Posts Tagged ‘Goldman’s SIGMA X Dark Pool’

Credit Suisse's Dan Mathisson Doesn't Use Flashed Orders Except When He Does

Courtesy of Tyler Durden

A new article by Traders Magazine goes on to describe in exquisite detail how brokerages apparently have not only never used Flashed orders, but run like the plague any time the topic is even breached.

Quote Greg Tusar, head of U.S. electronic transaction at GSEC:

"We don’t use them in the execution of client orders," Tusar said. "But we believe it should be a matter of choice--that clients should have access to them if they choose to. They should be available on an opt-in basis, client by client."

Greg, while we have your attention, can you also elaborate on this little disclosure taken directly from your March 31, 2008 Street Smart Research Piece:

Sigma X

Not to make a fine point out of it, but isn’t it a little presumptuous to say you don’t Flash when your entire Sigma X Dark Pool is based on Flashing (granted Goldman is the only beneficiary of the Flashed order data)? If we are not understanding this correctly, please feel free to enlighten us on how we may have misunderstood this: SigmaX@zerohedge.com

Other professionals who chime in include none other than Jatin Suryawanshi, head of global quant strategies at Jefferies & Company:

"Flash orders have the potential to cause information leakage. It’s information that was not available on a data feed that’s now available on a data feed." He added that the use of flash orders, if it’s not done purposefully to aggressively take liquidity, may fly in the face of a broker’s best-execution duties.

Well, at least one insider is happy to acknowledge the potential abuse of Flash. Uhm, why did it take all you guys years before coming forward with this knowledge? Does some blog have to disclose all your dirty laundry before you admit that a vast majority of your business models are based on "information leakage?" But then again Jatin’s honesty may be attributed to his recent distraction, stemming from the escalating lawsuit with UBS alleging serious quant espionage. And here we were thinking that only Sergey Aleynikov is in trouble.

Which bring us to Dan Mathisson, head of Advanced Execution Services at Credit Suisse.

"We don’t flash," said Dan Mathisson, head of the Advanced Execution Services group at Credit Suisse. "The whole reason we exist is to try to execute [institutional


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Letter To Senator Charles Schumer – Ban Goldman’s SIGMA X Dark Pool

Letter To Senator Charles Schumer – Ban Goldman’s SIGMA X Dark Pool

Courtesy of Tyler Durden

Dear Senator Schumer,

You recently approached SEC head Mary Schapiro with some very valid concerns about Flash trading, and the potential for investor abuse by advance looks to select market participants ahead of the general order pool. Your crusade was subsequently enjoined by such equity market luminaries as Robert Greifeld, president and CEO of the Nasdaq Stock Market, who had this to say regarding not just Flash trades in particular, but numerous other components of market topology, whose sole purpose is to obfuscate natural order flow and to provide loopholes for dominant market players to extract inefficiencies (i.e., scalp regular investors) arising from established and SEC-endorsed mechanisms of efficient market circumvention:

"Flash orders, which are a fundamental part of high-frequency trading, are but one symptom of the current evolving market structure. Nasdaq OMX is concerned that the securities industry appears willing to accept more and more ‘darkness’ and limits on the availability of order information. Instead, the policy goal should be clear: to eliminate any order types or market structure policies that do not contribute to public price formation and market transparency.”

"The industry has a unique opportunity at this time to take a hard look at dark order types and the underlying market structure issues that do not support public price information.”

Senator Schumer, while Zero Hedge applauds your initiative, the truth is that the wrongdoing in the context of potential investor market abuse runs far deeper and is much more pervasive than you realize. And while one can highlight the merits of the Op-Ed published in the New York Times earlier by quant titan Paul Wilmott entitled "Hurrying Into The Next Panic" (a recommended read for you and your staff), which notes numerous frightening implications brought about by the domination of Hiqh Frequency Trading, let us stick within the context of advance looks, which is at the basis of your letter seeking the ban of Flash-like behavior.

Zero Hedge would like to highlight that while your letter to Mary Schapiro indicated your concern with such market actors as DirectEdge, BATS and Nasdaq, the truth is there are substantially larger and more dangerous "fish" on which you should focus your attention.

As a primary example, I would like to refer you…
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Zero Hedge

Stocks Near All Time High Despite 16 Straight Week Of US Mutual Fund Outflows, Historic "Redemption Day"

Courtesy of ZeroHedge. View original post here.

The new normal sure is strange: with the S&P flirting with all time highs, not to mention staging another dramatic V-shaped comeback from the post-Brexit crash which saw S&P futures trade limit down a week ago, investors keep on selling. According to Lipper data, U.S.-based stock mutual funds, which are held by retail mom-and-pop investors, posted cash withdrawals of $2.8 billion over the weekly period ended Wednesday; this was the 16th consecutive week of outflows.

All stock funds, including ETFs, posted an even wider $6.8...



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Kimble Charting Solutions

Silver attempting breakout above dual resistance, says Joe Friday

Courtesy of Chris Kimble.

In September of 2012, when Silver was trading at $28, the Power of the Pattern shared the chart below. The patterns suggested that even though Silver had already declined a great deal ($50 to $28), patterns called for it to fall nearly another 50%, to the $15 level.

Chart below was from 2012, see original post HERE.

...



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Phil's Favorites

Diving Into Deutsche Bank's "Passion to Perform" Balance Sheet

Courtesy of Mish.

Deutsche Bank shares have collapsed to lows deep under crisis lows and collapse of Lehman in the Great Financial Crisis. What’s going on?

An investigation of Deutsche Bank’s “Passion to Perform” balance sheet provides the clues.

The above clip from Deutsche Bank’s First Quarter 2016 Statement.

Details in red from page 61 (PDF page 63) of the 126 page report.

Key Liabilities

  • €559 billion deposits
  • €562 billion negative derivatives
  • €151 billion long term debt
...

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Market News

News You Can Use From Phil's Stock World

 

Financial Markets and Economy

The world’s losers are revolting, and Brexit is only the beginning (Washington Post)

The world has enjoyed an unprecedented run of peace, prosperity and cooperation the last 25 years, but now that might be over. At least when it comes to those last two.

A Sober Economy Can Handle the Brexit Hit (Bloomberg View)

One of the main signs of the health of the global and U.S. economies is its ability to absorb a blow, and shake it off. At least tha...



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Chart School

Regression to Trend: The Latest Look at Long-Term Market Performance

Courtesy of Doug Short's Advisor Perspectives.

Quick take: At the end of June the inflation-adjusted S&P 500 index price was 82% above its long-term trend, up slightly from 81% the previous month.

About the only certainty in the stock market is that, over the long haul, over performance turns into under performance and vice versa. Is there a pattern to this movement? Let's apply some simple regression analysis (see footnote below) to the question.

Below is a chart of the S&P Composite stretching back to 1871 based on the real (inflation-adjusted) monthly average of daily closes. We're using a semi-log scale to equalize vertical distances for the same percentage change regardless of the index price range.

The regression trendline drawn through t...



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ValueWalk

John DeVoy, Former Baupost Director Hired By Loomis Sayles

By Jacob Wolinsky. Originally published at ValueWalk.

John DeVoy, a long time analyst at Seth Klarman’s Baupost Group has left the hedge fund for a position at Loomis Sayles. Devoy formerly worked at Loomis before spending close to ten years at the Boston based hedge fund. The news was announced via a press release from Loomis.  The statement says that DeVoy will be returning to the company “as a dedicated credit strategist for the flagship full discretion team.”

Also see Will Baupost Follow Its Own “North Star”

Baupost Group’s Seth Klarman Sees ’50 Shades of Value’

Devoy was a managing dir...



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OpTrader

Swing trading portfolio - Week of June 27th, 2016

Reminder: OpTrader is available to chat with Members, comments are found below each post.

 

This post is for all our live virtual trade ideas and daily comments. Please click on "comments" below to follow our live discussion. All of our current  trades are listed in the spreadsheet below, with entry price (1/2 in and All in), and exit prices (1/3 out, 2/3 out, and All out).

We also indicate our stop, which is most of the time the "5 day moving average". All trades, unless indicated, are front-month ATM options. 

Please feel free to participate in the discussion and ask any questions you might have about this virtual portfolio, by clicking on the "comments" link right below.

To learn more about the swing trading virtual portfolio (strategy, performance, FAQ, etc.), please click here ...



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Mapping The Market

Thoughts on Brexit

I have mixed feelings about Brexit today. Clearly the European institution need reforming. The addition of so many countries in the last 20 years has created a top heavy administration. The Euro adds more complexities to the equation as the ECB policies cannot fit every country's problem. On the other hand, a unified Europe has advantages as well – some countries have benefited from the integration.

For Britain, it's hard to say what the final price will be. My guess is that Scotland might now vote for independence as they supported staying in Europe overwhelmingly. Northern Ireland might be tempted to leave as well so possibly RIP UK in the long run. I was talking to some French people and they were saying that now there might be no incentive for France to stop immigrants from crossing over to the UK like they do now and simply allow for travel there and let the UK deal with them. The end game is not clear to anyone at the moment....



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Digital Currencies

Bitcoin Tumbles 10%

Courtesy of ZeroHedge. View original post here.

One week ago, when bitcoin first crossed above $700 on the seemingly insatiable Chinese buying which we forecast last September (when bitcoin was trading at $230) would take place as a result of China's capital controls (to much pushback by the "mainstream" financial media), we tried to predict what may happen next. We said that "it could go much higher. That said, anyone who bought last September when the digital currency was trading at $230 may be advised to take some profits, and at least make...



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All About Trends

Mid-Day Update

Reminder: Harlan is available to chat with Members, comments are found below each post.

Click here for the full report.




To learn more, sign up for David's free newsletter and receive the free report from All About Trends - "How To Outperform 90% Of Wall Street With Just $500 A Week." Tell David PSW sent you. - Ilene...

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Biotech

This Is Why Biotech Stocks May Explode Again

Reminder: Pharmboy and Ilene are available to chat with Members.

Here's an interesting article from Investor's Business Daily arguing that biotech stocks are beginning to recover from their recent declines, notwithstanding current weakness.

This Is Why Biotech Stocks May Explode Again

By 

Excerpt:

After a three-year bull run that more than quadrupled its value by its peak last July, IBD’s Medical-Biomed/Biotech Industry Group plunged 50% by early February, hurt by backlashes against high drug prices and mergers that seek to lower corporate taxes.

...



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Help One Of Our Own PSW Members

"Hello PSW Members –

This is a non-trading topic, but I wanted to post it during trading hours so as many eyes can see it as possible.  Feel free to contact me directly at jennifersurovy@yahoo.com with any questions.

Last fall there was some discussion on the PSW board regarding setting up a YouCaring donation page for a PSW member, Shadowfax. Since then, we have been looking into ways to help get him additional medical services and to pay down his medical debts.  After following those leads, we are ready to move ahead with the YouCaring site. (Link is posted below.)  Any help you can give will be greatly appreciated; not only to help aid in his medical bill debt, but to also show what a great community this group is.

http://www.youcaring.com/medical-fundraiser/help-get-shadowfax-out-from-the-darkness-of-medical-bills-/126743

Thank you for you time!




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