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Bots playing the market make some bizarre patterns
- d_c 16y agoYet more: - http://www.zerohedge.com/article/algorithmic-crop-circles-redux-rise-stock-market-machines-part-2 http://www.zerohedge.com/article/algorithmic-crop-circles-re... - 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... - http://www.zerohedge.com/article/todays-dose-crop-circle-quote-stuffing-algos-focuses-v-dug-and-trn http://www.zerohedge.com/article/todays-dose-crop-circle-quo...
- drdaeman 16y agoI could image those seemingly-pointless patterns to be some sort of anonymous (since noone knows who the receiver is) steganographically-protected messaging. Well, I'm not serious.
- teamonkey 16y agoYes, I too thought it was similar to a numbers station. http://en.wikipedia.org/wiki/Numbers_station http://en.wikipedia.org/wiki/Numbers_station
- sudonim 16y agoThat's an interesting idea. Who is looking at market data for secret codes? I love a good conspiracy theory :)
- travisa 16y agoPerhaps someone has a system that evolves bots by mutation, and these patterns are just the effects of 'bad' mutations. I'm not serious either, though.
- ThomPete 16y agoThey remind me of some of the Cellular Automate examples from Wolframs A new Kind of Science.
- RiderOfGiraffes 16y agoDup: http://news.ycombinator.com/item?id=1576024 http://news.ycombinator.com/item?id=1576024
- deleted 16y ago[deleted]
- MichaelApproved 16y agoIf HN would do a dup check on the canonical url instead of just the submitted one it would avoid these duplicates. Isn't that just what the canonical meta tag is there for?
- RiderOfGiraffes 16y agoNot all sites use it. I suggested a while ago fetching the page and extracting the "<title>" Then compare the URL up to any "?" or other stuff on the end, and checking the title. This would catch every duplicate I've seen.
- Encosia 16y agoIgnoring the querystring would break for a lot of sites' URLs, like the default WordPress URLs (Hacker News' too, to be recursive).
- panic 16y agoThe system doesn't have to be automatic. It could look for a list of possible duplicates by ignoring the query string, then show them to the user if the list is shorter than some threshold.
- RiderOfGiraffes 16y agoThat's what I get for trying to describe a longer algorithm when I don't have time. Which I don't. Ignoring the query string is only done when comparing the titles. If the initial section of the URL matches and the title matches then it's almost always a duplicate, and I only say "almost always" because there's a chance I'm wrong when I say "always" - I've never seen it. But nothing's going to be done, and I don't have time to implement anything more robust than the quick hack I've done for myself, so I'm not going to get involved.
- jamii 16y agoI see a lot of weird graphs but no actual data. I can imagine this kind of stuff going on but I'd like to see some actual evidence attached before people start railing against HFT again. It reads more like an advert for Nanex than anything else.
- noname123 16y agoIt's basically DoS attacks for other market participants. Basically all algo trading systems need to cancel/modify their limit orders to keep things relative to the last traded price and the whole quote book. The way they maintain their own quote book is through some data feed's API. e.g., Processing messages via onBidChange(double price, int bidSize); suppose you send a million buy orders at $2.00 when the stock price is trading at $6.00; your orders won't get executed, but your competitor who's processing these messages will be busy processing these message. You ignore the bottom of the book because you know your own garbage orders while you focus on processing messages at the top of the book in case of a inter-market/equity-options-futures arbitrage opportunity arises for 200ms. Your competitor was busy processing your garbage orders for 200ms; he/she either can't arb the trade as fast as you can, or they are the mutual fund algo and they can't cancel/modify their VWAP limit orders fast enough, while you trade in and out 2000 shares for $0.01/share profit plus liquidity rebates in that 200ms.
- yummyfajitas 16y agoFor most of the graphs shown in this article, the message bursts are occurring at the top of the book (for that particular route). Those orders have a fairly good chance of being filled if the price moves unfavorably. If you want to suggest they are hacking someone, I'd propose an alternative target: the exchange. Say the current NBBO is on INET, but the pattern is on BATS. Once the price on INET drops below the pattern level on BATS, INET needs to devote effort to communicating with BATS to determine whether to fill orders or route them. That adds latency.
- smanek 16y agoSome people I work with (at a HFT firm), joke that it's someone warming up their JVM by placing clearly unfillable IOCs ;-). My personal pet theory (for some of the graphs) is that someone is just loading up the book at many price levels with unlikely-to-be-filled limit orders to gain priority (for the rare occasions the market makes big swings). It's a perfectly legit tactic, that would help the market by providing liquidity and support against other players' big orders. Some other graphs have perfectly innocuous explanations - for example someone probing the depth of the book or filling a big order piece-by-piece. FWIW, you can't really pull a serious DoS against most exchanges. Most decent ones have pretty strict rolling-window rate limits. And no other firm is going to have much trouble processing the maximum number of orders one firm is allowed to place within their limit. Even if you could get away with a DoS once (and I suspect you could), who's going to risk it? The exchange knows who you are and will punish you when you do.
- thesnark 16y agoDid you read about this: http://www.businessinsider.com/huge-first-high-frequency-trading-firm-is-charged-with-quote-stuffing-and-manipulation-2010-9 http://www.businessinsider.com/huge-first-high-frequency-tra...
- yummyfajitas 16y agoTrillium was not DOSing the market, they were layering.
- d_c 16y agoWhat does that mean exactly?
- yummyfajitas 16y agoA more complete explanation than I can give: http://blogs.reuters.com/felix-salmon/2010/09/14/trillium-wasnt-quote-stuffing/ http://blogs.reuters.com/felix-salmon/2010/09/14/trillium-wa... Basically, it's submitting hidden sell orders at a high price, and submitting a lot of visible buy orders in the hopes that other people pile on and bid the price up to your sell order. It's market manipulation, and it wouldn't even work if you DOSed other people's computers. The goal is to fool them into filling your orders at unfavorable prices - a DOS would simply shut them down.
- ShabbyDoo 16y agoI know nothing of trading networks. Is there any benefit in analyzing latency by pushing data out at known intervals and observing when you get it back in your data feed? Is there a cost to the HFTs to make bids which will never see the light of day?
- smanek 16y agoA. Absolutely, I can think of a few off the top of my head. B. There's the off chance that something could get filled that I don't want filled, and I'll burn some of my rate quota/cpu/bw.
- yummyfajitas 16y agoC. If your fill rate drops too low (around 1%, sometimes a bit less), your broker shuts you down.
- charlief 16y agoOriginal report was posted on HN a few months back: http://news.ycombinator.com/item?id=1458175 http://news.ycombinator.com/item?id=1458175 Original Nanex report: http://www.nanex.net/20100506/FlashCrashAnalysis_Intro.html http://www.nanex.net/20100506/FlashCrashAnalysis_Intro.html
- Simucal 16y agoAre there any trading services that a normal person can pay for that provide it some API to get quotes and do different kinds of trading? I think putting a little money in an account and then working on writing a small trading bot would be a fun project.
- yummyfajitas 16y agohttp://www.interactivebrokers.com/ibg/main.php http://www.interactivebrokers.com/ibg/main.php http://www.limebrokerage.com/ http://www.limebrokerage.com/ I think smarkets is also a possibility if you are located in the EU.
- noname123 16y agoHah! Letting the cat out of the bag. Don't you think letting people onto DMA brokers with execution speed close to your own prop shop is doing yourself a disservice?
- yummyfajitas 16y agoThe cat is already out of the bag - lots of people are starting up HFT shops every day. All I did is save people half an hour of googling.
- jamii 16y ago> I think smarkets is also a possibility if you are located in the EU. Anywhere except the US or Turkey, due to their anti-gambling laws. I believe smarkets is still looking for market makers too. http://smarkets.com/api/documentation/ http://smarkets.com/api/documentation/
- iends 16y agoI've been interested in doing something like this for some time, but I've no idea where to start. Is there some recommended reading to get started?
- narrator 16y agoIt's a big game of core war(see http://en.wikipedia.org/wiki/Core_War http://en.wikipedia.org/wiki/Core_War) as far as I'm concerned.
- alanh 16y agoThis reminds me of Stross's Accelerando and its Strange Children, the ultra-fast AIs trading stocks and powering Economics 2.0. Humans were completely outclassed and excluded from stock exchanges.
- akshayubhat 16y agoInteresting anyone knows which strategies they use to decide to buy/sell, once they have determined the expected price? do they use physics based techniques, like black scholes? or do they use statical learning based techniques?
- arnorhs 16y agoWhy don't they just change the rules by lowering the granularity? An actual trade could only happen every minute or so. What is the biggest argument against that?
- dhs 16y agoFrom what I understand, the biggest argument is that higher granularity gets more information to the market faster, so it will move in the right direction faster. However, this seems to me to be a fairly low-granularity model itself; there must be much more subtlety in practice.
- Volscio 16y agoThe Daemon is working in the background, preparing for its activation. http://www.amazon.com/Daemon-Daniel-Suarez/dp/0451228731/ http://www.amazon.com/Daemon-Daniel-Suarez/dp/0451228731/