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rffrydr
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rffrydr
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rffrydr
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rffrydr
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 Posted: Mon Oct 10, 2011 8:35 am Post subject: |
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Did it take the european tax to drive this home?!
http://www.nytimes.com/2011/10/09/business/clamping-down-on-rapid-trades-in-stock-market.html?_r=1&hp
Fact is, this is not a glitch. Yes we live in the era of electronic trading, and this does add to market depth and liquidity...but the nanotrading! This not only adds nothing, it has re-created the Tammany-Hall markets of the turn-of-the-century. Creating a parallel world that exits in the blink of an eye, HF trading has created a world seen by no-one.
Europe is saying we can have it. We don't want it. The cancellation tax would be the minimal most "free-spirited" way of tackling this.
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rffrydr
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rffrydr
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diesel
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| Posted: Sun Aug 14, 2011 12:27 am Post subject: |
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| Quote: | Subject: The Disruptor Algo
Perhaps this explains some of the craziness.
A Trillion Bytes of Data Friday Hides A Lot of Sins
Jon “DRJ” Najarian | ask-drj@optionmonster.com
Last night over 14 months after the Flash Crash, US regulators finally sent subpoenas to HFT firms. In light of that and the games that were played last week, I offer more insights into HFT from my friends at Nanex, which supports what our HeatSeeker saw as the quants had their way with the markets to the detrement of all investor classes:
On Friday, Aug 5, 2011, we processed 1 trillion bytes of data for all U.S. equities, options, futures, and indexes. This is insane. A year ago, when we processed half of that, we thought it was madness. A year before that, when it was 250 billion bytes, we thought the same. There is no new beneficial information in this monstrous pile of data compared to 3 years ago. It is noise, subterfuge, manipulation. The root of all that is wrong with today’s markets.
HFT is sucking the life blood out of the markets: liquidity. It is almost comical, because this is what they claim to supply. No one with any sense wants to post a bid or ask, because they know it will only get hit when it’s at their disadvantage. Some give in, and join the arms race. Others leave.
Take the electronic S&P 500 futures contract, known as the emini, for example. This is, or used to be, a very liquid market. The cumulative size in the 10 levels in the depth of book was often 20,000 contracts on each side. That means a trader could buy or sell 20,000 contracts “instantly” and only move the market 10 ticks or price levels. Even during the flash crash, before the CME halt, when hot potatoes were flying everywhere, the depth would still accommodate an instant sale of 2,000 contracts.
Not anymore. On Friday, 2,000 contracts would have sliced right through the entire book. Not during a quiet period, or before a news event. Pretty much any minute of trading that day after the 9:54 slide. And it wasn’t just Friday, the trend in the depth of book size has been declining rapidly over the last few week. What used to be the most liquid and active contract in the world, which served as a proxy for the true price of the US stock market for decades, is getting strangled by the speed of light, a weapon wielded by HFT.
Without going into detail at this time, we think we know one cause of the drop in liquidity. A certain HFT algorithm that we affectionately refer to as The Disruptor, will sell (or buy) enough contracts to cause a market disruption. At the same exact time, this algo softens up the market in ETFs such as SPY, IWM, QQQ, DIA and other market index symbols and options on these symbols. When the disruptor strikes, many professional arbitrageurs who had placed their bids and offers in the emini suddenly find themselves long or short, and when they go to hedge with ETFs or options, find that market soft and sloppy and get poor fills. Naturally, many of these arbitrageurs realize the strategy no longer works, so they no longer post their bids and offers in the emini. Other HFT algos teach the same lesson — bids or offers resting in the book will only become liabilities to those who can’t compete on speed.
In summary, HFT algos reduce the value of resting orders and increase the value of how fast orders can be placed and cancelled. This results in the illusion of liquidity. I can’t understand why this is allowed to continue, because at the core, it is pure manipulation.
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This is madness. Wall Street is destroying the very hand that feeds it...
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rffrydr
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rffrydr
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| Posted: Wed Aug 10, 2011 12:24 pm Post subject: |
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You might be tempted to put this in a tech analysis post. Nope, it belongs with the machines:
| Quote: | | Stack went on to observe the ratio of declining stocks to advancing stocks yesterday (Monday) was 77:1 – a ratio never experienced in 80 years. To put that into perspective there were only two instances of 40:1 ratios (of declining stocks over advancing ones): The first occurred in May 1940 during the fall of France in WWII with the second occurring on Black Monday, October 19, 1987." |
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rffrydr
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| Posted: Tue Aug 09, 2011 6:19 pm Post subject: |
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There's trading and then there's trading.
http://video.cnbc.com/gallery/?video=3000037991
Always with the psychology....now with the subconscious.
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rffrydr
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| Posted: Mon Aug 08, 2011 2:59 pm Post subject: |
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A Slow-Motion 'Flash Crash'
By Jim Cramer
It's a slow-motion "flash crash." You have to believe that it is related to the machines, because it is in total lockstep. It's not acknowledging that gasoline prices are coming down and raw energy declines are good for many stocks. It is not even acknowledging that the positives for gold stocks and gold are off the charts. It acknowledges nothing good. Utilities that run on oil and gas should be up unless you think that demand falls off a cliff. They were crushed. Consumer product companies that do well in tough times were crushed. Everything was crushed, That's machine, not man. The velocity was infuriating. You could not get in front of it. The sellers were willing to sell well below where you wanted to buy. They just walked away when you bought. And then when you were finished, they came right back and sold much lower. That's the machines. Sorry, that's the way...
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rffrydr
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| Posted: Mon May 09, 2011 4:32 pm Post subject: |
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Open Interest in Crude INCREASED friday...... a robot in every home!
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rffrydr
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| Posted: Wed Apr 06, 2011 6:55 am Post subject: |
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Proof once again that "price discovery" only works in context of rules--and requires regulation even in the most minute, by definition non-ideological, space and time:
http://www.cnbc.com/id/42446918
The circuit breakers halt trading in hundreds of stocks and ETFs when their price moves 10 percent or more during a rolling five-minute period.
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rffrydr
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rffrydr
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| Posted: Sun Jan 02, 2011 3:07 pm Post subject: |
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Fleet Street:
http://www.nytimes.com/2011/01/02/business/02speed.html?ref=technology
| Quote: | | His colleague, Bryan Harkins, the exchange’s chief operating officer, sounds confident about the impact of the past decade’s changes. The new world is fairer, he says, because it is more competitive. “We helped break the grip of the New York Stock Exchange,” he says. |
Ideology feeding on itself? What's a "price" without a "monopoly"? Imagine the opposite: an exchange for every trade. "Price discovery" is one the last vestiges of market's raisin-d'etre 
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