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Happens so seldom. I look for seasonals+ different numbers-extreme forecast. I read WSJ@ nite/late, Ancorage AK forcast [WSJ map HI=19, low 8 degrees.....DEC Record lows [-20] for the month, not a day/flash forcast LOL
ODDS of Flash CRASH?
- Thread starter REDP1800
- Start date
Happens so seldom. I look for seasonals+ different numbers-extreme forecast. I read WSJ@ nite/late, Ancorage AK forcast [WSJ map HI=19, low 8 degrees.....DEC Record lows [-20] for the month, not a day/flash forcast LOL
This is the kind of garbage that continues to plague this forum. When the market reacts to anything it must be the machines! Have you considered a career in tabloid writing?
It'd be nice to see some constructive discussion around this if you actually believe it. Otherwise this is some elementary navel gazing not worth anyone's time.
You are your own worst enemy.
Not a clue and if you think the machines haven't increased voaltility then you are plain dumb.
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One woman posted several year ago ''i'm expecting a crash like 2008-that is why i'm not [long stocks]''I told her i did not blame her. If i thought 2008 was a crash, i would learn the difference between a bear market + a crash LOL
Could you give a coherent argument why and how "machines" have increased the volatility? If anything, volatility has been lower since the "machines" took over.
Let me say this. It isn't the machines. but how the machines have exploited the terrible trade engine rules at the CME where speed takes all. Because limit orders do not have a set time to be REAL like 250 ms then they are posted and cancelled in microseconds. Machines have increased volatility by reducing the overall depth of limit orders on the book. they can cancel and replace orders in microseconds which weakens or strengthens which ever side they want to force lower or higher.. when you have a book that the first 2 or 3 levels (es) sp 500 mini.. used to be 500 lots, 800 lots, 1000 lots before reg NMS then you had some real liquidity that was not GHOST. what you have now is 50, 120, 250 on the different levels.. so in order to fill large orders you have to "spike and strike" quickly to try and get into that real depth and the HFT computers are faster than all the direct conenct algo's. There was a lawsuit about this at the cme.. anyway so you have much more volatility in shorter time frames "wobble" because now you have algo's gaming just to try and get good fills over a small amount of time.
If you believe the market is fractal.. which it certainly is! then increased limit order book volatility or price volatility in very short time frames leads large volatility on shorter time frames. Since feb 2018 the machines have been pulling limit orders (toxic/ghost liquidity) at rapid rates. The problem is that on the surface and with scholars writing papers.. it truly does look like it reduces cost and the spread..but for what quantity and what are the later effects.
look at the es.. to Get into real deep volume.. you ahve to go 2 or 3 levels the problem is you have to get to that liquidity and when you get there..microseconds.. most of it disappears and you are screwed. this is why hedge funds are struggling. When you move big it is very expensive now. I will include a couple screen shots.. not looking to debate.. i know what I know. been watching screens since 1998. TRUTH= it isn't the machines as much as it is the rules at the cme.. if limits had to stick for 250ms then all of this would be alleviated because the ghost liquidity wouldn't be ghost for 250ms. anyway It isn't the machiens as much as it is the rules at the CME and how the machines have exploited them.
If you believe the market is fractal.. which it certainly is! then increased limit order book volatility or price volatility in very short time frames leads large volatility on shorter time frames. Since feb 2018 the machines have been pulling limit orders (toxic/ghost liquidity) at rapid rates. The problem is that on the surface and with scholars writing papers.. it truly does look like it reduces cost and the spread..but for what quantity and what are the later effects.
look at the es.. to Get into real deep volume.. you ahve to go 2 or 3 levels the problem is you have to get to that liquidity and when you get there..microseconds.. most of it disappears and you are screwed. this is why hedge funds are struggling. When you move big it is very expensive now. I will include a couple screen shots.. not looking to debate.. i know what I know. been watching screens since 1998. TRUTH= it isn't the machines as much as it is the rules at the cme.. if limits had to stick for 250ms then all of this would be alleviated because the ghost liquidity wouldn't be ghost for 250ms. anyway It isn't the machiens as much as it is the rules at the CME and how the machines have exploited them.
Attachments
see in the pics.. because the first 2 or 3 levels have very little (liquidity) you have to move the market into higher liquidity.. which is farther into PRICE.. if buying at 2500 then
you might need to go to 2500.75 in order to get a bunch filled.. so yes the spread is "tighter" but the liquidty to spread tightness is terrible.. so if you need to get more contracts or shares at better prices then it increases VOLATILITY because algos and machines are constantly playing cat and mouse while all you and I see are a couple bars on a chart! there are battles being waged to get good pricing and that is what most of it is to me.
here is es . .imagine needing to buy a 1000! and a lto of pensions and hedge funds needs too and the spy etf.. so multiply 1000 x 12.50 .. thats 12.500 a tick..
if half of it is filled 4 ticks a way that is $ 500 x $ 50!= $ 25,000 dollars.. so
500= $ 25,000
250= $ 6,250
250=$ 3,125
Your estimated total slippage on a 1000 lot is = $ 34,374 just to enter the trade
now getting out is also $ 34,374
so that is a round trip slippage of $ 68,750 in slippage
add in fees.. let's just say = 2.50 Roudn turn = $ 2,500
so total is = $ 71,250 cost to do a 1,000 lot
72,500/1000= $ 72.50 per contract.. would you trade knowing it was $ 72.50 per contract?
you need 5.8 TICKS to break even in the emini sp that is pretty expensive.
on a 1 lot you and I pay about 4 bucks commish and fees.. 12.50 in 12.50 out= $ 29 bucks
or 2.3 ticks of es total.
now a 1 lot will hedge 50 x index = $ 50x 2489= $ 124,450
124,450 x 1000 (lots) = $ 124,450,000 million dollars worth of stock or spy or sp500 stock basket.. so you have 124 million under management that you need to hedge.. this is SMALL!!
but it cost 72,000 to hedge.. imagine if you had to hedge
500 million=4,000 lots = 72,500 x4= $ 290K in slippage
1billion= 8000 lots = 580,000 in slippage
10 billion= 80,000 lots = $ 5.8 million in slippage!! This is where citadel and virtu make MONEY!
there are approx 2.59 million es mini contracts in open interest (hedged) so
approximately 321 billion hedged which would be
72.50 x 2.59 millioncontracts = 187 million dollars in slippage!
anyway hopefully yu get my point.
MOST use the big sp also
if half of it is filled 4 ticks a way that is $ 500 x $ 50!= $ 25,000 dollars.. so
500= $ 25,000
250= $ 6,250
250=$ 3,125
Your estimated total slippage on a 1000 lot is = $ 34,374 just to enter the trade
now getting out is also $ 34,374
so that is a round trip slippage of $ 68,750 in slippage
add in fees.. let's just say = 2.50 Roudn turn = $ 2,500
so total is = $ 71,250 cost to do a 1,000 lot
72,500/1000= $ 72.50 per contract.. would you trade knowing it was $ 72.50 per contract?
you need 5.8 TICKS to break even in the emini sp that is pretty expensive.
on a 1 lot you and I pay about 4 bucks commish and fees.. 12.50 in 12.50 out= $ 29 bucks
or 2.3 ticks of es total.
now a 1 lot will hedge 50 x index = $ 50x 2489= $ 124,450
124,450 x 1000 (lots) = $ 124,450,000 million dollars worth of stock or spy or sp500 stock basket.. so you have 124 million under management that you need to hedge.. this is SMALL!!
but it cost 72,000 to hedge.. imagine if you had to hedge
500 million=4,000 lots = 72,500 x4= $ 290K in slippage
1billion= 8000 lots = 580,000 in slippage
10 billion= 80,000 lots = $ 5.8 million in slippage!! This is where citadel and virtu make MONEY!
there are approx 2.59 million es mini contracts in open interest (hedged) so
approximately 321 billion hedged which would be
72.50 x 2.59 millioncontracts = 187 million dollars in slippage!
anyway hopefully yu get my point.
MOST use the big sp also
REDP1800 said:
This has to be the most arrogant filler I've seen in a long time. It's the trader equivalent of "as a mother of two..." which is almost always universally followed by or said immediately after information that is completely wrong.I had prepared a line-by-line retort to your posts including the illegal nature of wash trading, the problems with the fractal market hypothesis, etc. After reading this I deleted all of it. I think I've decided to just stop replying to you trolling this forum after this one. It seems, judging by this, you only ever post or create threads to confirm your own biases rather than learn something from a community.
Forgive us, great master, for ever questioning you.