The MasterBlog: "It's Not A Market, It's An HFT 'Crop Circle' Crime Scene" - Further Evidence Of Quote Stuffing Manipulation By HFT | zero hedge

High Frequency Trading - HFT - OR THE SCAM IN THE MARKET....

"It's Not A Market, It's An HFT 'Crop Circle' Crime Scene"

- Further Evidence Of Quote Stuffing Manipulation By HFT

By Tyler Durden

Created 07/31/2010 - 12:40

Published on zero hedge (http://www.zerohedge.com)

Recently we posted [1]a required reading analysis by Nanex in which the market trading analytics firm presented irrefutable evidence of quote stuffing by HFT algorithms in tens of stocks, in which thousands of cancelled quotes would reappear each second with a definitive periodicity and regularity, around the time of the May 6 flash crash. Aside from the fact that it is illegal to indicate a quote without a trade intent, this form of quote stuffing is in fact manipulative when conducted by HFT repeaters in specific "shapes" as it actually moves the NBBO actively higher or lower, in cases pushing the bid/offer range up to 10% higher without even one trade ever having occurred, simply by masking a big block order which other algos interpret as bid interest and pull all offers progressively or step function higher (or vice versa, although we have rarely if ever seen the walking down of a stock over the past 18 months).

It is as if the HFT lobby has been given the green light by the powers that be that it is safe to activate merely the bid-size quote stuffing algorithms, and not worry: the fact that the market is so one sided in its quote stuffing patterns is sufficient reason to worry of a concerted effort to push stocks higher, initiated from the very top, and effected by not only the Primary Dealer community but by the end-market "liquidity providers."


Today, courtesy of Nanex [2]we demonstrate that this type of illegal stock manipulation continues rampant to this very day, and the SEC still fails acknowledge that it is precisely the HFT market participants that persist in destabilizing stock prices, which have given up responding to fundamentals and merely move up or down based on quote stuffing interventions by those who plead innocence and claim to only be providing liquidity. Well take a look at the millions in fake, and thus illegal, bids demonstrated below and tell us just how any of this manipulation is "providing liquidity" - the second the patterns break, the algos responsible for the churn pattern disappear, thus eliminating numerous levels of so called bid liquidity below the NBBO: break enough patterns and you have another flash crash as the market once again goes bidless.


So while the SEC continues to pander merely to the interests of the market manipulation lobby, and is now doing it in more style than ever by refusing to answer to FOIA requests going forward, here is Nanex with yet more evidence that we no longer have a market, but merely a daily recurring crime scene.

In our original Flash Crash Analysis report [3], we dedicated a section to an observed phenomena we termed "Quote Stuffing [4]", in which bursts of quotes (at very high rates) with extremely unusual characteristics were observed.


As we continue to monitor the markets for evidence of Quote Stuffing and Strange Sequences (Crop Circles), we find that there are dozens if not hundreds of examples to choose from on any given day. As such, this page will be updated often with charts demonstrating this activity.


The common theme with the charts shown on this page is they are obviously all generated in code and are algorithmic. Some demonstrate bizarre price or size cycling, some demonstrate large burst of quotes in extremely short time frames and some will demonstrate both. In most cases these sequences are from a single exchange with no other exchange quoting in the same time frame.

And here, for your viewing pleasure, are the illegal market manipulative churn patterns conducted exclusively by various HFT algos:


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.

[5]

07-29-10
"The Crown". While not a large number of quotes, this NASDAQ/BATS Bidsize sequence was just too unusual to bypass.

[6]

07-28-10
BATS "Batsicles". BATS price cycling through a large price range, each intermittent with a stub quote, drop it down and start over.

[7]

07-27-10
NASDAQ "Blotter". One of the more unusual repeating Asksize cycles.

[8]

07-23-10
BATS "Stubby Triangles". Drop the quote from a valid price to 0.001 and then back up to a lower price level. When the new price level hits 0.001 as well, do it all over again at approx. 380 times a second.

[9]

07-23-10
NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid price/size in 3 increments and effecting the Best Bid along the way.

[10]

07-23-10
BATS "Periscopes". 8000 quotes in 3 seconds, alternating the bid price each quote. Pop the size up 1 every second or so.

[11]

07-22-10
NASDAQ "Double Dip". Symbol SH. 10,000 Quotes in 4 seconds, each affecting the Best Bid.

[12]

07-19-10
NASDAQ "Racing Stripe". Symbol WYNN. 2000 Quotes in one second, each affecting the Best Ask.

[13]

07-19-10
PACIFIC "Puzzle Pieces". Symbol IIC.

[14]

07-14-10
NASDAQ "Blue Bandsaw". Symbol SHG. (760 quotes in 1 second, taken from a total sampling of 10,000 quotes in 12 seconds)

[15]

07-13-10
BATS "60-Step". Symbol SAH. Take sixty steps up (a penny at a time) and one step down (0.60), reset and do it all over again (at approx. 700 times per second).

[16]

07-12-10
NASDAQ "Ask Mountain". Symbol IAU. Over 56,000 quotes in 10 seconds, all with same Ask Price and the Ask Size increasing or decreasing by 1 (to almost 40,000!).

[17]

h/t Dan

• Double Dip
• FOIA
• Freedom of Information Act
• Market Manipulation
• NASDAQ

---

Source URL: http://www.zerohedge.com/article/its-not-market-its-hft-crop-circle-crime-scene-further-evidence-quote-stuffing-manipulation-

Links:
[1] http://www.zerohedge.com/article/how-hft-quote-stuffing-caused-market-crash-may-6-and-threatens-destroy-entire-market-any-mom


[2] http://www.nanex.net/FlashCrash/CCircleDay.html
[3] http://www.nanex.net/20100506/FlashCrashAnalysis_Intro.html
[4] http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.html
[5] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 1 Nanex.png
[6] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 2 nanex.png
[7] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 3 nanex.png
[8] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 4 nanex.png
[9] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 5 nanex.png
[10] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 6 nanex.png
[11] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 7 nanex.png
[12] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 8 nanex.png
[13] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 9 nanex.png
[14] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 10 nanex.png
[15] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 11 nanex.png
[16] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 12 nanex.png
[17] http://www.zerohedge.com/sites/default/files/images/user5/imageroot/trichet/1 13 nanex.png

The MasterBlog: "It's Not A Market, It's An HFT 'Crop Circle' Crime Scene" - Further Evidence Of Quote Stuffing Manipulation By HFT | zero hedge

High frequency trading accounts for 60 per cent of U.S. equity trading, says Reuters

High frequency trading accounts for 60 per cent of U.S. equity trading, says Reuters
And the average trade is held for less than 10 seconds.......


According to Reuters, high frequency trading accounts for 60 per cent of U.S. equity trading. Last week, the U.S. Commodity Futures Trading Commission began a series of meetings with exchanges, including equity exchanges, to decide if it should place controls on algorithmic or high frequency traders.

While the U.S. markets could face regulations, many news outlets say Asia is joining what the media has taken to calling the "global trading arms race." Reuters says that currently only 30 per cent of equity trading is high freqency in Tokyo and Singapore, however exchanges in Tokyo, Singapore and Hong Kong are planning upgrades to accommodate high frequency traders from the U.S. and Europe.

Hong Kong Exchanges & Clearing's website say it hopes to increases its order processing speed to 15,000 transactions a second from 3,000 transactions by 2011. Earlier this year, the Tokyo Stock Exchange and Fujitsu introduced their $145-million (U.S.) trading platform called Arrowhead. It executes trades in under five milliseconds. The TSE's website says it is hoping to increase its trading speed further in the next few years. Singapore is also trying to increase trading speeds. Its website says it is building the "world's fastest trading engine," SGX Reach, which it hopes to complete by the beginning of 2011. The SGX says the new $250-million (U.S.) engine will carry out trades in 90 microseconds, which is 55 times faster than Tokyo's Arrowhead. 


 Pure Trading third again, Asia joins arms trading race


2010-07-19 20:46 ET - Street Wire


by Stockwatch Business Reporter

Pure Trading was the third most active of Canada's alternative trading systems in the week ended July 16, 2010. The leader, once again, was Alpha Trading Systems, which averaged 133.1 million shares per day. In second place was Chi-X Canada, with 34.9 million shares, followed by Pure Trading with 30.2 million shares. In fourth place was dark pool Match Now with 6.8 million, and in last was Omega ATS with 3.9 million shares per day. Combining their volumes, the ATSs accounted for 29.1 per cent of the market.

Alpha will introduce a new trading facility, Alpha IntraSpread, in the fourth quarter of this year. Alpha IntraSpread will offer a pair of new order types that will allow dealers to seek matches within their firm for guaranteed price improvement. Alpha Group chief executive officer Jos Schmitt says Alpha IntraSpread fees will be the lowest of any marketplace in Canada.

The two new orders types are "dark" and "seek dark liquidity." The dark order is fully hidden and will only trade with incoming seek dark liquidity orders. Alpha will cancel any seek dark liquidity order that does not trade immediately.

According to Reuters, high frequency trading accounts for 60 per cent of U.S. equity trading. Last week, the U.S. Commodity Futures Trading Commission began a series of meetings with exchanges, including equity exchanges, to decide if it should place controls on algorithmic or high frequency traders.

While the U.S. markets could face regulations, many news outlets say Asia is joining what the media has taken to calling the "global trading arms race." Reuters says that currently only 30 per cent of equity trading is high freqency in Tokyo and Singapore, however exchanges in Tokyo, Singapore and Hong Kong are planning upgrades to accommodate high frequency traders from the U.S. and Europe.

Hong Kong Exchanges & Clearing's website say it hopes to increases its order processing speed to 15,000 transactions a second from 3,000 transactions by 2011. Earlier this year, the Tokyo Stock Exchange and Fujitsu introduced their $145-million (U.S.) trading platform called Arrowhead. It executes trades in under five milliseconds. The TSE's website says it is hoping to increase its trading speed further in the next few years. Singapore is also trying to increase trading speeds. Its website says it is building the "world's fastest trading engine," SGX Reach, which it hopes to complete by the beginning of 2011. The SGX says the new $250-million (U.S.) engine will carry out trades in 90 microseconds, which is 55 times faster than Tokyo's Arrowhead.

Hypo Fails, All Other German, Portuguese, French Banks Pass Test

Tyler Durden

Subject: Hypo Fails, All Other German, Portuguese, French Banks Pass Test

And we uncover that the German Landesbanks (the equivalent of the bankrupt
Spanish cajas) did their own stress tests. Time for the PPT to step in with
this pretext and soak up all offers. Totally pathetic BS.
Update 1: Somehow Bank of Ireland "passes" the test but needs over €2
billion in extra equity... uhm... WTF??? This is the point where the
audience rushes the stage and burns the theater down.
Update 2: 5 Spanish cajas, 1 German and 1 Greek banks are eliminated on
their quest to marry the US taxpayer. 84 other banks will soon be the
recipients of far more US taxpayer generosity. And with that the season
finale of the farce comes to a close.
Description: http://feeds.feedburner.com/~r/zerohedge/feed/~4/f6DsejiAiBk

View article...
Hypo Fails, All Other German, Portuguese, French Banks Pass Test | zero hedge

China overtakes US

China_overtakes_US.

________________________

Boeing's Dreamliner

Boeing's Dreamliner timeline plotted against its stock chart

General Electric Charts: Trade the Range - TheStreet

L.A. Little, Senior Contributor

07/15/10 - 10:17 AM EDT

One of the most important things you can do as a trader is to trade in the direction of the trend. The direction of the trend is a lot easier said than practiced. What does it mean to trade with the trend? What trend are you trading? Is it the general market, the sector, the stock, or all three or some combination of them? And even if you figure out which of these trends you care about, what time frame are you trading? And to further complicate things, if you are trading the intermediate-term time frame are you also trading against the short-term time frame's trend? It really does matter, you know.

Starting with the weekly chart, the last break higher in the middle of March came on lighter volume and that created a suspect bullish trend.

One of the reasons I constantly point out the various time frames is because you have to know the technical points for each time frame because they do compliment each other. Take General Electric(GE), for example. Is the trend higher, lower, or just sideways for each of the three time frames? On the long-term chart, the trend still remains confirmed sideways as it was back in late January when we last looked. It's on the shorter-term time frames that things have changed a bit.

That trend continued for another month until the "flash crash" and since then it has been all downhill as GE has traded back to the nice anchor bar support low at the $14 level. As part of that selling, the trend changed from suspect bullish to suspect sideways on the "flash crash" weekly close and then, when that low was broken, the trend changed to suspect bearish.
On the daily chart, a portion of what was just discussed is more visible in this more micro view.

In simple language, GE has no volume confirmation on the way up or on the way down. When a stock can't get follow-through volume, up or down, then it will go sideways. Sideways doesn't mean it just drifts aimlessly but that it instead trades in some sort of range. On GE, you can see a range in the weekly chart -- the support and resistance zones are drawn in.

For example, the gap down under the swing point from the day of the "flash crash" did not see volume expansion. That makes it suspect. If it's suspect, then there is the need to retest and regenerate. The idea behind retest and regenerate is that prices should trade back to the area where suspicion was created and retest it. If it comes in with lighter volume than what was recorded on the break down, then there's a good chance the break was real and prices will head lower once more. As can be seen in this chart, GE did trade back to retest, but so far prices have moved higher even with lighter volume on the retest.
So the retest took place, but the regenerate and head lower has been delayed. All in all, two of the three time frames show a sideways trend while the short-term trend is suspect bearish but on the verge of changing to sideways as well. A sideways trend is a range trade and GE is a sideways trend. In such a trade, you buy the bottom of the range and sell the top of it. In the case of GE, you can do both (shorting the highs as well).
Note that GE reports earnings this Friday so the idea trade would be to monitor the action resulting from earnings and then look to trade the range once the stock settles in.
Until next time, just keep trading the charts.

General Electric Charts: Trade the Range - TheStreet

________________________

Population 85 or Over

Topline Investment Graphics

Colombian Exports Could Reach $40 Billion In 2010

Colombia charging ahead!!!

Colombian Exports Could Reach $40 Billion In 2010 

First Published Monday, 12 July 2010 11:29 pm - © 2010 Dow Jones 

(Updates with comments from Trade Minister; adds details and background) 

By Darcy Crowe 

Of DOW JONES NEWSWIRES 

BOGOTA -(Dow Jones)- Colombian exports are on pace to reach a record-breaking $40 billion this year as companies offset a decline in exports to neighboring Venezuela by finding new 

markets in Central America and the Caribbean, Trade Minister Guillermo Plata said Monday. 

The government expects exports to climb 22% in 2010 and break the $37.2 billion mark from 2008, despite a diplomatic dispute with Venezuela that has led to a 70% plunge in sales to that country, Plata said. 

"Colombia is diversifying its exports, and in the last three months, firms have started to offset the losses to Venezuela," he said. Venezuela has traditionally been Colombia's second-largest  trading partner, surpassed only by the U.S. 

Venezuelan President Hugo Chavez essentially shut the border to Colombian products last year in a heated diplomatic spat with Bogota. President-elect Juan Manuel Santos has said that fixing diplomatic and trade relations with Venezuela will be one of his priorities. Chavez is slated to attend Santos' inauguration on Aug. 7. 

Plata said that even if the new administration is able to reopen the Venezuelan border to Colombian goods, the main goal should be diversifying exports. "Putting all our eggs in one basket is very risky," he said. 

Exports to Venezuela could also suffer even if relations are restored due an economic recession and strict currency controls. 

As a result of the problems with Venezuela, China is now Colombia's second-largest trading partner. Plata, however, highlighted that the products Colombia used to sell to Venezuela, such 

as manufactured and agricultural goods, are being redirected to markets in Central America and the Caribbean. 

This year's export boom, however, has been driven by sales of commodities like oil, coal, coffee and ferronickel. Manufactured and agricultural goods, among others, are down 4.5%, a 

figure that Plata says is the result of the problems with Venezuela, which was a key market for these types of items. 

"It's actually a very good number if you consider that sales to Venezuela are down 70% and shows that other markets are compensating for the decline," he said. 

Foreign direct investment, meanwhile, could reach $10 billion this year, as money continues to pour into Colombia's booming oil and mining industries, Plata said. Foreign direct 

investment in the country so far this year was $4.4 billion, 8.5% higher than in the same period in 2009. 

-By Darcy Crowe, Dow Jones Newswires; (57) 1 703 8953; darcy.crowe@dowjones.com 

Copyright © Automated Trader Ltd 2010 

Greek Default-Swap Costs Only Beaten by Venezuela - Bloomberg

Greek Default-Swap Costs Only Beaten by Venezuela:...: "Greek Default-Swap Costs Only Beaten by Venezuela: Chart of the Day By John Glover - Jun 30, 2010 The cost of insuring Greek government debt..."