May Crude spike at 8:55am CT?

[emg]

Quote from emg:

http://www.economist.com/node/21547988


ON FEBRUARY 3RD 2010, at 1.26.28 pm, an automated trading system operated by a high-frequency trader (HFT) called Infinium Capital Management malfunctioned. Over the next three seconds it entered 6,767 individual orders to buy light sweet crude oil futures on the New York Mercantile Exchange (NYMEX), which is run by the Chicago Mercantile Exchange (CME). Enough of those orders were filled to send the market jolting upwards.

from the article:

It is certainly true that HFTs are constantly sending and cancelling orders. Some of that activity may be tied to a manipulative technique called “quote-stuffing”, in which a flood of orders and cancellations causes congestion on networks and thereby a fleeting trading advantage. But the legitimate explanation for it is that marketmakers cannot afford to be static in case the market moves against them, and that in an ever-faster market HFTs have to be quicker to adjust prices.





In this case, the actual value based on the iran news probably $1 move up. With that in mind, who was making all the noise?

My guess is HFTs. Not 1 hft firm, but hundreds of them confusing the market makers on the floor and electronic.





Like I said many times, HFT will blow u away

 

[RedSun]

This is not a huge spike. When Blue Gold (sp?) had trouble, I think CL dropped like $4 or more.

With all the auto trading system and the stop order, you can run through the stops easily.

The traders who placed $108 stop order lost shirts today.

 

[heech]

Quote from RedSun:

This is not a huge spike. When Blue Gold (sp?) had trouble, I think CL dropped like $4 or more.

With all the auto trading system and the stop order, you can run through the stops easily.

The traders who placed $108 stop order lost shirts today.

CL dropped $10 in a single day last May, which caused BlueGold to lose a ton of money... but the move last year was very gradual/measured, no major falls (until panic around close as they finally broke $100).

This is totally different. A $3 move in the span of 2 minutes (with much of it in a single 1 min bar)... I don't think I saw that at ANY point last year... not during the insanity in Egypt/Libya, earthquake, or even Aug-Oct equities melt-down/up.

If you ask me, something has fundamentally changed in the markets with both the move last week and this week. Either there are new momentum-chasing HFTs out there, or (on the other side of the fence) some of the mean-reversion/market-makers have backed off the volume they'll take before moving spreads back.

 

[twofacedjoker]

Will be back under $100 in no time.

 

[rdg]

Quote from heech:

CL dropped $10 in a single day last May, which caused BlueGold to lose a ton of money... but the move last year was very gradual/measured, no major falls (until panic around close as they finally broke $100).

This is totally different. A $3 move in the span of 2 minutes (with much of it in a single 1 min bar)... I don't think I saw that at ANY point last year... not during the insanity in Egypt/Libya, earthquake, or even Aug-Oct equities melt-down/up.

If you ask me, something has fundamentally changed in the markets with both the move last week and this week. Either there are new momentum-chasing HFTs out there, or (on the other side of the fence) some of the mean-reversion/market-makers have backed off the volume they'll take before moving spreads back.

All that needs to happen now is for these moves to be true step functions. I was short into that and I still had time to cut without eating the whole range. I used to marvel at how quickly the 10 yr could find value after NFP. Now we do almost as well in CL on an unexpected headline. In a way it's really impressive.

 

[boffster]

Quote from twofacedjoker:

Will be back under $100 in no time.

Couldn't agree more. China is stockpiling. Iranian shortfall is bullshit, we've had months to prepare. Consumption is down, everyone is pumping their arse off (pun intended). I've been short since Tuesday.

 

[booked]

Quote from boffster:

Couldn't agree more. China is stockpiling. Iranian shortfall is bullshit, we've had months to prepare. Consumption is down, everyone is pumping their arse off (pun intended). I've been short since Tuesday.

lol.....of course you see all the things that are good for your position. Gotta love traders

 

[boffster]

Quote from booked:

lol.....of course you see all the things that are good for your position. Gotta love traders

Too true. Nature of the beast I guess. No doubt I'll be stopped out by Monday morning.

 

[FrankSlaughtery]

the way hft/algos/hf's/specs are talked about, on a trading site no less, by some, i think it'd be a good idea to go dress as an hft for halloween. the downside is that no one besides a trader will get it - the upside is that i would win for scariest costume if only traders showed up.

bottom line - i've never heard anyone complain re an hft or whatever if it helps them. ok, time for the trek back down the south face of the soapbox.

 

[austinp]

Quote from rwk:

People talk about what a monster the ES is, but I think CL has it beat.

ES is to CL what Rosie ODonnell is today versus Angelina Jolie in her prime.

The two of them are futures contracts, two of them are female (or at least one is) and that is where all similarities end.