ES Journal Archive (2009 - 2010)

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Quote from Lawrence Chan:



It's those bots that "raid the books" you should be careful about, because tight stops are gunned.

It used to be the case that it was a guessing game to figure out where the stops are. Now, with special "rights", these bots no longer guess where the stops are, they know.
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Hi, LC

Please explain, and corroborate with evidence, if you have time.

Anyone who knows who you are knows that you know more about automated trading than just about anyone.
 
Quote from Decel:

I can only hope that VWAP doesn't rocket up to the current prices.
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They almost always have one for a trend buy day.

Either here with a sell of 5 pts or so from day high, or from another new high.

Good luck.
 
Quote from smilingsynic:

Hi, LC

Please explain, and corroborate with evidence, if you have time.

Anyone who knows who you are knows that you know more about automated trading than just about anyone.
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The news lately around HFT exposed that there exists a feed going into a centralized system with knowledge of all orders routed, be that limit, stop, etc. You can find out the details from many places bloomberg, zerohedge, etc.

The key here is not the hot topic of "flash orders", although it exposes the potential intentions of institutions.

To me, the real killer is that stops are exposed to 3rd parties.

It is very easy to collect all these stop orders in the stocks and reverse engineer the index price level needed to raid these orders for either guaranteed profit, or, a wash trade leading to huge rebate cash flow from the liquidity rebate agreement.

My take is that once stop orders are blocked from this centralized feed, the playing field will get back to normal quickly.
 
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