with itself (and other algorithms that are participating) which have demonstrated to cause massive market contractions, with little or no regular participant activity. Not to mention the sheer criminality of allowing these fuckers to get filithy rich simply by virtue of their proximity to the exchange
Chinabot?
"Grandpa, where were you when the 'bots crashed the market?" "Glued to my screen watching the pretty red lights flash by"
Computer's having a pissing contest with each other, while your retirement is burning like a barn full of hay.
Easy to fix, just charge $0.10 per quote entered into the system. The dime could be rebated if a trade was made on the quote.
Easy to fix .... impossible to do
I am simply amazed on a daily basis of the incompetence of all our institutions incl. the presidency. What did O. actually do the last 4 years besides getting good at reading off teleprompters?
The SEC has been asleep at the helm for the last 20 years.
SEC asleep at the wheel = In bed with some of Wall Street
Very soon these bots will boldly go where no bot has gone before.
If we see another flash crash, it may be all she wrote for the retial investor who may call it quits, pack up their small bags of moeny and burry them in the back yard this time.
They´re testing.
There are now 12 million October put option contracts against the S&P 500 (SPX).
The economy is tanking and this should be evident to one and all by Nov.-Dec. at the latest. Since markets prefer being ahead of the curve, a major stock market crash this month is very likely.
regulators see what they want to see, and more often that not are paid not to see.
Regulators are hired not to see.
Minimal hands-on coding skills. Not a clue for unraveling shell script systems that invoke the real-time system's built-in functioons.
Mediocre skills for getting a handle on the database query systems.
BushCo made sure to screw us. Pro-Life as a cover for being Pro-Crime.