Guest View
User: Pass: | become a member
Posts Tagged ‘HFT’

Libya Next?

Courtesy of Tyler Durden

The one country landlocked between Tunisia and Egypt has so far been oddly silent. Not so much any more. Al Jazeera reports that the Libyan government has imposed a state of emergency for "fear of demonstrations and rallies" comparable to those in Tunisia and Egypt. And ranked 17 in the world for oil production (and 9th in proven reserves), this is one that crude HFT algos may want to keep an eye on.

From Al Jazeera, google translated:

Libyan sources familiar with the island revealed that a state of alert security prevail in the east of the Libyan cities, confirmed that elements of the police and support central and distributed to all government buildings.

The sources said that the Libyan government imposed a state of emergency and security alert since the outbreak of the revolution, Tunisia, for fear of demonstrations and rallies similar in Libyan cities.

The sources of the existence of orders to stop any gathering, whether in government or outside.

Under these instructions – Sources confirm – The Libyan government later abolished the league matches of Libyan Football Association which was to be organized during the month.

In conjunction with the ongoing events in neighboring Egypt, the forces imposed from the central support and the police since yesterday evening checkpoints in several major regions in both the white and Benghazi and Derna and Tobruk.

These enhancements come at a time when Libya is following with interest the Libyan street events taking place in Egypt over the satellite news channels deployed in all the cafes and shops in cities of Libya.

He said the Libyans before the popular revolution that swept cities in Tunisia and has succeeded in toppling President Zine El Abidine Ben Ali, after 23 years of rule.

It is feared the Libyan regime of infection along the Tunisian and Egyptian into Libya, especially in light of similar conditions and problems such as poor living conditions and the absence of freedoms


Tags: , , , , ,




Exclusive: Presenting The Flash Crashes Of 2010 – Part 1

Exclusive: Presenting The Flash Crashes Of 2010 – Part 1

Courtesy of Tyler Durden

high frequency tradingIn an exclusive collaboration between Nanex and Zero Hedge, we are pleased to present to our readers the first part of a multi-series project that will demonstrate the flash crashes of 2010, and subsequently, of 2009 and 2008. The concern is that since the number of mini crashes, precipitated in most part by HFT algorithms gone wild, is simply staggering, it is impossible to present all the individual events in one presentation due to size limitations. The reason – there have been 549 "flash crash" events in 2010 to date alone! We dare anyone at the SEC to go through this list and look anyone in the eye and tell them that i) the market is not broken and ii) that High Frequency Trading is not a major scourge to proper and efficiently operating markets. And while we do not want to take away from the recent uproar at ETFs, courtesy of the Kauffman foundation (and its chairman who as we presented earlier has a rather sizable conflict of interest in DST Systems, Inc) none of the presented 549 crashes are ETFs implicated: this is (mostly) all HFT, baby, all the way.

Without further ado, we present the first part of our joint presentation: the mini flash crashes of Q1, all 112 of them. As there are 64 work days between 1/1/2010 and 3/31/2010 (excluding holidays) this amounts to 1.75 mini crashes per day (and wait until you see Q2). And this is a market that the SEC would like to have you believe is perfectly operational…

The crashes are presented in chronological order.

We urge readers to distribute this report to friends and relatives, as we hope that people can finally understand what a complete and broken scam the US stock market is. That said, we expressly prohibit the creation of "per click" slideshow decks out of the underlying data.

The Flash Crashes of 2010 – Q1 (pdf)


Q1 Flash Crashes

Attachment Size
Q1 Flash Crashes.pdf 1.24 MB

Picture courtesy of Jr. Deputy Accountant


Tags: , , , , ,




70% Of All Stock Market Trades Are Held for An Average of 11 SECONDS

70% Of All Stock Market Trades Are Held for An Average of 11 SECONDS

Courtesy of Washington’s Blog

The Fourteenth Banker writes today:

In the stock market, program trading dominates volume. I heard recently that 70% of trade positions are held for an average of 11 seconds.

He’s correct.

As the New York Times dealbook noted in May:

These are short-term bets. Very short. The founder of Tradebot, in Kansas City, Mo., told students in 2008 that his firm typically held stocks for 11 seconds. Tradebot, one of the biggest high-frequency traders around, had not had a losing day in four years, he said

Similarly, FT’s Martin Wheatley pointed out last month:

I know of one HFT firm operated out of the west coast of the US that boasts its average holding period for US equities is 11 seconds

And market analyst Peter Cohan writes at AOL’s Daily Finance:

70% of trading volume on the major exchanges is conducted by high-frequency traders who hold a stock for an average of 11 seconds.

The fact that the vast majority of stock market trades are held for 11 seconds shows that the stock market is not a real market with real traders governed by the law of supply and demand, and with no real price discovery.

But as Tyler Durden points out, alot can happen in 11 seconds when the players are high-powered computers:

07-29-10 BATS "Flag Repeater". 15,000 quotes in 11 seconds, dropping the ASK price 1 penny each quote from $9.36 to $8.58 and back up again.


Tags: , , , , ,




Jon Stewart On The Humor In The High Frequency Signing Scandal

Jon Stewart On The Humor In The High Frequency Signing Scandal

Courtesy of Tyler Durden

Just because every radioactive cloud has a humorous lining, here is how the event that will take home prices another major leg lower is made funny, thanks to Jon Stewart.

The Daily Show With Jon Stewart Mon – Thurs 11p / 10c
Foreclosure Crisis
www.thedailyshow.com
Daily Show Full Episodes Political Humor Rally to Restore Sanity

Tags: , ,




A Visual Case Study In HFT Accumulation Perfection

A Visual Case Study In HFT Accumulation Perfection

Courtesy of Zero Hedge 

Presenting the chart of AAPL: the stock, which has surged from $240 to $292 in less than a month, has done so without violating the 2 Std Dev upward channel once! In other words, nobody but programs which are designed to trade within the traditional technical upward channel of +/- 2 Std Devs are doing the trading in AAPL. And now that your confidence in a rational, non-binary market has returned, please buy, buy, buy. And pray none of these machines has a short circuit, and/or nobody decides to use the Stuxnet virus on the NYSE.

As for those carbon based lifeforms who are looking at this chart and are concerned by the increasing parabolic blowoff, which soon mean the stock will have to travel backward in time to rise as fast, one may say they have a good reason to be quite terrified.

 


Tags: ,




Rosenberg Joins Anti-HFT Crew: Notes Massive Equity Outflows, Blames Churning, No-Volume Melt Up On HFT

Rosenberg Joins Anti-HFT Crew: Notes Massive Equity Outflows, Blames Churning, No-Volume Melt Up On HFT

Courtesy of Tyler Durden of Zero Hedge 

One more man awake to the farce that are stocks. Although this being a man as realistic as David, it is not much of a conversion. We can only hope that by 2099 Mary Schapiro’s just as blatantly incompetent successor will finally dare to take on the Wall Street lobby and bring some normalcy to capital market topology, instead of nickel and diming micro prop shops which do nothing worse than what the biggest Supplementary Liquidity Providers do on a daily basis. Speaking of, it has been a while since Irene Aldridge was on CNBC defending the practice of small- and medium-investors scalping.

From Breakfast with Rosie (Gluskin Sheff)

Those who have continued to believe that the boomer demand for yield was a fad may have to go back to the drawing board because week after week, and month after month, all the data show that households are embarking on a deliberate move to redress their underweight in bonds and overweight in equities as it pertains to their desired asset allocation. So yet again, the ICI numbers showed that last week, bond funds took in a net $5.73 billion inflow while equity funds posed a net redemption of $1.1 billion (on top of a $9.7bln outflow the week before). Equities have not recorded a positive inflow for one week since early May! So it goes without saying that whoever is driving this market higher is not where the wealth and savings are in this society as much as the high-frequency traders, and rest assured, these guys move in both directions. 


Tags: , , , ,




Why Nobody Trades During Regular Hours Any More (And How Prop Funds Just Stop Trading When Volatility Spikes)

Why Nobody Trades During Regular Hours Any More (And How Prop Funds Just Stop Trading When Volatility Spikes)

HFTCourtesy of Tyler Durden at Zero Hedge 

For those who follow our periodic updates on intraday stock volume, today’s article by the Wall Street Journal which focuses on the dramatic decline in activity during regular working hours will come as no surprise. In a piece looking at prop trading shop Briargate (oh so witty anagram of arbitrage), founded by several former NYSE specialists, we learn that at least one firm (and likely many more) now no longer does any trading during the hours of 11 to 2. As this creates a feedback loop of inactivity, pretty soon the core of daily stock market activity will merely be the half an hour of action at the open, and the dark pool-ETF-open exchange rebalance at the very close, with everything inbetween deemed obsolete.

Of course, what this will do, is create even more volatility in trading, force an even greater decline in stock trading volumes (and pain for Wall Street firms), and a further divergence between stocks and fundamentals, as momentum trading gains an even more prominent role in determine "price discovery."

From the WSJ:

On the day the "flash crash" bludgeoned the stock market and chaos swept over the floor of the New York Stock Exchange, the founders of Briargate Trading were at the movies.

Rick Oscher and Steven Rubinstein weren’t playing hooky. Briargate, a proprietary-trading firm that the two former NYSE floor "specialist" traders started in 2008, is mostly active at the stock market’s open and close.

In between, when market activity typically drops, the Wall Street veterans play tennis in Central Park, take leisurely lunches, visit their children’s schools and work out at the gym. Dress shoes have been replaced with flip-flops, slacks with cargo shorts. Once during market hours, they walked about five miles and crossed the Brooklyn Bridge to try Grimaldi’s pizza.

"We actually planned on working a full day," says Mr. Oscher, wearing a white polo shirt and blue-plaid shorts. "But from 11 to 2, the markets are pretty quiet—what’s the point? As a specialist, you have to stand in your spot all day and we did that for 20 years."

Briargate—an anagram of "arbitrage"—isn’t the only firm taking an extended recess during the 6½-hour U.S. trading day. Trading has become increasingly concentrated in the


continue reading


Tags: , , , , , , , , , ,




The Eerie Implications of Market Volume and Mutual Fund Flows

The Eerie Implications of Market Volume and Mutual Fund Flows 

Courtesy of Doug Short 

Once upon a time, market volume, in combination with price, was a useful indicator. Or make that indicators (plural), including Rate of Change, Volume Oscillator, On Balance Volume, Price and Volume Trend, Accumulation Distribution, Chaikin Oscillator, Money Flow Indicator, etc.

Even so, S&P 500 volume has been falling since early May with no sign yet of a post-summer seasonal increase. Of course, we’re still in the holiday shortened week following Labor Day. But look at the 2009 volume pattern on the chart. Where was the volume to confirm the market advance after a choppy October?

A recent WSJ article, SEC Is Looking at ‘Quote Stuffing’, mentioned in passing that high-frequency trading (HFT) accounts for about two-thirds of the market’s volume. 

Click to View
Click for a larger image

I don’t know of a single comprehensive guide to what the retail investor is really up to, but the impression I get is that the equities are not high on the list of where to park money. The next two charts, covering the same timeframe, are based on data in a PDF file I downloaded from the Investment Company Institute. Since the chart above is a broad U.S. Index, the first chart below only measures fund flows for domestic equities. 

Click to View
Click for a larger image 
Click to View
Click for a larger image

Naturally these charts are open to various interpretations. Bond Bubble Cassandras will see the last chart as a confirmation of their prophecy. Cheerleaders of ETFs and other alternatives to mutual funds may be inclined to disregard both fund-flow charts as largely irrelevant.

I used the wood "eerie" in the title to this piece primarily to convey my impression of a vague sense of disquiet about markets and the economy. Are retail investors sitting on the sidelines or scurrying to bonds because of anxiety about the market? If so, should we take this as a contrary indicator?

Here’s a more compelling question: If two-thirds or more of daily volume is a function of high-frequency trading, what are the implications for index prices over the long haul?

A year has passed since I posted some charts illustrating the incredible ratio of S&P 500 volume devoted to five financial stocks (see Gaming the Market). Today’s game is no doubt different…
continue reading


Tags: , , , ,




The Other 44 Percent Is Really Bernanke’s Jerk Off Hand

Why is market volume so low? Jr. Dep. has an interesting analogy. In theory, 56% of the volume is controlled by Bots, and the other 44% is Bernanke alone (but read the CNBC article for a contrary view). – Ilene  

The Other 44 Percent Is Really Bernanke’s Jerk Off Hand

Courtesy of Jr. Deputy Accountant 

As I already clearly stated, there are no investors left, just HFT robots getting jerked off by the Fed. If I wanted to see that I’d cash my paycheck in dollar bills and head to the Lusty Lady.

CNBC, however, needs to point out that volume is light. Don’t worry, that recovery should be here any day now, just keep jerking…

CNBC:

Volume was lighter than normal for August, and so far it is also lighter than normal for September. How much lighter? In the first 5 trading days, September consolidated trading volume at the NYSE was down 31 percent compared to the same period last year. August volume was also 31 percent below the same period last year.

Why? Look at who does the trading:

1 ) High frequency traders are 56 percent of all trades. This includes proprietary trading shops, market makers, and high-frequency trading hedge funds, according to Tabb Group. But as volume and volatility drops, this group gets less opportunity to profit from the statistical arbitrage trades most of them do.

You can almost hear the fapfapfap every time you look at a damn chart, careful not to get any in your eye. 


Tags: , , ,




Meredith Whitney Sees A 10% Drop In Wall Street Headcount And “Dramatic” Declines In Payouts In 18 Months

Meredith Whitney Sees A 10% Drop In Wall Street Headcount And "Dramatic" Declines In Payouts In 18 Months

Courtesy of Tyler Durden

And you were wondering why the SEC and certain politicians with extensive connections to the financial services lobby are starting to stir now that it is common knowledge that every single hedge fund and trading desk’s woes are a function of HFT run amok (which is exaggerated BS of course, but from Wall Street’s darling, HFT has now become the one thing everyone loves to hate, and blame their own underperformance on).

And as we suspected, there is a far more structural issue underlying the recent faux-move to restore confidence in markets, namely imminent pain for Wall Street headcounts… and bottom lines. According to Meredith Whitney, who had been relatively quite in recent weeks, Wall Street faces the departure of about 80,000 staffers, or 10% of all, within 18 months, not to mention a major drop in Wall Street compensation. The reason is the same as the one we pointed out earlier: slowing revenue growth, primarily due to the complete collapse in trading volumes, as computers have used their binary elbows to push everyone else out of the markets, and with Wall Street’s primary revenue model now being exclusively reliant on trading, this is equivalent to a partial extinction event as many trading firms will have to close. This also means that the New York City economy is facing another major solvency crisis as tax receipts are sure to plummet.

More from Bloomberg, citing Whitney:

“The key product drivers of Wall Street’s revenues and profits over the past decade have been in a structural decline over the past three years,” Whitney said in the report. “2010 marks the first year in many in which Wall Street-centric firms will go through structural changes.”

Barclays Plc, Credit Suisse Group AG and Royal Bank of Scotland Group Plc may lead a slowdown in hiring in Europe as the fixed-income trading boom fizzles out, recruiters said last month. Barclays Capital’s income from trading bonds and commodities fell 40 percent in the first half amid the sovereign debt crisis. Fixed-income, currencies and commodities trading was the biggest revenue contributor at investment banks from Deutsche Bank AG to Goldman Sachs Group Inc.

While regulatory reform, including higher capital requirements, will force some of these shifts, there will


continue reading


Tags: , , , , , , ,




 
 
 

Zero Hedge

Crude Carnage & Hawkish Yellen Leave Dow In The Red For 2015

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

After all the exuberance last week following Janet Yellen's utter confusion, stocks suffered their worst week in months... even with th epanic buying on INTC news and in anticpation of Yellen...

Very quiet last two days... with some excitmenmt from Intel and Yellen at the close...

But futures show the reality of the volatility...

As The S&P 500 was pinned at unchanged YTD (Dow red in 2015)

...



more from Tyler

Phil's Favorites

In the News, 3-27-15

From Bloomberg 

Economy in U.S. Grew 2.2% in Fourth Quarter on Consumer Spending — The U.S. economy expanded at 2.2 percent annualized pace in the fourth quarter, led by the biggest gain in consumer spending in eight years.

A Physicist Is Building a Time Machine to Reconnect With His Dead Father  — The hour is late.

His scientific papers were published years ago, filled with equations wrought by the energies of a younger man. But at 69, theoretical physicist Ron Mallett still goes to work every day to build a time machine based on his most elegant construct...

[Photo: Amer...



more from Ilene

All About Trends

Mid-Day Update

Reminder: David 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...

more from David

Insider Scoop

Raymond James Downgrades Power Integrations To Market Perform

Courtesy of Benzinga.

Related POWI Benzinga's Top Downgrades Benzinga's Volume Movers

Analysts at Raymond James downgraded Power Integrations Inc. (NASDAQ: POWI) from Outperform to Market Perform and removed the price target of $57.00.

Power Integrations shares have dropped 18.42% over the past 52 weeks, while the S&P 500 index has surged 10.69% in the same period.

Power Integrations' shares fell 1.51% to $51.65 in pre-market trading.

Latest Ratings for POWI DateFirmActionFrom...

http://www.insidercow.com/ more from Insider

Chart School

Q4 GDP Third Estimate Remains Unchanged at 2.2%

Courtesy of Doug Short.

The Third Estimate for Q4 GDP, to one decimal, came in at 2.2 percent, unchanged from the Second Estimate. Today's number was a minor disappointment for most economic forecasts, which were looking for a somewhat higher Third Estimate. For example, both Investing.com and Briefing.com had forecast of 2.4 percent.

Here is an excerpt from the Bureau of Economic Analysis news release:

Real gross domestic product -- the value of the production of goods and services in the United States, adjusted for price changes -- increased at an annual rate of 2.2 percent in the fourth quarter of 2014, according to the "third" estimate released by the Bureau of Economic Analysis. In the third quart...

more from Chart School

Promotions

Watch Phil on Money Talk on BNN Now!

Kim Parlee interviews Phil on Money Talk. Be sure to watch the replays if you missed the show last night. As usual, Phil provides an excellent program packed with macro analysis, important lessons and trading ideas. (And get this, Obama - the President - is following Phil on Twitter.) ~ Ilene

 

The replay is now available on BNN's website. For the three part series, click on the links below. 

Part 1 is here. Part 2 is here. Part 3 is here.   ...

more from Promotions

Sabrient

Sector Detector: Bulls retake the wheel, with a little help from their friends at the Fed

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

Courtesy of Scott Martindale at Sabrient Systems

Well, it didn’t take long for the bulls to jump on their buying opportunity, with a little help from the bulls’ friend in the Fed. In fact, despite huge daily swings in the market averages driven by daily news regarding timing of interest rate hikes, the strength in the dollar, and oil prices, trading actually has been quite rational, honoring technical formations and support levels and dutifully selling overbought conditions and buying when oversold. Yes, the tried and true investing clichés continue to work -- “Don’t fight the Fed,” and “The trend is your friend.”

In this weekly update, I give my view of the cur...



more from Sabrient

OpTrader

Swing trading portfolio - week of March, 23rd, 2015

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 ...



more from OpTrader

Digital Currencies

Bitcoin vs. Uber: Bitcoin Lovers Respond to Mish

Courtesy of Mish.

I recently commented that it would not surprise me if bitcoin plunged to $1.00. That was not a prediction, it was a comment.

Still, I still feel a collapse in bitcoin is likely.

For discussion, please see Cash Dinosaur: France Limits Cash Transactions to €1,000, Puts Restrictions on Gold; Bitcoin End Coming?

In response, reader Creighton writes ...

Hello Mish

While I'm not going to argue the point about the possibility that Bitcoin drops to $1, or less, (that could happen yet, but not for the reasons you propose) I felt it necessary to point out something you seem to have overlooked.

While it's likely that the US government watching Bitco...



more from Bitcoin

Market Shadows

Kimble Charts: South Korea's EWY

Kimble Charts: South Korea's EWY

By Ilene 

Chris Kimble likes the iShares MSCI South Korea Capped (EWY), but only if it breaks out of a pennant pattern. This South Korean equities ETF has underperformed the S&P 500 by 60% since 2011.

You're probably familiar with its largest holding, Samsung Electronics Co Ltd, and at least several other represented companies such as Hyundai Motor Co and Kia Motors Corp.

...



more from Paul

Option Review

Cypress Semi Draws Bullish Option Plays

Bullish trades abound in Cypress Semiconductor options today, most notably a massive bull call spread initiated in the July expiry contracts. One strategist appears to have purchased 30,000 of the Jul 16.0 strike calls at a premium of $0.89 each and sold the same number of Jul 19.0 strike calls at a premium of $0.22 apiece. Net premium paid to put on the spread amounts to $0.67 per contract, thus establishing a breakeven share price of $16.67 on the trade. Cypress shares reached a 52-week high of $16.25 back on Friday, March 13th, and would need to rally 4.6% over the current level to exceed the breakeven point of $16.25. The spread generates maximum potential profits of $2.33 per contract in the event that CY shares surge more than 20% in the next four months to reach $19.00 by July expiration. Shar...



more from Caitlin

Pharmboy

2015 - Biotech Fever

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

PSW Members - well, what a year for biotechs!   The Biotech Index (IBB) is up a whopping 40%, beating the S&P hands down!  The healthcare sector has had a number of high flying IPOs, and beat the Tech Sector in total nubmer of IPOs in the past 12 months.  What could go wrong?

Phil has given his Secret Santa Inflation Hedges for 2015, and since I have been trying to keep my head above water between work, PSW, and baseball with my boys...it is time that something is put together for PSW on biotechs in 2015.

Cancer and fibrosis remain two of the hottest areas for VC backed biotechs to invest their monies.  A number of companies have gone IPO which have drugs/technologies that fight cancer, includin...



more from Pharmboy

Stock World Weekly

Stock World Weekly

Newsletter writers are available to chat with Members regarding topics presented in SWW, comments are found below each post.

Here's this week's Stock World Weekly.

Click here and sign in with your user name and password. 

 

...

more from SWW

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!




FeedTheBull - Top Stock market and Finance Sites



About Phil:

Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

Learn more About Phil >>


As Seen On:




About Ilene:

Ilene is editor and affiliate program coordinator for PSW. She manages the site market shadows, archives, more. Contact Ilene to learn about our affiliate and content sharing programs.

Market Shadows >>