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HFT Quote Stuffing Market Manipulation Caught In The Act

Tyler Durden's picture




 

Now that we can directly monitor the amount of quote stuffing in the NYSE courtesy of Nanex (an ability that the SEC apparently never will have), we know that every time there is a massive spike in hollow trade (as in without intentions to cross bids or asks, something everyone but the SEC and the HFT lobby believes should be a felony offense), the market is programmed to either rip of plunge. Sure enough, at just after 3:19 pm we saw an epic spike in empty packets on the NYSE, which set off red flags and immediately prompted us to observe the move in ES, which naturally confirmed that an HFT driven coordinated buy order (no block) was going through and pushing the ES well on its way to VWAP. Market manipulation no longer needs anything more than a coordinated packet stuffing dump, as what happened on May 19. Keep in mind: these work on both the upside and the downside- the reason why suddenly everyone hates HFT after loving it for over 2 years, is that while it provides volumeless levitation, it just as easily can serve as quicksand in a downmarket. That, however, does not make it right, and just as two years ago, when we first brought attention to the matter, so today, we claim that HFT should be abolished immediately by the imposition of a minimum active quote latency. That would eliminate all quote stuffing and HFT market manipulation in a millisecond.

HFT quote stuffing spike:

and ES response:

 

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Thu, 08/25/2011 - 15:40 | 1601204 MarkTwainsMustache
MarkTwainsMustache's picture

As per the WSJ, the SEC is too busy looking into Hydraulic Fracking to worry about such things as 'market integrity'

Thu, 08/25/2011 - 15:47 | 1601247 WarriorClass
WarriorClass's picture


Break the fucking code, bitches:

 

https://sites.google.com/site/primenumbertheory/

 

Bring the house down!

Thu, 08/25/2011 - 15:49 | 1601259 bankrupt JPM bu...
bankrupt JPM buy silver's picture

Ahhhh yes, the good ol'days where we would put in orders and have to wait 5 minutes to cancel them...try teaching that to the 19 year old algo engineer

Thu, 08/25/2011 - 15:52 | 1601270 InconvenientCou...
InconvenientCounterParty's picture

Organize a mass, coordinated onslaught of buy and sell limit orders that are 20%+ off the last tick.

we'll call it "420"!

oh. I see. Apparently that's been taken. How about "666"?

Thu, 08/25/2011 - 16:00 | 1601318 Mactheknife
Mactheknife's picture

And there you have it..100 successful "trading" days in a row.

Thu, 08/25/2011 - 16:02 | 1601326 Long-John-Silver
Long-John-Silver's picture

That's too obvious, Call it "999".

Thu, 08/25/2011 - 16:23 | 1601428 JenB
JenB's picture

Seriously..... Everyone knows this is going on and you are absolutely right, it should be a felony offence! Surely there is a way to lobby against this!

Thu, 08/25/2011 - 16:54 | 1601566 MarketTruth
MarketTruth's picture

Hi, I work for the SEC. Sorry, was looking at porn on the Internet and missed seeing this move.

Thu, 08/25/2011 - 18:12 | 1601854 A.W.E.S.O.M.-O 4000
A.W.E.S.O.M.-O 4000's picture

Dude, looking at porn would be an improvement to what they have been doing since at least 1993;

 

Rolling Stone Magazine Matt Taibbi article link:
  http://www.rollingstone.com/politics/news/is-the-sec-covering-up-wall-st...  
Thu, 08/25/2011 - 15:41 | 1601210 Chasecran
Chasecran's picture

I was wondering if y'all caught that.  It was a wild move.

Thu, 08/25/2011 - 15:42 | 1601219 Cognitive Dissonance
Cognitive Dissonance's picture

Red handed bitches.

Thu, 08/25/2011 - 15:42 | 1601220 oogs66
oogs66's picture

I hope algo's bought Bac at 8.80 this morning - flash ramp seems totally allowed?

Thu, 08/25/2011 - 15:43 | 1601222 SheepDog-One
SheepDog-One's picture

Without HFT, ZIRP, and the FED's invisible iron fist, we'd have a DOW of about 1,500 or so.

Thu, 08/25/2011 - 16:19 | 1601290 baby_BLYTHE
baby_BLYTHE's picture

at least (True Value).

I just think the Money Printer will step in before we ever retouch the previous lows of March 2009, even though I don't expect QE 3 to come for at least another 6 months or so.

Thu, 08/25/2011 - 16:52 | 1601551 DeadFred
DeadFred's picture

You're assuming they will retain some moderate amount of control. How good is that assumption? What if they don't? For the last month I've been throwing out a number of small 'crash bets' aimed at making money when and if the market totally tanks. With the HFT issues I'm guessing that there is a significant chance we will see a stop trading day sometime this year. Mostly I assume it 1-200 bucks I'll never see again, but a couple of those trades during the post debt ceiling free fall were good enough to let me keep doing this all year long. My point is that I think there is a real chance the market manipulators will completely lose control for a period of time and promises of free money won't be enough. (For what it's worth I have a crash bet for tomorrow, in case Uncle Benny disappoints, 2 NDX weeklies at 1950, $100 total)

Thu, 08/25/2011 - 16:24 | 1601431 TruthInSunshine
TruthInSunshine's picture

SheepDog-One  Thu, 08/25/2011 - 15:43 |

 

Without HFT, ZIRP, and the FED's invisible iron fist, we'd have a DOW of about 1,500 or so.

 

I think we're turning Japanese, I think we're turning Japanese, I really think so.

 

1989 - Nikkei =39,xxx

2011 - Nikkei = about nothing

 

21 years of devasting NOMINAL declines, and even MORE MASSIVE real ones.

Thu, 08/25/2011 - 15:43 | 1601223 JSD
JSD's picture

As long as VZW strikers, I mean workers get their due...this really isn't a problem.

Thu, 08/25/2011 - 15:43 | 1601226 entendance
Thu, 08/25/2011 - 15:44 | 1601229 FunkyMonkeyBoy
FunkyMonkeyBoy's picture

SEC = just another tenticle on the criminal beast that owns you and your children... and will own your children's children also.

Is it time to get angry yet? Or does Obumma need to personally come around your house and take a dump on your wife's face?

Thu, 08/25/2011 - 15:50 | 1601261 SheepDog-One
SheepDog-One's picture

Im just concentrating on getting away from this head on train wreck that everyones on and thinks will end ok. Screw all this, let the sheeple go down.

BTW most americans seemingly would be only too excited to have the honor of Obama coming over and taking a dump on their face.

Thu, 08/25/2011 - 16:08 | 1601350 Dr. Richard Head
Dr. Richard Head's picture

An Obama Steamer.  Finally someone to take that moniker away from Cleveland.

By the way, how much water would you recomend to have on hand for a family of four?

Thu, 08/25/2011 - 16:14 | 1601386 SheepDog-One
SheepDog-One's picture

I have a well, and also a couple Katadyn expedition water filters. Water is too damn heavy.

Thu, 08/25/2011 - 18:03 | 1601833 Waterfallsparkles
Waterfallsparkles's picture

My well does not work without electricty.  Yours does?

Thu, 08/25/2011 - 16:48 | 1601541 JohnG
JohnG's picture

1 gallon / day / person should do it.  Or a well, lake, stream, spring......

Thu, 08/25/2011 - 17:30 | 1601729 mynhair
mynhair's picture

Use JohnG's amount, and 5 days worth, at least.  Was out for 9 days after Charley on electric.  Thank god for showers on bots.

Thu, 08/25/2011 - 18:00 | 1601824 Waterfallsparkles
Waterfallsparkles's picture

I live on bottled water as the wells in my area are not good.  You need at least 2 to 3 gallons a day for a family of 4.  Remember that you will need bottled water for cooking rice, noodles, cooking vegtables, hard boiling eggs, coffee, making iced tea, just regular drinking, water for pets. You may also want water to take sponge baths.  Also, do not forget you may need water to clean plates and pans, etc. You would be amazed how much bottled water you need when the spigot is turned off.

Rememer to fill lots of jugs of water for flushing your toilet also.  Where I live the well does not work without electricity.  So, keep about 6, 2 gallon jugs of water just to flush your toilet.  Do not pour the water in the tank, just in the bowl.  Works better.

I have been without electricity for at least 4 days and it is a bummer.  Without running water or the ability to flush your toilet it gets a little harry to say the least.  Be prepaired.

Thu, 08/25/2011 - 18:04 | 1601825 Waterfallsparkles
Waterfallsparkles's picture

Duplicate.

Thu, 08/25/2011 - 15:44 | 1601233 Dick Darlington
Dick Darlington's picture

How much midget porn you have to watch in order to miss this and do nothing? Good job SEC!

Thu, 08/25/2011 - 15:58 | 1601300 fuu
fuu's picture

They are all too busy cruising ZH with their topless avatars.

Thu, 08/25/2011 - 19:29 | 1602055 GoinFawr
GoinFawr's picture

and some people say they don't really provide any public service whatsoever.

Thu, 08/25/2011 - 15:44 | 1601235 Cdad
Cdad's picture

Maybe, if Mary Schapiro could just halt her year long meetings with criminal syndicate Wall Street bankers about what SEC laws they prefer her to ignore and which ones are ok to enforce, maybe Mary Schapiro could drop by Nanex and get a fucking clue as to what is going on in this Pachinko market.  Free market capitalism, Mary?

Holding my breath...

Thu, 08/25/2011 - 15:47 | 1601245 SheepDog-One
SheepDog-One's picture

Just waiting for the stress to snap the Titanic keel, then it all plunges down quick. Not hoping for the pirates to come clean here....this crap has gone on way too long man.

Thu, 08/25/2011 - 16:07 | 1601348 Cdad
Cdad's picture

Dog,

Check the sheer f'n stupidity on P after hours.  What kind of fluoride eating morons are at the helm of the algo ship?

Thu, 08/25/2011 - 16:12 | 1601374 SheepDog-One
SheepDog-One's picture

I hate it all, the tide has gone out a mile and everyone is partying on the beach...even dumb ox head for the hills when the tide goes out a mile Im clearing out of here.

Thu, 08/25/2011 - 22:12 | 1602584 Vendetta
Vendetta's picture

Built like the Titanic, go down like the Edmund Fitzgerald

Thu, 08/25/2011 - 15:45 | 1601238 SheepDog-One
SheepDog-One's picture

So whats with this last little market dip before todays close, the go-ahead ticket for Bernank tomorrow? 

Thu, 08/25/2011 - 15:48 | 1601253 Racer
Racer's picture

They rather ban the evil shorters first though

Thu, 08/25/2011 - 15:52 | 1601262 MoneyWise
MoneyWise's picture

Those f*ks ripping-off US Markets now, while EZ closed at higher note, after initial dump.

1) Reinstate f* Uptick rule and

2) charge 5c-10c for each extra quote over (50 in 1 min), done deal.

Everyone is just talking and nobody doing anything about it.

FTC/SEC probably getting some bonuses of those criminals

while loading up Porno on .GOV computers..

Thu, 08/25/2011 - 15:53 | 1601273 SheepDog-One
SheepDog-One's picture

Every market trade must be executed with a CAPTCHA answer....all problems solved immediately. 

Nah thats too easy though, and people wouldnt get paid for looking the other way while surfing midget porn.

Thu, 08/25/2011 - 16:14 | 1601384 fwchiro
fwchiro's picture

On a slightly different note, am I the only one that feels CAPTCHA is trying to communicate with me?

Thu, 08/25/2011 - 16:16 | 1601394 SheepDog-One
SheepDog-One's picture

Yea I get some weird CAPTCHAS sometimes. I got one that said 'blOwBoY' the other day....WTF is THAT supposed to mean??

Thu, 08/25/2011 - 15:55 | 1601283 jwfxfox11
jwfxfox11's picture

Did anyone else see Schwab is suing Citi and BofA for LIBOR manipulation?

Thu, 08/25/2011 - 15:57 | 1601291 MoneyWise
MoneyWise's picture

And we have no one out there, everybody on f* vacation

EZ and US included, while everything falling a part.. f* that!!!

Those crooks should be behind bars instead, until they figure out

the solution. Hussein Barobama playing Golf, why should he care.

Thu, 08/25/2011 - 15:57 | 1601292 FoieGras
FoieGras's picture

17k ES in 60 seconds is "volume less"?

Couldn't be that the ES spike caused the qoutes to go wild, could it? No.. the only allowed explanation is that quote stuffing caused ES to spike! Vice versa is just unthinkable.

 

Thu, 08/25/2011 - 16:47 | 1601536 d00daa
d00daa's picture

you can't be serious with this nonsense.  "es spike caused the quotes to go wild" - LMFAOLOLOLOL are you fucking kidding me?  does the sec pay you by the post?

Thu, 08/25/2011 - 16:01 | 1601295 vast-dom
vast-dom's picture

I'm setting up an HFT ETF. All 0H members can get in on it before I go public at insider discount. 

Thu, 08/25/2011 - 15:59 | 1601308 Quadlet
Quadlet's picture

Traded it.

Thu, 08/25/2011 - 16:00 | 1601313 OuaisBla
OuaisBla's picture

In engeenering, we say " if it is not broken, dont' fix it".

Thu, 08/25/2011 - 16:03 | 1601330 Texas Ginslinger
Texas Ginslinger's picture

Harry Markopolos quote (numerous times he told the SEC Bernie Madoff was gaming the system, and nothing was done)

"If you flew the entire SEC staff to Boston, and sat them in Fenway Park, they wouldn't be able to find first base."

The corruption is apparently everywhere. if nothing is done.

Keep reporting this, Tyler.

Thu, 08/25/2011 - 20:31 | 1602249 zorba THE GREEK
zorba THE GREEK's picture

Harry drew the SEC a f#*king map. He told them to go to madoff trading desk and ask to see trades, there weren't any. Ponzi exposed.

What a waste paying the SEC billions to do ZIP.

Fri, 08/26/2011 - 01:44 | 1603070 StychoKiller
StychoKiller's picture

The purpose of the Govt is to pretend to fail!

Thu, 08/25/2011 - 16:03 | 1601332 JW n FL
JW n FL's picture

 

 

http://www.youtube.com/watch?v=Fsubt_gdeBA

Uploaded by RussiaToday on Aug 25, 2011

This time Max Keiser and co-host, Stacy Herbert, discuss the Fainting Bankers of Wall Street and the myotonic markets they inspire. In the second half of the show Max talks to Chris Martenson about the insolvency of the banking system and about Dr. Bernanke's misdiagnosis of the cause of the financial crisis.

Thu, 08/25/2011 - 16:09 | 1601359 SheepDog-One
SheepDog-One's picture

OMG cant have that! Nah these days its all simply about how much more the Maniacal Monetizer will gift for free to the pirate criminals of Whore St. Nothing else matters, reality is gone forever this is the 'new normal', or so Im told.

Weird how the fact that QE is a failure, everyone hates the rigged system now, and Bernank has been proven a total failure is suddenly not even a factor?

No, the wizard overlords are putting on their robes and shall speak again soon...

Thu, 08/25/2011 - 16:19 | 1601404 JW n FL
Thu, 08/25/2011 - 16:29 | 1601450 moldygoat
moldygoat's picture

How dare you point out this blatent corruption. Didn't you get the memo on 9/11 that all crimes henceforth are not punishable due to National Security.

Bow down to your masters and eat your peas boy.

Thu, 08/25/2011 - 16:15 | 1601389 JW n FL
JW n FL's picture

 

 

Max says Eat the Rich! "Skewer the Banksters!"

 

Can we all just agree to eat the rich? (if you dont have a sister ship to your 200'+ boat and multiple leases with GE for your jet engines, you are not rich so shut up)

 

Can we all agree to Skewer the Banksters?

Thu, 08/25/2011 - 16:06 | 1601342 SheepDog-One
SheepDog-One's picture

Well for whatever reason, equities sure didnt end the day on a QEuphoria high note.

Thu, 08/25/2011 - 16:09 | 1601358 LongOfTooth
LongOfTooth's picture

Imo "they" stepped aside thus keeping their powder dry so they can juice the market tomorrow.  

Thu, 08/25/2011 - 16:11 | 1601365 SheepDog-One
SheepDog-One's picture

We'll know what the pearls from Bernank are before market open. I wouldnt bet on QEuphoria myself, but go ahead if you like.

Thu, 08/25/2011 - 16:28 | 1601396 LongOfTooth
LongOfTooth's picture

Fwiw - when I refer to "they" I'm thinking of PPT, FED, banks and other entities which have been and continue to be manipulating the market to keep it from falling through its asshole.

As for me I'm on the sidelines just watching the show and hoping I don't get trampled underfoot.

 

 

Thu, 08/25/2011 - 16:12 | 1601352 Monday1929
Monday1929's picture

Can someone tell me if I was a victim of HFT this AM?

There was an offer at .25. I bid .25 (x100) and the offer went to .30. I "paused execution" and offer went to .25. I resubmitted .25 and offer went to .30. This happened about six times. The offer always moved exactly simultaneous to my key srokes.

IB customer service does not even show this activity in their times & sales, although their cust service rep witnessed this once as it occured in real time.

Any thoughts ZHers?

Thu, 08/25/2011 - 16:22 | 1601397 rubyruffruff
rubyruffruff's picture

pretty simple order read algo...as ur bidding ib's internal mkt making reads ur order and possibly ur order id number....realizes what type of custy u are and then merely backs away from the mkt in hopes u pay up.....much luv for ib....i've been with them for 7 yrs......the option mkt maker arm of the shop r really scum....oh p.s. u def. were the victim of an hft pocket pick......try trading an active stock or semi liquid futures onctract.....the algo's will back away from ur bid/offer or front run u death.....xooxxo

Thu, 08/25/2011 - 17:21 | 1601685 Monday1929
Monday1929's picture

Really appreciate the reply. I've been trading for years, worked on the Comex, but never saw this happen before. I will consider leaving Interactive Brokers and bring my business elsewhere. I also told them I did not want a fill, just an explanation of what was going on. Something was definitely "in" my computer. Also, a supervisor never bothered to return my call.

Thu, 08/25/2011 - 16:20 | 1601414 buzzsaw99
buzzsaw99's picture

it's called running away from the bid and it happens to everyone who plays in the rigged casino.

Thu, 08/25/2011 - 16:21 | 1601417 Ident 7777 economy
Ident 7777 economy's picture

 

Hmmm ... basic 'bait and switch' ... no?

 

I thought THAT practice was outright illegal ..

 

Thu, 08/25/2011 - 16:34 | 1601484 JW n FL
JW n FL's picture

 

 

Hey PIGGIE!!

GREAT! Job!!

SEC Covering Up Wall Street Crimes?

http://www.rollingstone.com/politics/news/is-the-sec-covering-up-wall-street-crimes-20110817

dont forget to arrest those poor people!!!

Now go get some poor black kid with a handful of dime bags of weed off the street.. while the Country is ROBBED in Broad Day Light for TRILLIONS!

Wait.. here it comes.. thats NOT your Job!! Sworn Law Man???

Thu, 08/25/2011 - 16:52 | 1601552 Threeggg
Threeggg's picture

This has been going on for years. Had an e-tard account many years ago and they frontran me manually (more than likely the market maker) I called e-tard and told them I would cancel my account and sue if they didn't reverse the trade.

They did !

This is one of the reasons I abandon the market. With the help of ZH I woke up out of my paper induced coma. Been sleeping well ever since.

Thanks ZH !

 

Thu, 08/25/2011 - 16:09 | 1601361 The Axe
The Axe's picture

AAPL is a screaming BUY...Goldman was right...Tyler....   amazing

Thu, 08/25/2011 - 16:19 | 1601408 orangedrinkandchips
orangedrinkandchips's picture

KILL EM ALL...Metallica

 

 

Thu, 08/25/2011 - 16:29 | 1601449 JW n FL
JW n FL's picture

 

 

http://www.youtube.com/watch?v=EPA2rEsIgSU

No Remorse - Metallica - Kill 'em All - Studio Version - HD

Thu, 08/25/2011 - 16:31 | 1601464 JW n FL
JW n FL's picture

 

 

surfs UP!!

http://radar.weather.gov/ridge/radar.php?rid=AMX&product=N0R&overlay=11101111&loop=yes

 

tomorrow after the rain passes will be SWEET!

Thu, 08/25/2011 - 16:21 | 1601412 orangedrinkandchips
orangedrinkandchips's picture

"I LOVE IT WHEN A PLAN COMES TOGETHER"...A-Team

 

You can just feel the fucks squirm...when the $ is worthless...45, 55, 65Billion DOESNT MEAN SHIT.....NO?

 

Just ask Thrusten Howell the 3rd!!!! worthless..

Thu, 08/25/2011 - 16:23 | 1601429 SheepDog-One
SheepDog-One's picture

When $1 trillion is considered chump change like now for example, you know its screwed.

Thu, 08/25/2011 - 16:22 | 1601421 SheepDog-One
SheepDog-One's picture

Gold makes $200 24 hour U-turn, unbelievable enough in itself when gold was $400 only a few years ago....equities down but not much for the day...no clear indicators of QE but the insiders will have the news by early pre market no doubt, we'll see in the morning.

Thu, 08/25/2011 - 16:22 | 1601422 buzzsaw99
buzzsaw99's picture

makes the down days fun to watch.

Thu, 08/25/2011 - 16:29 | 1601448 alien-IQ
alien-IQ's picture

it's all fun and games...til someone pokes an eye out.

Thu, 08/25/2011 - 17:31 | 1601733 trippy64
trippy64's picture

Then its f***ing hilarious.

Thu, 08/25/2011 - 16:35 | 1601489 unununium
unununium's picture

> imposition of a minimum active quote latency

Thank you ZH.

Simple fixes to level the playing field are really all that the exchanges, and the political system, and the world, need to redirect human energy to productive purposes.  I happen to believe that anyway.  So thanks.

Thu, 08/25/2011 - 17:24 | 1601704 Monday1929
Monday1929's picture

Yeah, even one whole second would work for me. I will try to avoid Philly options exchange or is it IB I need to avoid?

Thu, 08/25/2011 - 17:14 | 1601646 mac768
mac768's picture

"You can fool most of the people most of the time but not all of the people all of the time"

Thu, 08/25/2011 - 17:49 | 1601795 kevinearick
kevinearick's picture

good luck turning off the computers. can't wait until they try to shut off on the downside only. critters.

Thu, 08/25/2011 - 18:13 | 1601859 Waterfallsparkles
Waterfallsparkles's picture

Who though the HFT could actually excentuate the move down.  Now, they do not like HFT and want to get rid of it.  It was OK when all it did was buy the Market.  Now, the HFT is selling the Market everyone has a problem with it.

On another note.  With Bernanke out of the Market, at least for now, I am starting to be able to make a little money in the Market Trading.    Hope it lasts.

Thu, 08/25/2011 - 18:17 | 1601869 Waterfallsparkles
Waterfallsparkles's picture

Sorry, duplicate again.

Thu, 08/25/2011 - 18:19 | 1601882 Anonymouse
Anonymouse's picture

"That would eliminate all quote stuffing and HFT market manipulation in a millisecond."

Impressive.  And, incidentally, 900,000 times faster than Bernanke can stop inflation.

Thu, 08/25/2011 - 19:04 | 1601992 chump666
chump666's picture

We love to hate HFT's quote stuffing bizarro trades (inverse bid/offers)...But what we want  for them to start doing is creating wider volatility ranges -   F*ck it up a bit more so one can swing trade with the peaks and troughs.

Adapt or die.

Thu, 08/25/2011 - 21:12 | 1602367 jmc8888
jmc8888's picture

That it would ZH.  All you need to do to stop HFT is introduce a latency limit.  It's a problem of condensed time.  They can do a year's worth of trades in a second.  So, set time limits.  It really is a simple answer to a nasty way of manipulation.  Latency = speed limit.   But then for the dumbasses, we're 'adding more regulation'.

It's not about more or less regulation, it's about the effectiveness of it.  With effective regulation though, many times that does mean it's numberwise amount, less, even though it's more.  But it's not less regulation, it's actually more.  People that fall for the bullshit between the lines doesn't realize it's just like a matter of Bill Clinton and the meaning of 'sexual relations'.

 

Thu, 08/25/2011 - 21:36 | 1602443 disabledvet
disabledvet's picture

at least it's on the exchange. when you talk about CDO's and CDS's these are "inter-bank" relationships with no oversight whatsoever. When you add in all the front running vis a vis the various electronic "information devices" and obviously it's really hard to look at the HFT which may/may not provide any market value whatsoever as far from criminal. It would appear they all have the same "buy Treasuries" default as well.
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