2 ms·

I think what he will claim is that his orders were not "virtually impossible" to trade with. The so-called "layer" orders were in the book for a reasonable leng

by minimax 11y ago

I think what he will claim is that his orders were not "virtually impossible" to trade with. The so-called "layer" orders were in the book for a reasonable length of time. His trading program was modifying the orders to keep them a few ticks from the inside, but they could have been hit by any contra side order that was big enough to trade through all of the orders in front of his. It's not unheard of for big trades to sweep multiple price levels in the ES book. They will have to prove that his intent was to use the spoof orders to signal other participants to trade and I'm not sure that is as much of a slam dunk as all these news articles are claiming. I.e. there is no email where he just comes right out and says "these here are the spoof orders meant to move the price etc etc etc."

tptacek 11y ago
They're got something like 400 trading days worth of data to make the case with. If this spoofing case is like the last one I read, the spoofed orders aren't going to make any sense relative to the guy's assets, and his actual profits are going to contradict any thesis he proposes about the intent behind the spoofed orders. But we'll see, I guess.
- bd_at_rivenhill 11y ago
  Actually, what they've really got him on is him explaining the scheme in detail to a broker-dealer, describing it as, essentially, a conspiracy to manipulate the market and defraud other investors. This is much different than a case where all you have is trading records which might represent an algorithm detecting a reversing trend with no intention to manipulate. On the other hand, the CFTC is quite aggressive recently to deter behavior that doesn't seem particularly bad. Feels like a slippery slope from here to a place where breaking up large orders and routing to separate venues might be viewed as intent to defraud by concealing intentions.

by minimax 11y ago

tptacek 11y ago

They're got something like 400 trading days worth of data to make the case with. If this spoofing case is like the last one I read, the spoofed orders aren't going to make any sense relative to the guy's assets, and his actual profits are going to contradict any thesis he proposes about the intent behind the spoofed orders. But we'll see, I guess.

bd_at_rivenhill 11y ago
Actually, what they've really got him on is him explaining the scheme in detail to a broker-dealer, describing it as, essentially, a conspiracy to manipulate the market and defraud other investors. This is much different than a case where all you have is trading records which might represent an algorithm detecting a reversing trend with no intention to manipulate. On the other hand, the CFTC is quite aggressive recently to deter behavior that doesn't seem particularly bad. Feels like a slippery slope from here to a place where breaking up large orders and routing to separate venues might be viewed as intent to defraud by concealing intentions.