5 ms·

Ask and ye shall receive. http://www.zerohedge.com/article/its-not-market-its-hft-crop-circle-crime-scene-further-evidence-quote-stuffing-manipulation- http://w

by msy 16y ago

Ask and ye shall receive. http://www.zerohedge.com/article/its-not-market-its-hft-crop-circle-crime-scene-further-evidence-quote-stuffing-manipulation- http://www.zerohedge.com/article/its-not-market-its-hft-crop... If detailed, fully sourced graphs, demonstrating deliberate use of quote stuffing to essentially jam markets isn't good enough for you I suggest you consider carefully your own bias.

yummyfajitas 16y ago
How do the graphs demonstrate deliberate use of quote stuffing, let alone market manipulation or a link between HFT and the flash crash? Rather than repeating myself, I'll link to my own comment on that exact article explaining why I'm almost certain those graphs are not deliberate. http://news.ycombinator.com/item?id=1564445 http://news.ycombinator.com/item?id=1564445 Also from your FT article: Regulators such as the SEC are still puzzling over exactly what caused the flash crash. (Full disclosure: I work in HFT.)
- msy 16y ago
  Are you kidding me? Are you honestly denying there's no connection between the stuffing of the order book with hundreds of thousands of orders and the crash? Please. As for whether it's deliberate - I think you're right in the sense that something acted in a way which its creators did not intend if you think quote stuffing is a legitimate trading strategy we're clearly poles apart in what purpose we believe markets are meant to serve. I hear a lot of about how HFT creates liquidity and reduces volatility without much reference to quite what time periods they're talking about, what you don't hear them say is what it does to liquidity volatility, particularly in nervous markets and around announcements. I've done HFT too, I understand the game, the difference is I realise it's at best an illegitimate quirk of technology and at worst legalised front-running and the turning of the execution environment into a trading weapon.
  - yummyfajitas 16y ago
    Are you honestly denying there's no connection between the stuffing of the order book with hundreds of thousands of orders and the crash? Perhaps you missed it, but most of the graphs in your link are from July. The flash crash was May 6. So unless you want to assert that the flash crash caused the weird graphs, no, I don't see the connection. That's not to say you couldn't find similar graphs on May 6 - I guarantee that you could. In fact, you can find graphs like this almost every day (pre and post crash) if you look hard enough. And yet, we don't have flash crashes every day. We've only had two (the first was in 1962 http://online.wsj.com/article/SB10001424052748703957604575272791511469272.html http://online.wsj.com/article/SB1000142405274870395760457527... ). So yeah, I do expect you to do more than point out an everyday occurrence and then assert that it (and not thousands of other things, including things which don't happen every day) caused a once-in-a-lifetime event. I expect, I dunno, correlations at the very least. Maybe even a mechanism, rather than just a theory that "I don't understand everyday event A or once in a lifetime event B, they must be related."
    - msy 16y ago
      I didn't think you were abtuse enough not to read what I linked to. But then it is hard to get someone to understand something when it's not in their interest to do so. http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.html http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.htm... Detailed analysis of the precise trading events that led to the crash. With data.
      - yummyfajitas 16y ago
        Your first link had graphs from July. Your new link has similar graphs from May 6. Also note that your new link agrees with what I said: "Quote stuffing is also not a rare occurrence and these sequences are seen frequently on a daily basis; they are easy to find once you know what to look for." Compare that to what I said: "That's not to say you couldn't find similar graphs on May 6 - I guarantee that you could. In fact, you can find graphs like this almost every day (pre and post crash) if you look hard enough." I've seen Nanex's graphs. I don't see how they come even remotely close to explaining why crop circles (which occur everyday) caused the flash crash. Again, what is the mechanism? A DOS attack? If so, then how come we don't have a flash crash every day?
deleted 16y ago
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by msy 16y ago

yummyfajitas 16y ago

How do the graphs demonstrate deliberate use of quote stuffing, let alone market manipulation or a link between HFT and the flash crash? Rather than repeating myself, I'll link to my own comment on that exact article explaining why I'm almost certain those graphs are not deliberate. http://news.ycombinator.com/item?id=1564445 http://news.ycombinator.com/item?id=1564445 Also from your FT article: Regulators such as the SEC are still puzzling over exactly what caused the flash crash. (Full disclosure: I work in HFT.)

msy 16y ago
Are you kidding me? Are you honestly denying there's no connection between the stuffing of the order book with hundreds of thousands of orders and the crash? Please. As for whether it's deliberate - I think you're right in the sense that something acted in a way which its creators did not intend if you think quote stuffing is a legitimate trading strategy we're clearly poles apart in what purpose we believe markets are meant to serve. I hear a lot of about how HFT creates liquidity and reduces volatility without much reference to quite what time periods they're talking about, what you don't hear them say is what it does to liquidity volatility, particularly in nervous markets and around announcements. I've done HFT too, I understand the game, the difference is I realise it's at best an illegitimate quirk of technology and at worst legalised front-running and the turning of the execution environment into a trading weapon.
- yummyfajitas 16y ago
  Are you honestly denying there's no connection between the stuffing of the order book with hundreds of thousands of orders and the crash? Perhaps you missed it, but most of the graphs in your link are from July. The flash crash was May 6. So unless you want to assert that the flash crash caused the weird graphs, no, I don't see the connection. That's not to say you couldn't find similar graphs on May 6 - I guarantee that you could. In fact, you can find graphs like this almost every day (pre and post crash) if you look hard enough. And yet, we don't have flash crashes every day. We've only had two (the first was in 1962 http://online.wsj.com/article/SB10001424052748703957604575272791511469272.html http://online.wsj.com/article/SB1000142405274870395760457527... ). So yeah, I do expect you to do more than point out an everyday occurrence and then assert that it (and not thousands of other things, including things which don't happen every day) caused a once-in-a-lifetime event. I expect, I dunno, correlations at the very least. Maybe even a mechanism, rather than just a theory that "I don't understand everyday event A or once in a lifetime event B, they must be related."
  - msy 16y ago
    I didn't think you were abtuse enough not to read what I linked to. But then it is hard to get someone to understand something when it's not in their interest to do so. http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.html http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.htm... Detailed analysis of the precise trading events that led to the crash. With data.
    - yummyfajitas 16y ago
      Your first link had graphs from July. Your new link has similar graphs from May 6. Also note that your new link agrees with what I said: "Quote stuffing is also not a rare occurrence and these sequences are seen frequently on a daily basis; they are easy to find once you know what to look for." Compare that to what I said: "That's not to say you couldn't find similar graphs on May 6 - I guarantee that you could. In fact, you can find graphs like this almost every day (pre and post crash) if you look hard enough." I've seen Nanex's graphs. I don't see how they come even remotely close to explaining why crop circles (which occur everyday) caused the flash crash. Again, what is the mechanism? A DOS attack? If so, then how come we don't have a flash crash every day?

deleted 16y ago

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