Evidence of Algo Trading on CL
- Thread starter Ex_d
- Start date
Well, here's my guess based on the brief description here.
Perhaps Optiver puts into place standing limit orders at all prices both above/below the market... and just chooses to cancel them if they don't want to actually buy/sell at any specific point in time. And then re-submits the orders as soon as the market moves past.
And when they *do* want to buy/sell at a specific price, they just leave the orders up... the intent here, being they want a guarantee their order will be executed first.
Perhaps Optiver puts into place standing limit orders at all prices both above/below the market... and just chooses to cancel them if they don't want to actually buy/sell at any specific point in time. And then re-submits the orders as soon as the market moves past.
And when they *do* want to buy/sell at a specific price, they just leave the orders up... the intent here, being they want a guarantee their order will be executed first.
Quote from Ex_d:
http://www.cnbc.com/id/32690802
I'm wandering about Opriver strategies. If they only were hammering settlement price, why high-frequency algorythm has been involved? I mean Amaranth did it very successfully in the past whithout any mathAnd if somebody place market orders steadily in front of pin-striped masses, will they be able to boost the prices in short term?
Program trading will certainly exaggerate the price moves, but I'm not sure if it can manipulate the CL as easily as the NG or XRB market. The CL open interest and volume are one of the largest in commodities.
Actually CL is easier to trade than NG and other commodities. Most of the wall street funds use the same models to build positions. Some of the top fund managers are U of Chicago classmates. The models will link global currency, bond or interest rate, equity, soft and hard commodities all together.
In this market, US interest rate is extremely low and Fed can't and won't raise it for the near term (9 months to a year?). This will put US dollar in a great pressure. A falling dollar will drive gold and commodity higher. A low intereat rate and stimulate environment will drive the equity market higher. So the trades of the time are:
1. Short US $;
2. Long equity, over-weight overseas equity with weak $;
3. Long gold and commodities;
4. Read, study and learn.
You'll be a millionaire tomorrow!
In my mind, the amount of time a market stays around a particular price point says more about market acceptance than a closing 'mark' per se. (sounds like control areas and value areas in Market Profile, huh?)
With markets being electronic and open 20, 22, or 23 hours per day, I think the 'settlement' means less and less. To influence the market participants who hold positions marked to market on the settlement price, with a commodity that has 7 or 8 percent volatility the 50 cents or one dollar any theoretical shennanigans might have shouldn't be that big of a deal - at least in my opinion.
With markets being electronic and open 20, 22, or 23 hours per day, I think the 'settlement' means less and less. To influence the market participants who hold positions marked to market on the settlement price, with a commodity that has 7 or 8 percent volatility the 50 cents or one dollar any theoretical shennanigans might have shouldn't be that big of a deal - at least in my opinion.
Each Market has its Four Horsemen:
Commodities:- Cocoa, Crude Oil, Natural Gas, Feeder Cattle
Equities: GOOG, AMZN, AAPL, YHOO
Spot FX: EUR/CHF, USD/NOK, GBP/JPY, EUR/PLN
Race Track: King George VI Stakes at Ascot, Kentucky Derby, Grand National, St Leger's Day 1520 at York
Remember none of these use KY Jelly so expect a rough time
Commodities:- Cocoa, Crude Oil, Natural Gas, Feeder Cattle
Equities: GOOG, AMZN, AAPL, YHOO
Spot FX: EUR/CHF, USD/NOK, GBP/JPY, EUR/PLN
Race Track: King George VI Stakes at Ascot, Kentucky Derby, Grand National, St Leger's Day 1520 at York
Remember none of these use KY Jelly so expect a rough time