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Zerohedge gloating: http://www.zerohedge.com/news/2015-04-21/step-step-guide-how-crash-entire-market http://www.zerohedge.com/news/2015-04-21/step-step-guide-h

by nissimk 11y ago

Zerohedge gloating: http://www.zerohedge.com/news/2015-04-21/step-step-guide-how-crash-entire-market http://www.zerohedge.com/news/2015-04-21/step-step-guide-how... Is there a difference between Layering/Spoofing and "quote stuffing?" I thought quote stuffing was a technique intended to overwhelm analytics software with volume of ticks rather than manipulate interpretation of current supply/demand dynamics. I suppose they are variations on the same theme.

tptacek 11y ago
I'm not sure I even see how layering and "quote stuffing" are related. Here's what Zero Hedge says: In other words, 5 years after Zero Hedge first explained precisely what happened on May 6, 2010, the CFTC finally admits that the flash crash was not due to Waddell & Reed, but due to HFTs and quote stuffing. That doesn't sound true at all. The point of the layering strategy is entering huge orders (not lots of little ones) that can't trade, and that's what SEC/CFTC said years ago as well. Immediately and automatically canceling the orders isn't required for layering to work; the layered orders are several price levels away from the clearing price. The point is to sustainably convince market makers of a change in the market's direction, and then profit from its correction. As I understand it, the point of "quote stuffing" is literally to disrupt the market; it's akin to DDoSing the exchange and profiting from the change in behavior. It's tricky, however, to nail this down, because the term "quote stuffing" was invented by people examining trading artifact data to explain anomalous graphs; the effect and even intent of "stuffing" is all supposition, and I guess the term can mean whatever Zero Hedge wants it to mean.
- kasey_junk 11y ago
  Layering does not have to be done with huge orders, lots of little orders work fine as well, as long as you can cancel them quickly (in some ways that is better because on some exchanges you get fills before public feeds). Other than that I completely agree with you. Some people used quote stuffing to mean a DDoS style attack with orders (which if it ever happened was never wide spread and is trivial to prevent on the exchange side). Others do use the term for spoofing or layering.

by nissimk 11y ago

tptacek 11y ago

I'm not sure I even see how layering and "quote stuffing" are related. Here's what Zero Hedge says: In other words, 5 years after Zero Hedge first explained precisely what happened on May 6, 2010, the CFTC finally admits that the flash crash was not due to Waddell & Reed, but due to HFTs and quote stuffing. That doesn't sound true at all. The point of the layering strategy is entering huge orders (not lots of little ones) that can't trade, and that's what SEC/CFTC said years ago as well. Immediately and automatically canceling the orders isn't required for layering to work; the layered orders are several price levels away from the clearing price. The point is to sustainably convince market makers of a change in the market's direction, and then profit from its correction. As I understand it, the point of "quote stuffing" is literally to disrupt the market; it's akin to DDoSing the exchange and profiting from the change in behavior. It's tricky, however, to nail this down, because the term "quote stuffing" was invented by people examining trading artifact data to explain anomalous graphs; the effect and even intent of "stuffing" is all supposition, and I guess the term can mean whatever Zero Hedge wants it to mean.

kasey_junk 11y ago
Layering does not have to be done with huge orders, lots of little orders work fine as well, as long as you can cancel them quickly (in some ways that is better because on some exchanges you get fills before public feeds). Other than that I completely agree with you. Some people used quote stuffing to mean a DDoS style attack with orders (which if it ever happened was never wide spread and is trivial to prevent on the exchange side). Others do use the term for spoofing or layering.