http://www.zerohedge.com/article/it...further-evidence-quote-stuffing-manipulation-
There was a big thread about this recently but I don't remember where it is.
Education For HFT
- Thread starter drailing33
- Start date
http://www.zerohedge.com/article/it...further-evidence-quote-stuffing-manipulation-
There was a big thread about this recently but I don't remember where it is.
i personally feel that what i describe above is manipulation, nothing less. you can call it a bluffing or whatever, but it is what it is. and i've seen it every day. i'm talking about placing large order at your price without intention to receive a fill. the idea is pretty simple and i believe it works well on low volume stocks. it create an appearance that another seller with very large order was trying to unload his shares at same price as you are.(happends to be at exact same time..what an accident).. and because of his size he is likely will be first one in line to receive any shares,if anyone want's to buy at our price, thus eliminating possibility for you to sell your shares at ask and FORCE you to sell at bid. if this is not manipulation,then i don't know what is..
it is a form of HFT, because the key in this strategy is to ability to chancel quickly that large order,if one would try to to buy all shares at our prices. once again-they don't' want to be filled(see above about partial fills),they want you to sell at bid.
it is a form of HFT, because the key in this strategy is to ability to chancel quickly that large order,if one would try to to buy all shares at our prices. once again-they don't' want to be filled(see above about partial fills),they want you to sell at bid.
So why don't you just place your order within the "minutes" during which the other party's bid is live, rather than waiting for the bidder to cancel? How is this even a problem?
Or, are you saying you're sending your orders to venues that allow the bidder to cancel their orders when a matching order (yours, in this case) is placed? What venue (aside from internalization, market makers, or "smart"
D) routing systems) would even allow this?An order resting on the NSDQ/ARCA/BATS book is a real order, as far as I know (please correct me if I'm wrong), and there's no opportunity to cancel based on an incoming order that would hit it, unless they submitted their cancel first. If you see an order sitting there for "minutes" or even several seconds and you route it directly to that exchange, I'd say you'll hit it almost every time.
Or maybe your quote software is leaving stale quotes for you to see
confused: ).Can you walk through a scenario? You're trying to sell 100 XYZA at 10.01 on, say, ARCA and you're saying someone else comes in with 20000 XYZA on BX at 10.01? Or which venue? If they're willing to take the risk to be displayed, they're taking the risk to be filled. I'm trying to understand why this is bad. Are you saying that, because of size, the guy will grab the attention of other market participants and be more likely to be filled?
Thanks.
Do they have screenshots of what the other market centers were doing when the "crop-circle bot" was running?
they won't be filled,if one would try to buy both their and my order. see one of scenarios above. they have ability(read-HFT,collocation,technical advantage,etc) to pull out their orders BEFORE someone's BUY order can even reach them. one more time-the whole idea is to make you think that there is a seller with a huge size and you have no chance for your order to get executed,but sell at the bid. same appies to the opposite side.
i did my best..i explained this particular scenario 3 times already in this thread..it's been explained dunno know how many times before here,on ET..dunno the venues,all other details. i trade very large baskets of stocks and sometimes have to execute orders manually. this is what i see every single day. i have no interest or time to go into every possible detail,make a screen shoot cause it's simply impossible to do this manually. i believe that everyone,who trade a lot,specially intraday, on relatively low volume stocks can see it...it's pretty simple//you place an order to sell\buy 100 shares -right at same time at your price,but much bigger quantity would appear. you cancel your order -the big order is gone at exact same second. coincidence? like 50 times a day? doubt it..
I'd like to see this for myself. Can you PM me some illiquid name that I can try it out on?
pick any low volume,low price stock. like 2-5$, 30-50K avg. vol. something really slow. it should work on such stocks. nyse or nasdaq. note that in order to see that you have to place an actual order to buy or sell. i doubt that it was implemented on some particular stock, most likely it's everywhere. or contact to rosy2. 
i love it when i am nbbo on the offer nobody else around and miraculously a print goes off at the offer but instead of my offer of 24.56 i see the 900 shares at 25.5598 lol now that sux. especially on low volume stocks with a big spread. now if you do get filled on display guess what its going against you. i have no problem with hft at all but i think everyone should have the same routing capability.
ps how about i am bid at 20.21 for 500 showing 100 reserve size arca all of a sudden print goes off at 20.12 for 1200 shares i get filled on 6 shares. trade through rule lol. this has to become an across all markets rule. any nbbo either through dark routes, adf, etc the inside quote has to be protected and its not.