CTA algo squeeze

C

chart pig

Caveat: I do not trade automated systems but would appreciate any input.

I'm told today was a day the CTA's were getting squeezed in the equity market as the algo's covered short positions. If algo's trade around $1.5 trillion with leverage, how is it possible for someone to identify the different prices that algo's are executing orders? Especially covering short positions? (I understand the nuances of communication but that can't possibly explain an entire move.)

Thanks
 
That was my first reaction but i'm on the discretionary side of trading. I don't know about the algo's of commodity trading advisors.
 
The S&P today had a range of 13 points, that is less than one half of one percent.

How does anyone get squeezed in equity futures when the S&P does nothing much?

As far as "identify the different prices that algo's are executing orders" - algo's are running all the time and executing at all prices, that is what they do.
 
chart pig said:
Caveat: I do not trade automated systems but would appreciate any input.

I'm told today was a day the CTA's were getting squeezed in the equity market as the algo's covered short positions. If algo's trade around $1.5 trillion with leverage, how is it possible for someone to identify the different prices that algo's are executing orders? Especially covering short positions? (I understand the nuances of communication but that can't possibly explain an entire move.)

Thanks
More...

1.5B in notional value would mean about 11,000 ES contract where the margin required would be over 70 Mil. I suspect that if there was a squeeze, the market would not trade in a low range and VIX would be higher. As my colleagues above wrote, you always need a story.."You Kid, today you writing about the markets. 2500 words article by 2PM, pronto"
 
MattZ said:
1.5B in notional value would mean about 11,000 ES contract where the margin required would be over 70 Mil. I suspect that if there was a squeeze, the market would not trade in a low range and VIX would be higher. As my colleagues above wrote, you always need a story.."You Kid, today you writing about the markets. 2500 words article by 2PM, pronto"
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It didn't make sense to me but the insider was rather adamant. I think i fell victim to the story because I know very little about algo's. I was the fool in that scenario!
 
chart pig said:
It didn't make sense to me but the insider was rather adamant. I think i fell victim to the story because I know very little about algo's. I was the fool in that scenario!
More...

"Insider" ? interesting. Does he speaks very low and says shhh at the end of the sentence?
 
chart pig said:
It didn't make sense to me but the insider was rather adamant.
More...
I don't know about squeeze or this particular day, but it's very possible that people can identify algos at work. Especially people who work for the Sell-Side which provides execution services to the Buy-Side. So let's say your friend works for GS and has access to see who runs which algo and with what size ... Pretty good pulse to what's happening and then it starts to feed on itself as more people notice (but in a shhh kinda way). I am guessing, I am not in such position myself (and if I was, would most likely not be allowed to trade directly).

Here is a primitive example of algos triggered by news:
https://www.elitetrader.com/et/thre...e-tick-trin-etc-for-day-trading.327392/page-2

P.S. MattZ may not be in a position to move the markets, but in a position to get a feel what "smart" money is doing. Not suggesting that he is doing anything inappropriate, just surprised at him being surprised :)
 
chart pig said:
Caveat: I do not trade automated systems but would appreciate any input.

I'm told today was a day the CTA's were getting squeezed in the equity market as the algo's covered short positions. If algo's trade around $1.5 trillion with leverage, how is it possible for someone to identify the different prices that algo's are executing orders? Especially covering short positions? (I understand the nuances of communication but that can't possibly explain an entire move.)

Thanks
More...

CTAs mostly trade futures, not cash equities.

GAT
 
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