02/07/2012 Intraday Watering

[jarbo456]

HFTAlert posted this short video of 14:22 time and what the machines were doing, but not trading, to move the market. If you want to control your positions with the risk you think is there then this practice of quote stuffing must be stopped. The SEC is strongly considering a time that the quote must remain in the system which will cut down on this practice and help to free the mkts from the manipulation you have been witnessing where they never have a losing day:

Click button to play...and then go to the online form below and demand the practice of 10,000 fictitious quotes at 10,000 a second be stopped:
http://www.hcmi.com/qs1/qs1.html


http://www.nanex.net/aqck/2804.HTML

Petition to stop this. NANEX, who first noticed the extent of this practice that was a well kept secret, is helping to make this happen.

http://www.nanex.net/Research/QuoteStuf ... anned.html

Please visit the NANEX site and click the links to ask the SEC to stop this practice or you will have no interest in the market as there will be none.

You might enjoy this post on HFT trading at slope by BDI:

http://slopeofhope.com/2012/02/the-borg ... .html#more

interesting article springheel...

purely his emotional opinion, but i did enjoy reading it and have to agree with a lot of what/how he feels.

i'm looking for an article that truly outlines how these HFT #1) get plugged directly into the quote system so that they can clog the bandwidth 2) exactly how they profit by clogging said bandwidth...although they don't make nearly as many trades as they quote, they do make SOME trades...how do they decide which trades to make.

it's interesting that when i started in the business, "high frequency trading" at that time meant making very short/fast trades, often placing bid/offers within the spread to take advantage of penny spreads to make pennies on a large highly leveraged position. if you had a faster computer, faster internet connection, better access to the various ECN's, you could arbitrage slower price changes between the ECN's...

i feel like HFT now is some totally different mechanism. but what IS that mechanism? we KNOW it's quote stuffing (what does that do to help them though?)...we KNOW it's become a much smaller pool of HFT sharks controlling short term market trends...

[SWalsh]

div everywhere. the best case for bulls is to correct overnight, then rally tomorrow. the target you know is 1361.
support still at 1330-1331 es

But the real question is, and we don't know the answer, is who has waited this long, and in some cases lost 50% of capital, to stay with Dr. Bob? While maybe they want to get it there to make a point, I'm strained to believe that there's anything worthwhile such as 5% of the open interest of the S&P futures as well as SPY shorts sitting at that level to get out. If anything ruined EW Theory as an oft looked at methodology it's Prechter, who foolishly went to every media request to call for a drop when they wanted him to appear. I can't imagine someone on a trading desk at a morning meeting asking "who has last night's EWI report?". The most highly paid guy there has to be in marketing. He probably generates the income that pays for Prechter's and Hochberg's bodyguard!

[dcurban1]

They pay for server access. In other words the large algos pay to have their servers placed right next to the NYSE/Nasdaq servers with a direct line between the two. That cuts the time down to milliseconds. All the funds do is upload the code and let it rip from their offices. They have no idea what trades are being done, all they see in the office is a P&L.

[dcurban1]

In other words, the algos servers can calculate stops and signals much quicker than having a Bloomberg and sitting in an office anywhere in Manhattan no matter what your connection.

[SWalsh]

i'm looking for an article that truly outlines how these HFT #1) get plugged directly into the quote system so that they can clog the bandwidth 2) exactly how they profit by clogging said bandwidth...although they don't make nearly as many trades as they quote, they do make SOME trades...how do they decide which trades to make.

I'll do my best to try to get specific answers, if there are any, by the end of the week in a form that is readable.

[springheel_jack]

div everywhere. the best case for bulls is to correct overnight, then rally tomorrow. the target you know is 1361.
support still at 1330-1331 es

But the real question is, and we don't know the answer, is who has waited this long, and in some cases lost 50% of capital, to stay with Dr. Bob? While maybe they want to get it there to make a point, I'm strained to believe that there's anything worthwhile such as 5% of the open interest of the S&P futures as well as SPY shorts sitting at that level to get out. If anything ruined EW Theory as an oft looked at methodology it's Prechter, who foolishly went to every media request to call for a drop when they wanted him to appear. I can't imagine someone on a trading desk at a morning meeting asking "who has last night's EWI report?". The most highly paid guy there has to be in marketing. He probably generates the income that pays for Prechter's and Hochberg's bodyguard!

I don't think Prechter's ruined EW theory. I think he's just demonstrated that any form of analysis works best when you start with evidence and work towards a conclusion, rather than starting with a conclusion and looking for evidence to support it.

For certain his subscribers would mostly be richer if he'd stuck to writing books.

[SWalsh]

They pay for server access. In other words the large algos pay to have their servers placed right next to the NYSE/Nasdaq servers with a direct line between the two. That cuts the time down to milliseconds. All the funds do is upload the code and let it rip from their offices. They have no idea what trades are being done, all they see in the office is a P&L.

It's been explained to me that when the term HFT is used it refers to those machines placed directly beside, and attached, to the machines sending out quotes.

When "algos" are used, it's all others who by placement of the machines cannot beat the HFT machines. I saw some link that had a physicist discussing the evolution of technology and in the presentation he showed how a link for the machines off-site went through a very large hill, for to not go in as straight a line as possible caused a slight delay and when added up that was money. Just think of the money they must be making, with no risk, to dig through the earth for a fiber optic line. These are machines that siphon wealth from the market under the guise of providing liquidity.

I'm told the algos will trade some positions for a longer time while the HFT is generally in-and-out in about 1/4 of a second. The stuffing of quotes is to do a few different things. One is to try to trick the lesser designed algos into trading when it is slow and the public is gone (a desire of the Obama administration as they want "investors" who trade for the long haul and not speculators), and also to get in front of orders more easily. On August 9th they almost crashed Nasdaq with the quote stuffing which would have required an intraday reboot that wiped out all orders. It's never been done and they are unsure of whether it would work. That was done to stop sell orders from entering, as many platforms went down from about 2:30 onward. Mine did, and my complaint received a heartfelt, "we are very sorry", as I could not take some significant profits. But they hold no responsibility to assure you access or fills.

These machines literally have the Black Swan potential to collapse the banking system. But since I said it I guess the only real Black Swan in it would be that which has not been protected when they think they have thought of everything.

With what I know about corruption in government from law enforcement and an investigative reporter, it would seem to be improbable that these "banks" have not been operating with an upward bias and a nod and a wink to be left alone. A committee representing the commodity exchanges asked that these "parasites" be ripped out. The major premise was that they drive markets above realistic pricing via supply-and-demand to attract players to participate and then they clean their clock, plus they cannot hedge properly with such activity, and the purpose of the mkt is "price discovery". It all makes sense then that an administration which needs every lie and illusion of success to be a card in the re-election deck is quite approving of a mkt that goes higher. Thinking it is rigged upwards is decidedly not a foolish assumption.

[trendfollower]

Interesting and educational audio discussion on precious metals:

http://goo.gl/MS9RO

[thanos]

Tomorrow there could be exuberance about what happens with Greece....Looks like Cobra has a target of 1355ish...which could be met tomorrow...but do we begin to sell off later in the day...??

Feb 10th is still a turn date, supposed to be a big move...I am assuming down...but we will have to wait and see...could go either way with this market, but with the market about to hit new highs and considerable resistance around 1355, it has more chances of rolling over. Transports have been underperforming here, and utilities decoupled from the market on Dec 30th, utilities pulled back, while the rest of the market took off. Utilities sometimes taken as safe haven, now starting to bottom, and had a good day today. VIX and SPX both up, which can indicate a trend change. Chart comparing Transports and Utilities. Utilities finding bottom, transports finding a top...????

I see a small turn date coming up that would turn down for about a week then another turn leading us to a top in mid-March. The mid-March turn date is the biggest one to me.

Wasn't there a 'big' turn date last Dec 27? What exactly is a turn date? I mean besides a guess as to where the market will change direction? Thanks in advance.

[SWalsh]

Tomorrow there could be exuberance about what happens with Greece....Looks like Cobra has a target of 1355ish...which could be met tomorrow...but do we begin to sell off later in the day...??

Feb 10th is still a turn date, supposed to be a big move...I am assuming down...but we will have to wait and see...could go either way with this market <snip>

I see a small turn date coming up that would turn down for about a week then another turn leading us to a top in mid-March. The mid-March turn date is the biggest one to me.

Wasn't there a 'big' turn date last Dec 27? What exactly is a turn date? I mean besides a guess as to where the market will change direction? Thanks in advance.

You have called everyone here a HS dropout and a disillusioned loser and you expect people to reply to your questions when you mock them?

One person you mocked, "57Chevy", posted that he has an MBA from a top school. I think it was the University of Chicago.

And what is your curriculum vitae again such that you call the readers of this board HS dropout losers? You seem very reluctant to state it.

[SWalsh]

Springheel_Jack,

I was asked to not contact you via PM yet you have now written to me twice in the last hour. I did not read your messages. I regret that I have to ask you publicly, but I would appreciate that you not PM me again or reply to any posting I put up. I provided the proof of what you objected to last week. Our business is finished.

[springheel_jack]

Yes, I was thinking that you might have calmed down to the extent that we might actually have a rational discussion on the subject we were discussing last weekend and the (cough) 'proof' that you never actually sent me but did at least describe.

Clearly I was mistaken and I assure you now that I will never make such an absurd assumption about you again in the future.

You can rely on not receiving any more PMs from me on this or any other subject.

It's best that we just pretend the other isn't here.

[usctrojan99]

If we gap up tomorrow on Euro news, I may actually buy some puts.

[99er]

Hey folks

What's with all the testiness on the board these days? Not everyone wants to watch a pissing contest you know so please keep things civil; we're in public.

Sheesh. Must be a top.

[Cobra]

Guys, let's be gentlemen here. I really don't have time to arbitrate who's right who's wrong, so please no argue. Your cooperation are much appreciated.

[thanos]

Tomorrow there could be exuberance about what happens with Greece....Looks like Cobra has a target of 1355ish...which could be met tomorrow...but do we begin to sell off later in the day...??

Feb 10th is still a turn date, supposed to be a big move...I am assuming down...but we will have to wait and see...could go either way with this market <snip>

I see a small turn date coming up that would turn down for about a week then another turn leading us to a top in mid-March. The mid-March turn date is the biggest one to me.

Wasn't there a 'big' turn date last Dec 27? What exactly is a turn date? I mean besides a guess as to where the market will change direction? Thanks in advance.

You have called everyone here a HS dropout and a disillusioned loser and you expect people to reply to your questions when you mock them?

One person you mocked, "57Chevy", posted that he has an MBA from a top school. I think it was the University of Chicago.

And what is your curriculum vitae again such that you call the readers of this board HS dropout losers? You seem very reluctant to state it.

Does it really matter what university I went to? If i told you I had a PhD from the University of Cambridge would you believe me? By the way, the question that still hasn't been answered is "What is a turn date?". Maybe you can answer with your above average IQ? (You know I'm never going to let that one go!) My point is that people rely on things that they can't even explain to invest their hard earned money. Why? I know i sound like an asshole but challenging people to question their trading methods can only make them a better trader. Would you not agree?

[knurbs]

SWalsh-

I had the unfortunate experience of previously belonging to a site in which the members constantly spouted their personal politics and verbally abused each other (I will not provide the name as many here know it well). Since subscribing here I have been pleasantly surprised the majority of discussion is actually related to trading. FWIW, In my years of trading (more than I care to admit) Springheel Jack has been one of the few reliable trustworthy sources of information I look forward to reading each day at his blog. I have always found him to be a trustworthy straight shooter. I was pleased to see him recently engage more and more on Cobra's site and certainly hope that will continue. On the other hand, your "type" can be found on nearly every board and the fact you (in such a short time) have managed alienate several on this board (including Jack) is indicative you may have subscribed to the wrong board. SJ has earned his stripes and until you have been around as long and have his level of credibility it might make sense for you to spend more time reading and less typing.

[SWalsh]

Hey folks

What's with all the testiness on the board these days? Not everyone wants to watch a pissing contest you know so please keep things civil; we're in public.

Sheesh. Must be a top.

I don't see "all this testiness" these days that you speak of, but rather a few isolated incidents. But one guy called the board a bunch of HS dropouts and another guy called me a liar and a lot more via PM when I had the truth in hand. Now why did you, who has "left", chose to make a public comment? It's interesting.

Could you do us a favor and when you post a "free" chart just post it here? Opening another window is a PITA on my machine as at times, despite 4 GB of RAM, it takes a while to load. I'm sure a lot of people scanning messages don't get to see your charts and I'm sure that's what you'd want so a chart here would be appreciated. And you are free to copy any of mine if you like.

[SWalsh]

SWalsh-Springheel Jack has been one of the few reliable trustworthy sources of information I look forward to reading each day at his blog.

This is your 7th post here.

You might wish to become more informed prior to posting a message where you not only have no facts, but you have them backwards.

Thank you for your concern in this matter,
SWalsh

[SWalsh]

Does it really matter what university I went to? If i told you I had a PhD from the University of Cambridge would you believe me?

When you insult the entire board and call them HS dropout losers who can't trade it is the height of arrogance. I will believe what you document. That's all.

I know i sound like an asshole...

That's all a few of us wanted to hear. Now go away.