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The ISM Print Through The Eyes Of A Trading Algo
Since nobody else is trading anything today, we wanted to show readers, courtesy of Nanex, just how it is that the only market participants in the past year, that would be robots of course, traded the ISM number. Pay particular attention how the size book in the E-Mini contract virtually disappeared two minutes ahead of the number as everyone shut down and was merely awaiting the headline at which point everyone who trade in the same direction.
01-May-2012 ES.M12 Price and Size Depth of book plus volume.
01-May-2012 ES.M12 Price and Size Depth of book.
Minimum sum of bid and ask depth of book January 2011 through 01-May-2012.
The thicker red line is May 1, 2012. Note the level was lower than usual
since the open. The falloff at 10am is typical (though low) for a 10am news day.
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ooh, pretty.
pretty meaningless.
Actually it's awesome.
No volume, no retail traders. The only people that are going to get hurt by the Algos now are the Bank bagholders. What is a stock worth if nobody is interested in buying it from the retail community?
The answer is nothing.
At current non-participation and volume market collapse is now estimated at July 26th 2012.
Good prognistication CPL. That is if the great May 20th Quake doesn't change everything first.
And them Algos, they make for beautiful electronic art, that's for sure.
ori
It's just math and excel, pardon just Excel 2010 now, the data modeling tools in it are fantastic. Still hate the ribbon tool bar, but I'll accept it for the sweet plotting tools in Office 2010 Enterprise.
My volume calculations are based from Jan 1st 2000 to today at May 1st 2012 drawn from TDWaterhouse data because google has erased everything for S&P/DJIA/NASDAQ.
If looking at July 26th on Daily volumes something weird happens, everything inverts and the dividends start to wreck the market backwards.
Now what does a market with zero volume offer to a retail trader?
Nothing obviously. But there is a dangerous problem for anyone holding a pension plan with any equities in them. When markets approach zero volume all pension systems using any equities should be considered irredemable after that point.
As in, you'll never get your money out of it unless the pension scheme has someone to sell to. No one to sell to, nobody gets wealthy in fiat terms, in real terms they don't eat. The Algo's will soon learn a very human idea in a zero volume environment because they are built to react, not think.
The Algo's will either stop trading OR that bug like AI running them will turn on it's owners and require any type of market movement. Only way to do that is down. I wondered why all the markets put in 5% drops in. They aren't for people.
So we'll be a situation with no market volume AND bond markets end up with nowhere to unload to. FOREX will lock up the same hour that the bond pressure can't be released.
So grab a drink and a chair, popcorn is popping and let's watch it burn together.
Very interesting CPL. Thanks for sharing the process.
Sure feels like it's coming apart at the seams.
ori
Entropy is a bitch.
I had to switch to fruit, i burned out on popcorn with Greece.
It does go better with the wine though.
Priorities..
Indeed, sirah.
Yeah, it's pretty useless and utter nonsense don't you think. Even my newly replaced HP 56 would agree with us lol.
US has decoupled from the rest of the solar system... amazing
Nanex gives the best chart.
Seriously. I'm having a hard time keeping my pants on looking at this. I want my computers to see like NANEX, some day.
Short Squeeze into Friday's NFP number, short this bounce.
No don't do anything. Don't bother trading it. Don't feed the system anymore data or money.
Precisely.
It's all bullshit and spending time talking about it plants the little seed in little minds that maybe it's not bullshit.
Ignore equities. There is no P/E because E is not known. All the shit mortgages are still carried on bank books at full price. The temporary FASB mark to market rule change never was reversed. We have no idea what actual earnings are.
Only one thing takes all this down, people. Oil. The rest is hand waving and protecting paychecks.
And today Oil is King.
Look at the spot price of WTI.
Have you posted this comment before, or am I experiencing a deja-vu glitch in the matrix?
I wish you well to short this manipulated market.
If Ben and his helicopter were not hovering over this market, I'd put everything in NYSE:DXD before Friday.
Automato-Momo!
What happens when 'Science' outstrips 'Science Fiction'?
Methinks a chat with Master Rod Serling is overdue...
How can fiduciaries continue to keep capital allocations to equities with this BS going on daily? And LDI is supposed to be tossed for..what? This BS? ENDORSED by the FED?!?! Today's index action said it all... a complete joke.
Simple answer is they can't.
DavidC
Second chart proves there are sharks in these waters. Looks like a fish finder pinging a shark.
It is wierd..its just computer against computer.....Elvis has left the Arena.....Yesterdays raid on Gold was another example of the fixed market...this casino is closed for the retail investors...but it looks good for politicial speeches and for pension fund quarterly reports...
Joe Saluzzi and Sal Arnuk (who also reference Nanex's work) have pointed out it's fine as long as the market keeps going up, but it WILL happen that a downward move will occur and the HFTs will just STOP, exacerbating the move aka Flash Crash style. It's not if, it's when. It WILL happen, the market is now so unstable.
DavidC
That's what makes it so frustrating. You need to be in short when it happens as there will be no warning. But staying short is punishing, almost impossible.
You can't be short, because who is going to offer the cover in a zero volume situation? nobody.
Seriously...stay out of it. The Animals in markets are dead after that point. Fuck around in tiny blocks if you want, but I suggest you stay away.
You don't *need* to be in short. You don't need to be in at all.
Walk away. Forget equities.
Forget gold.
Forget bonds.
It's not going to matter.
Real bullish :
100 black teens beat white couple in Norfolk...
Please fuck off with the stormfront crap.
4chon.org is that way -->
What about you man up and accept the fact that some blacks have been brainwashed to hate whitey??
You really are a troll......
...fine I'll play along...
For the couple that were beaten to death. Good. Adds to GDP.
Since they are white they'll have insurance policies that will be cashed out to the next of kin as noted on the policy. That money then is issued to the recipent and promptly spent on iPads, cars, trucks and your mother.
After GDP and your mother is taken care of, the next round of investments can be made and the next guy gets sloppy seconds on your mother's gaping axe wound. Once the board is strapped to his ass of course, your mother's twat isn't called Cunt Canyon for nothing.
The headline used by lolmao is bullshit (shame on you), the article title is
"A beating at Church and Brambleton"
it is a very interesting and thoughtful read. 30 youths involved NOT 100!
It should be read in conjunction with the Reuters piece on George Zimmerman
http://www.reuters.com/article/2012/04/25/us-usa-florida-shooting-zimmer...
It has been my experience that a tradegy doesn't happen because of one single event but a cascading series of events, changing anyone of those outcomes, prevents the tragedy.....
This isn't about race, it's about a dysfunctional society, police force and judiciary.
I know the neighborhood well, used to be stationed in VaBeach/Norfolk area. That area is smack dab in the middle of the projects.
Read the story. It's classic on two levels: 1st how two reporters get an education on the huge difference between the truth and what ends up in the press; 2nd how police reports hardly ever tell reality.
The police officers should be fired for lying and falsifying official records; ommission is no different than commission when it comes to violence.
The reporters should go look in the mirror and ask themselves where's the honesty, honor and moral character of their choosen profession
I bet some low-performing autobot has experienced a huge splippage with this trade..
But hey, their "manager" will probably hire additional scientists to make them work better!
I laught at them directly in the face.
http://www.bloomberg.com/news/2012-05-01/man-group-has-1-billion-outflow...
Autobots? More likely: Decepticons!
NANEX should sell them charts as ART..the ART of STEALING :)))! Would make a killing! Look at them awesome colors!
I've been trying to trade this market since 2007, made good money into 2009 and then nothing. I've NEVER seen a move like today's before - the figures weren't THAT good.
Big sell off coming?
DavidC
I hate to use the term "blow off top", as it meaning roots in a a market with "people" and "emotion". It sure looks like one, but the reality is this is simply a program (not people), designed to perpetuate the myth of recovery and the massive underlying greed attached to it.
Or, perhaps better stated as, how to create the impression of not being in possession of material inside information.
The SPY is up almost 4% in one week! Driven up by single event news storys. FED, APPL, and now ISM. A healthy market would not act this way. But, remember, what goes up must come down. Just be patient and don't play against the computers.
Today, the Dow has reached a new level that hasn't been seen since December 2007. Wow. Depression over. Deflation off. Housing boom is on. High unemployment is over.
Here's a weekly that goes back FIVE YEARS.
http://bullandbearmash.com/index/djia/weekly/
This should be the last run before the collapse. These are incredible times we are in.
orangegeek
My thoughts exactly. I've been looking at the Dow, S&P and Nasdaq charts, both S&P and Dow are now at post 2008 highs, yet with bad figures last week, poor NFPs last month and yet today's (mediocre) figures have pushed the markets up.
I remember last year when the sell off started, it was overnight in the Far East markets and then just plummeted over three weeks or so into August. A repeat this year? After all, Twist finishes in June.
DavidC
So these data are also electronically fed to the algo? You mean a primer trade is not needed by some physical numb nut to precipitate the frenzy?
Looks like the fat lady sang long ago. They put cartoons up to stop the audience from leaving.
Too much money must be short for these sudden super spikes. (ISM beat, yeah right!) Forceing short covering is the only way to dump the what was ramped up by tptb who only have access to information that is available to everyone. What a fucking joke.
Do NOT play with the battlebots! They WILL crush you!