Posts Tagged ‘trading algorithm’

Inside the Flash Crash Report

Pam Martens points out that in patching up May 6th’s market meltdown by breaking certains trades, “busts” only applied to trades occurring between 2:40 p.m. and 3 p.m. when the stock had moved 60% or more from its 2:40 p.m. price.  "The busts that were allowed covered 5.5 million shares and two-thirds of these trades had been executed at less than $1.00…  half of the share volume in these bizarre trades came from just two firms and half the time they were exclusively trading with each other."  The report – amazingly – never names these firms which had their own bad trades undone by that controversial decision that left average investors with large losses. - Ilene 

Inside the Flash Crash Report

By PAM MARTENS, originally published at CounterPunch

high frequency trading The breathlessly awaited government report that promised to shore up public confidence by explaining why the stock market briefly plunged 998 points on May 6, with hundreds of stocks momentarily losing 60 per cent or more of their value, was released last Friday, October 1.  Its neatly crafted finger-pointing to a small Kansas mutual fund firm which has been around since 1937, was immediately embraced as mystery solved by the stalwarts of the corporate press.  This was done with only slightly less zeal than bestowed on the story of Saddam Hussein’s weapons of mass destruction spun out of the George W. Bush administration.

The New York Times headlined with “Single Sale Worth $4.1 Billion Led to Flash Crash.” The Washington Post went with “How One Automated Trade Led to Stock Market Flash Crash.” The Wall Street Journal led with “How a Trading Algorithm Went Awry.”  Hundreds of similar headlines followed in similarly expensive media real estate.  But as with the rush to war on bogus intel, the corporate press may be further damaging its credibility with the American people by ignoring the dangerous market structure that emerges in a closer reading of this report.

The so-called Flash Crash report was the product of the Commodity Futures Trading Commission (CFTC) and Securities and Exchange Commission (SEC) and consists of 104 pages of data that is unintelligible to most Americans, including the media that are so confidently reporting on it.  It names no names, including the firm it is fingering as the key culprit in setting off the crash.  Earlier media reports say the firm is…
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Rogue Algorithms And Other Mutually Assured Destruction Program Trading Alternatives

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Rogue Algorithms And Other Mutually Assured Destruction Program Trading Alternatives

destruction, high frequency program tradingCourtesy of Tyler at Zero Hedge

Why Institutional Investors Should Be Concerned About High Frequency Traders

By Sal L. Arnuk and Joseph Saluzzi of Themis Trading

A Themis Trading LLC Mini White Paper
 
It is now generally understood that high frequency traders (HFTs) are dominating the equity market, generating as much as 70% of the volume.
 
HFTs are computerized trading programs that make money two ways, in general.  They offer bids in such a way so as to make tiny amounts of money from per share liquidity rebates provided by the exchanges.  Or they make tiny per share long or short profits.  While this might sound like small change, HFTs collectively execute billions of shares a day, making it an extremely profitable business.
 
Why should institutional or retail investors care?  After all, aren’t HFTs adding liquidity?  That’s what they and the exchanges, who court their business, say.
 
There’s a lot to worry about.
 
1.  HFTs provide low quality liquidity.
 
In the old days, when NYSE specialists or NASDAQ market makers added liquidity, they were required to maintain a fair and orderly market, and to post a quote that was part of the National Best Bid and Offer a minimum percentage of time.  HFTs have no such requirements.  They have no minimum shares to provide nor do they have a minimum quote time.  And they could turn off their liquidity at any time.  When an HFT computer spots a real order, the HFT is not likely to go against it and take the other side.  The institution is then faced with a very tough stock to trade.
 
2.  HFT volume can generate false trading signals.
 
This can cause other investors to buy at a higher price, or sell at a lower price, than they would otherwise.  A spike in HFT volume can cause an institutional algorithm order based on a percentage of volume to be too aggressive. A spike can attract momentum investors, further exaggerating price moves.  Seeing such a spike, options traders can start to build positions, which, in turn, can attract risk arbitrage traders who believe there’s potential news that could affect the stock.
 
3.  HFT computer servers are


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Zero Hedge

"Black People Don't Have To Be Democrats": Obama-Linked Rapper Backs Kanye As MSM Melts Down Over MAGA

Courtesy of ZeroHedge. View original post here.

Kanye West pal and fellow Chicago-based musician "Chance the Rapper" fired off a tweet in support of his controversial friend, who is once again taking flack from the left over his love of Donald Trump - and most recently, black conservative Candace Owens

"Black people don't have to be democrats," tweeted the 25-year-old Chance in defense of Kanye. 

Black people don’t have to be democrat...



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Phil's Favorites

The hypodermic effect: How propaganda manipulates our emotions

 

The hypodermic effect: How propaganda manipulates our emotions

Facebook CEO Mark Zuckerberg departs after testifying on Capitol Hill in Washington, D.C., in April 2018 about the use of Facebook data to target American voters in the 2016 presidential election and data privacy. (AP Photo/Andrew Harnik)

Courtesy of Isaac Nahon-Serfaty, University of Ottawa

The scandal surrounding the improper use of data by Cambridge Analytica and Facebook in the 2016 U.S. election is reminiscent of the old debates about propagand...



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Chart School

S&P To Test 200-day MA

Courtesy of Declan

After yesterday's selling today's late recovery was a chance for bulls to catch some breadth.

The S&P came close to tagging the 200-day MA on the intraday low. The index is on a path to the lower channel. There was no technical change and relative performance remains weak.
 


The Nasdaq stalled mid-decline. Today's doji did not appear at a natural support level and the 200-day MA still looks the better support test but aggressive longs may try fish for a position here with a stop on a loss of 6,926.
...



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Digital Currencies

Crypto Billionaire Sued By VC Giant Sequoia Over Collapsed Funding Deal

Courtesy of ZeroHedge. View original post here.

By Marie Huillet, CoinTelegraph.com

Venture capital firm Sequoia is suing Zhao Changpeng, the CEO and founder of Binance, currently the world’s largest cryptocurrency exchange by trade volume, for allege...



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Insider Scoop

Earnings Scheduled For April 25, 2018

Courtesy of Benzinga.

Companies Reporting Before The Bell
  • Thermo Fisher Scientific Inc. (NYSE: TMO) is projected to report quarterly earnings at $2.4 per share on revenue of $5.63 billion.
  • Ford Motor Company (NYSE: F) is expected to report quarterly earnings at $0.41 per share on revenue of $37.16 billion.
  • Twitter, Inc. ...


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Biotech

Why marijuana fans should not see approval for epilepsy drug as a win for weed

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

 

Why marijuana fans should not see approval for epilepsy drug as a win for weed

Small vials of CBD, which some believe could be a cure for many ailments. Roxana Gonzalez/Shutterstock.com

Courtesy of Timothy Welty, Drake University

A Food and Drug Administration panel recommended approval of a drug made of cannabidiol on Ap...



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ValueWalk

Buffett At His Best

By csinvesting. Originally published at ValueWalk.

Bear with me as I share a bit of my history that helped me create SkyVu and the Battle Bears games. The University of Nebraska gave me my first job after college. I mostly pushed TV carts around, edited videos for professors or the occasional speaker event. One day, Warren Buffet came to campus to speak to the College of Business. I didn’t think much of this speech at the time but I saved it for some reason. 15 years later, as a founder of my own company, I watch and listen to this particular speech every year to remind myself of the fundamentals and values Mr. Buffett looks for. He’s addressing business students at his alma mater, so I think his style here is a bit more ‘close to home’ than in his other speeches. Hopefully many of you find great value in this video like I have. Sorry for the VHS...



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Kimble Charting Solutions

The Stock Bull Market Stops Here!

 

The Stock Bull Market Stops Here!

Courtesy of Kimble Charting

 

The definition of a bull market or bull trends widely vary. One of the more common criteria for bull markets is determined by the asset being above or below its 200 day moving average.

In my humble opinion, each index above remains in a bull trend, as triple support (200-day moving averages, 2-year rising support lines, and February lows) are still in play ...



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Members' Corner

Cambridge Analytica and the 2016 Election: What you need to know (updated)

 

"If you want to fundamentally reshape society, you first have to break it." ~ Christopher Wylie

[Interview: Cambridge Analytica whistleblower: 'We spent $1m harvesting millions of Facebook profiles' – video]

"You’ve probably heard by now that Cambridge Analytica, which is backed by the borderline-psychotic Mercer family and was formerly chaired by Steve Bannon, had a decisive role in manipulating voters on a one-by-one basis – using their own personal data to push them toward voting ...



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Mapping The Market

The tricks propagandists use to beat science

Via Jean-Luc

How propagandist beat science – they did it for the tobacco industry and now it's in favor of the energy companies:

The tricks propagandists use to beat science

The original tobacco strategy involved several lines of attack. One of these was to fund research that supported the industry and then publish only the results that fit the required narrative. “For instance, in 1954 the TIRC distributed a pamphlet entitled ‘A Scientific Perspective on the Cigarette Controversy’ to nearly 200,000 doctors, journalists, and policy-makers, in which they emphasized favorable research and questioned results supporting the contrary view,” say Weatherall and co, who call this approach biased production.

A second approach promoted independent research that happened to support ...



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OpTrader

Swing trading portfolio - week of September 11th, 2017

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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Promotions

NewsWare: Watch Today's Webinar!

 

We have a great guest at today's webinar!

Bill Olsen from NewsWare will be giving us a fun and lively demonstration of the advantages that real-time news provides. NewsWare is a market intelligence tool for news. In today's data driven markets, it is truly beneficial to have a tool that delivers access to the professional sources where you can obtain the facts in real time.

Join our webinar, free, it's open to all. 

Just click here at 1 pm est and join in!

[For more information on NewsWare, click here. For a list of prices: NewsWar...



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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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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...

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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.

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