Flipper Footprints in Dec Bund

C

Cajun12

Here's a rough and ready list of what looks like times and prices of a flipper having market impact. Quantities and entry prices are estimates, the times ought to be accurate. I may have missed a few or spotted one too many, this isn't the result of exact science.

If I'm right he usually does about 3000-4000 cars at a time, rarely more, and he's reasonably good at calling or causing minor trends. Doesn't always nail it, but certainly good enough to make a living grabbing a few ticks at a time.

Comments?
 

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You missed the action between 13:00 and 15:30. Your lunchtime?

This is something you see often when the market is trading quietly. Looks like someone (I do not care if it is really someone or just the combined action of the market participants) is building a short position and then cashes in. It is sometimes - not always - the prelude to a move in the opposite direction.

The chart is a V5000 chart, i.e. each bar represents about 5000 contracts traded.

Have a nice evening

Bernmd Kuerbs
 

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Quote from BKuerbs:

You missed the action between 13:00 and 15:30. Your lunchtime?

This is something you see often when the market is trading quietly. Looks like someone (I do not care if it is really someone or just the combined action of the market participants) is building a short position and then cashes in. It is sometimes - not always - the prelude to a move in the opposite direction.

The chart is a V5000 chart, i.e. each bar represents about 5000 contracts traded.

Have a nice evening

Bernmd Kuerbs
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13:00 to 15:30 looked like sideways churn to me and I could only see footprints of 1500-2000 cars, that's why I didn't list it. That sort of size can trade at a single price in one hit, so trying to use it for analysis would introduce too much noise.

I can't exactly tell from the "footprints" whether they're caused by one or more players, but given the consistent size I'm guessing it's one guy. (And he's good enough to piggyback!)
 
The moral of the story is you should not be thinking about markets solely in terms of supply and demand or greed and fear, but more in terms of bait & switch.
 
Enjoying this thread, speculation about the flipper is always enjoyable but one thing i think you have to remember is that he trades bobl, schatz and the bore as well so he may have done well in bund on some days but lost out in the the others. Yesterday there was a really big Bobl fill (5000 lots i believe) after a pull down in the bund from the high where you'd swear he was short bund... What happened? the bobl/bund spread only went up from there... surprising? no not really as its a really easy trick to pull unless paper is trying to setup an opposite position.

Gluck today boys!

FGBS
 
Quote from 3dog:

Do you trust the eSignal Eurex data?
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Yes. I compare them to the data from IB and usually IB is a bit faster, but they deliver a snapshot while eSignal will deliver H/L for each period.

eSignal did have a lot of problems some months back.

Have a nice day

Bernd Kuerbs
 
Quote from FGBS:

one thing i think you have to remember is that he trades bobl, schatz and the bore as well so he may have done well in bund on some days but lost out in the the others.
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Like Bernd pointed out, what I'm seeing may well be the combined actions of an unrelated set of players - I'm mining a data feed to find those points, and that's obviously anonymous. The consistent size led me to believe it's one player, but I don't have any statistics yet that would verify that assumption.

Oh, and speaking of size, at 09:21 Eurex time someone stamped on it with 10,000 lots. A few got lifted but then he had nailed it downwards again.

A long time ago a wise man told me: "Learn a business from people who are good at it." Whoever's doing this stuff, he is (or they are) good. I'm gonna watch them. Like a hawk. :)
 
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