Front Running, Flash Orders, or Blackbox/Algorithmic Manipulation?

Quote from ang_99:

Not possible if the security trades through your limit you MUST get filled. Reg NMS.

You just need to wait, you'll get filled. The object of these algos is to try to get you to chase, dont.
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The OP is refering to the obscure flash orders where they see the orders for 30 mili sec b4 everyone.
 
Thanks for all the great responses so far. Great info!! One thing I think everybody can do that is having this problem is have your broker dealer complain the the exchanges/ECN's. We are PAYING them (the exchanges/ECN"S) to use there route when we remove liquidity. They are then selling the information (our order info) to other bigger players to use it to OUR (their paying customers) DISADVANTAGE!!!!

The article specifically states that NASAQ sells the flash orders to bigger players. I don't know about you guys, but i haven't used NASDAQ since....
 
Seems they use the flash order to trigger the pulling of the rest.

The US markets are just regulator sanctioned electronic cheating pits - how long will it be before they act like casinos and race track bookmakers and quite simply refuse to fill orders for anyone known to make money. I am sure if they asked the regulator for access to this info they would get it, after all the regulator exists for the benefit of the investment banks.

Interestingly I heard a theory that the 1934 SEC act was really about moving the advantage the stock pools had obtained back to where it was thought to really belong, with the exchange members i.e it wasn't really about the little guy being protected (surprise surprise) it was about the exchange reconsolidating its institutionalised edges for its members.
 
Quote from pacific7:

I'm trying to find out if any other traders have been having problems with stocks that appear to have a lot of liquidity on level II only to place a market order to close a position, and the big liquidity vanishes out of thin air instantaneously??? I usually end up getting filled anywhere from 3,4,5 even 10 cents out of the money from where there was apparent big liquidity on BOTH sides of the level II when the order was sent.

Could this be the broker/dealer with some sort of blackbox scalping or shaving my trades, the broker dealer's clearing firm shaving my trades, or an outside algorithmic trading systems showing apparent liquidity for the stock then picking up on my order (from the now much talked about flash orders that high frequency traders pay for) then dropping all of their level II orders? (http://www.nytimes.com/2009/07/24/business/24trading.html?_r=3&ref=business for details on this)

It happens to me about a half a dozen times a day usually on a hot news traded stock with some volume and volatility. I've tried sending the orders on several routes including ARCA, SRDOT, NASQ, ASUROUX. They have all failed me at the worst times, usually when I have decent size in the trade). It's very frustrating and seems like a big rip-off/cheat. I have tried putting out an limit orders and they NEVER gets filled. SOMETHING always steps in front of my order. Even if the limit order is a penny away from the last print something will step in front of it even if it's a fraction of cent better than my order. How does this happen?

I trade with Sterling software. I did read a few posts awhile ago that said brokers with Sterling platform can easily front run there traders orders with black box's, but did not know it this was BS or not.

I'm really trying to get to the bottom of this issue and what's really going on. Any suggestions on changes I could make with order entry would be most appreciated.

Please do not respond to this thread if you have a problem with a certain broker dealer and are trying to throw punch's. Also, no hype from a broker dealer tying to pump their own firm.

Just the truth...!!!!

Thanks
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While I am NOT denying anything that you describe - I myself believe I see the hands of the PPT in the market - I think more info is in order...

Where are you trading from - what is the latency from you to the bd?

Do you have access to the timings of when your BD receives your order...when it places the order, and the timestamp of when the exchange said it filled your order?

Can you confirm that you are not seeing latency in your data feed?

Have you tried "trailing" orders and noticed the same behavior?

-gastropod
 
Someone mentioned ghost orders. They are actually illegal, still see them all the time. In SPY you see an ocassional order for 500k - this guy is obviously long and trying to spook it higher. It usually works for like 15 seconds while people think they are running ahead, then they get whacked and he is not there. If he really wanted to buy that many, would he just put in a bid as opposed to try to take them and not risk frontrunning?

The thing that really drives me nuts is the amount of bids and offers that disappear and never trade like one poster said. I will watch AAPL get bid up and right back to my bid after I bid with limit, then up again and nothing trades and many times I never get filled. Like a cat and mouse game all day. Drives me crazy. These must be computer generated, no?
 
I have tried the trailing orders and they do not work either. They still fill me 2-3 up to 10 cents out of the cuurent level II posts. My trading system is set up with the fastest possible business internet access available. I don't think it's a delay from me to where my order alitmately goes, but i'll check with my technical support.

Unless someone is sending there order and taking all the liquidity before me, then i beleive it's the flash order that is the problem. I really looks like some sort of algorithym see's my order coming in and drops all of the it's "liquidity". I've just seen it happen too often and with way too much liquidity to have been removed before me so quickly (and on mutiple ECN's).

Thanks
 
As far as I can tell it must be the flash order that is used to pull the rest.

Can it be done without flash orders whereby the first 100 shares hit can be used to trigger the pulling of the rest?
 
I've begun trading different oversea markets/exchanges & eventually plan to stop trading US crap & tell these thieves/con-artists along with the US exchanges/SEC to go scratch each other's balls.

This american "trading" bs is ugly. Not a level playing field at all.
 
I don't trade equities regularly so maybe some of you guys could enlighten me.

When I do place the odd buy or sell for a stock, it's very common that I can place a limit order to buy at the offer (or sell at the bid) without being filled, until "something" changes or I go outside the spread. Likewise, when posting a higher bid or lower offer, the order doesn't just show up as the new best bid/offer like it would on Globex.

I always thought this was just regular behavior in stocks, because the MM/Specialist controls which orders are displayed, and moreover can choose to fill you or not (or for a market order, can choose to fill you at whatever price he wants) based on the overall order flow - even if you match his price, so long as he's "maintaining a fair and orderly market." Am I wrong on this?

Either way, it's just one more reason to trade futures...
 
Quote from pacific7:

I have tried the trailing orders and they do not work either. They still fill me 2-3 up to 10 cents out of the cuurent level II posts. My trading system is set up with the fastest possible business internet access available. I don't think it's a delay from me to where my order alitmately goes, but i'll check with my technical support.

Unless someone is sending there order and taking all the liquidity before me, then i beleive it's the flash order that is the problem. I really looks like some sort of algorithym see's my order coming in and drops all of the it's "liquidity". I've just seen it happen too often and with way too much liquidity to have been removed before me so quickly (and on mutiple ECN's).

Thanks
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:D You read where I was going - the trailing orders should not be affected...unless you are being front run against!

-gastropod
 
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