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HFT Quote Churn Surge Mirrors Stock Spike
For every seemingly irrational move in stocks, there is always an explanation. This time we look to Nanex who advises us that concurrent with the latest market surge between 11:35 am and 11:40am, there was a parallel spike in HFT quote churning. Traditionally, this has been associated with market drops in high volume days, although with volume in the past 48 hours nothing to write about, it appears that HFT quote surges tend to translate to market spikes when there is no coordinated high volume activity. Interestingly, this time it is a coincident if somewhat lagging indicator. We will observe how algos will react the next time there is a sharp move either higher or lower in stock to see whether robots are a cause or an effect.
Source: Nanex.net
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and i thought it was because european markets closed!
HFT rescue bots & Volume fluffing ramp bots. They have bots for (seemingly) every situation. Which bots are used when a banking system collapses?
Grave digging robots
"Which bots are used when a banking system collapses?"
HFT Shut Down No Liquidity Bots
No quote stuffing front running looting to be made... Might as well shut the servers down and head up to Sparks steak house for dinner, coke and hookers...
Energy stocks are spiking with no ask.
Just quote churning algo-bot robots playing pingpong again? Huh...imagine that.
They're beta testing the new version of BucketShop Pro.
+1... Nice one Shempster...
Say, speaking of stooges, is that a Christina Romer hair cut you are sporting?
Trading with Robots is very hard. The USD opened higher: stocks were up, depsite weak top line revenue misses. Plus EZ conflicts. Etc. Meanwhile the 10 year is down in price and up in yield. Then, very slight uptick in EUR and stocks rocket blast, while IBM is down nearly 5%: which is heavily weighted in the DOW and SPY. God, if IBM was up today we'd be looking at 2+% moves today even though the EUR is still slightly down against the Greenback.
This is the most insane market recorded in history. But when you get Robots trading with one another, I guess that's gonna continue to be the case.
Meanwhile the 10 year is down in price and up in yield.
Nothing like correcting oneself, but I meant to say yield is down (risk off) and price is up.
You can edit your posts until someone replies.
A minor market surge in the S&P would only complete a head and shoulders pattern since early October?
Hey, why complain? GLD and GDX are being dragged up kicking and screaming as the Algo/Igor/Robo machines are Heatmapping ES.
Just the club marking prices up ahead of banana Ben. If he doesn't deliver ala Jackson hole this run into next mon should be a nice opportunity to short.
Isn't this just primary dealers booking phoney trades with each other? And can't they continue to do this until the system completely implodes (and this will only happen when they decide there is no wealth left to extract).
It is getting really boring/depressing watching this "market".
Yes, and I keep some Four Loco handy when I start feeling like that, reserve a screen for porn, and which "market" are you referring to. I can't seem to find one anymore.
if I had control of a rigged market and there were no sheep duckets left to extract, I'd drop the thing low enough to lure in a fresh round of buying--say 900. Then I'd ramp up a bit, and drop the thing to 700....
funny though isn't it though, how gold is risk on, as long as risk is off, and then when risk is on, it's dumped like a flight to safety asset. lol.
nevermind it is going up along with the banks and everything else. lol.
Rosenberg's article from last week said it all. The action is at the margin. The extremely thin volume means that the margin mostly consists of HFT using unlimited amounts of ZIRP money. That creates demand. Supply at the margins in this trading range is limited. Shorting has become a great way to blow up a trading account ever since Jackson Hole in 2010. Burned, burned and burned again. Every time an event like this AM's melt up occurs it makes a trader that much more hesitant to pull the short trigger. After months of this shorts are weary, and supply is low. Price action then is terribly scewed to the upside. When things are scewed, eventually they get screwed.
And this violent upticks is why not only is everyone is the world very afraid of going long because of the massive macro concerns.....but everyone is scared shitless to hold on to shorts as well.
It's a true clusterfuck and Ben Bernanke and Co. won't be satisfied until everyone in the world with any captial at all is fucked beyoned belief.
I have a theory with the ALGO's: it's all okay with the Federal Reserve and President of the United States so long as they ALWAYS have a bias to upticking bids. And that's why we'll never hear shit about this until it explodes. Once it finally does, Obama will go for the score on political points and reverse course and "demonaize" these comptuers.
It's the only thing that can possibly explain the trading on a day like this. Everything that sent stocks higher in the last two weeks should ironically be crushing them today, too. But....but.....but.....
I think you're right Belarus - that's how politics works. Just like force banks to loan to low income families who can't pay, then blame it on the banks when they go bust. Just like give taxpayers' money to a non-viable solar company Solyndra, then blame its failure on global warming skeptics. Just like ...
While the mice are away the rats will play.
santelli was on cnbc saying the Fed should hire some HFT'ers .. wut
lol, apparently no need to hire them. The long-only bias must be built into them already.
Maybe this is a new trading system. The massive swings is SPY which are typical of bot crazy times happened during that time. We know the HFTs make killings during those times so maybe they just came up with a new strategy for inducing swings without the need of underlying market turbulence. Perhaps an in-your-face response to the Volker rule infringing on their sandbox.
The exact same plateau trading pattern from a few weeks ago is starting up again. The market jumps by 50 points then gyrates between a few points for a preset time then it should drop by 25 points, gyrate, then jump 75 points in a couple minutes. The volume will actually decrease on the big jumps.
That was the pattern I observed the last time it looked like the market was traded on pure algo speculation alone.
Oil looks like it is going back to $90 for no reason. Maybe one last pump before the contracts get limited?
This thing isn't broken it is pounded into dust.
Adr--I'd literally just chicken scratched that exact same pattern out while looking at a couple of old charts--though there have also been a number of larger final spurtgasms of 100+ pointers right into the close. Trouble I have with this is that you'd think with all the hedge funds and stubborn bears out there it would be more of a fight. It seems to me all they do is fluff up the highest priced stocks in the indexes--(take a look at IBM for the year, it's downright laughable)--so theoretically seems like it wouldn't be hard to set up a counter HFT or just concentrate dumping in those stocks and cornhole the cornholing bots. These things are exposed to a serious ass-raping given how predictable they are. Wish I had Paulson's money. I'd take this whole pos to its knees.
...But this is what you're missing, JD. You would then be fried by the SEC for ramping shit lower. That is not allowed by TPTB. And therefore, your HFT set-up, would be shut-down overnight.
Did you miss George Carlin's quote, "It's a big fucking club and you're not in it."
yeah, I know--was meaning a one shot, fuck the bots crash the entire fucking market ninja attack.
So interesting how the moves on the ES and SPY outpace everything else. Almost as if they were actually leading the market higher. Strange. Just my imagination, I guess.
Nope, not your imagination...
The computers are certainly frontunning the EUR going up quickly. Must. Get. Faster. Computer. It's amazing watching this shit live.
the current hft pattern has been used before to launch stocks higher, usually it isn't as bad as this, I was going to post on this wtf day!!
the way to trade this is simple, you draw a paralell line of the index (i onnly trade indexes. the second blounc off the declining (descending line will be used to lauch stocks higher. you can trade with the hourly macd, but they will keep doing this as long as they want. to get an idea of when the likely top will be you must use the speed line graphic. it's higher lows, but with almost every new high there will be a sell off along the speed line. this was the technique (trading pattern) that was used ne0ar the market peak, up the channel, and could be done easily over and over. remember when we had those day drops, of 0.5 % then we'd hit a lower low and then bounce up. happeed for almost a couple months straight. if you wat to short and make money, but have to either trade this line back and forth often, or you entr the short etf (inverse) etf after the recent lowest low.
you will see these lines easily if you just plot them (descending channel
DCB, any chance you can post an image of your technique?
oh don't forget witht eh new twist pomo they can the primary dealers can always generate profits front running the fed and then buy options on leverage and in effect run up the market. this could go ion a while. now I think we had a major bottom, but at this point we should have had a good sell off to rebuy lower. no drop in this environment in this many days is such manipulated crap
big bob is on the bid.. he loves fucking.
Tyler,
Speaking of HFT - Check out the QQQ between 12:15 and 12:30 - there were two large trades canceled, which I believe went through an exchange referred to as ADF. Lot's of Vol with apple reporting. Check it out.
Say you have a large block of shares to sell: you'll really need volume bids on the other side in order not to shoot yourself. In these times of HFTs, momo's and whatnot, selling into a thin market - which was always a bad idea - is now practically suicide (might explain all the prop desk losses by the big market participants).
The intro in the article already made a pointed observation: "volume in the past 48 hours nothing to write about." ZH has been right on the money to keep track of mutual-fund flows. If an urgent dump should occur, it'd most likely be due to redemptions.
Anyway, just wanted to pop in to say i really enjoy these articles about Nanex's findings. Please keep them coming!
These little fuckers are badddddd....
http://calibratedconfidence.blogspot.com/2011/10/4-for-4.html
and the decievers are out there running the PR campaign about spreads and liquidity....
http://calibratedconfidence.blogspot.com/2011/10/calibrated-confidence-responds-to.html