Quote from WinstonTJ:
Iâm not sure I follow. Layering is bad I agree but the way you say âall that layering/quote stuffing thingyâ seems like you are still lumping them both in together and donât understand the difference.
Let me rephrase, I do think both are bad for the market. Layering is market manipulation and is illlegal. Quote stuffing is a threat to the market structure and therefore it
should be illegal. On these two points it seems we agree.
Quote from WinstonTJ:
I donât think Quote Stuffing is a legit complaint â I think itâs just a complaint made up by people with outdated or inferior hardware who canât handle true market data feeds.
You'll always have people whining and blaming others for their failures. We know who they are so let's focus on the real problems here:
Quote from WinstonTJ:
As I said earlier, Quote Stuffing is described similarly to a DOS Attack and therefore I agree that in concept it is a serious threat to the market â only in that it is vulnerable.
Right, the threat to the market structure is the point of focus.
Quote from WinstonTJ:
I personally think the âNanex guysâ love all the attention... Iâve requested a trial/demo of their product via email. Iâd love to be proven wrong but ... but Iâll wait and talk to them before I start alleging things like that.
While these are legit suspicions/concerns I'll leave the opinion part aside from the discussion.
Quote from WinstonTJ:
These pages have been all over the internet since some clown at Zero Hedge misinterpreted them and posted them on a blog. Again, all those pretty pictures show is historical tick data, charted to look pretty. ... those pretty pictures onât demonstrate Quote Stuffing or Layering, they may show someone walking up/down the price of a stock but there is nothing provided to show any type of Quote Stuffing or Layering.
The charts posted show the finger prints of quote stuffing algos. They are displayed in the most convenient form, a chart of historical bid/ask action. I don't find them particularly pretty but that's just me.
You say it may only show someone walking up/down the price. Fair enough.
So is walking up/down or just flashing at a fixed price
47,000 times in 11 secs in BPOP or 3,000/s in APOL or 2,500/s in SPAR or 15,000/s in XLF (yes you read that well) just enough to be considered quote stuffing? unequivocally, yes.
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Finally regarding times stamps, the problem is that when CQS is overloaded (quote stuffing?), it lags and disseminates lagging data tot he public, but you don't realize that since it is time stamped upon dissemination not as it enters the queue. Naturally if you pay the price and subscribe to Openbook you get the privilege to have a perfectly non lagging data.During the Flashcrash,
the CQS delay vs the Openbook feed went as high as 24 seconds in General Electric.... . But I was shocked to see that this CQS/Openbook delay happens on regular days as well, giving an UNFAIR advantage to Openbook clients for latency arbitrage opportunities. Unfair as every participant should have the same NBBO. Here is the best part, there is a
correlation between the CQS/Openbook delays and the CQS message rate.
In other words, you can overload the market with quote stuffing algos, create latency and use that for latency arb strategies. To me that should be plainly illegal and it's another reason to ban quote stuffing.
Good trading all.
