Rsj - Liffe Volume 38 Million Q1 2010

[THE-BEAKER]

Quote from electricshock:

Relax,you don't need to get stories under oath,however debatable they are.

But that particular one sounds like utter nonsense to me,I'll reiterate why.You cannot send someone an anonymous letter,threat,whatever and get a reply because the recipient doesn't know where the letter,threat,whatever came from.

That makes sense to me

When I asked if anyone had a response from LIFFE, I was really asking if someone here had first hand information about the responses/treatment they received.

i got a response.

they said ' they do not talk about individual client accounts volume '

when i said but they are advertising their own volume as shared information on the own website their response was

' are they '

when asked about their thoughts on last weeks market meltdown they said

' proabably a fat finger caused by a human trader '

an exchange in denial i think.

anyway matters took their own route and now i hear people are on the case and looking into this.

expect q2 volume to be even larger by rsj

probably will doing 60 percent on liffe and a lot more on eurex.

 

[Dogfish]

Well lets hope Rotter's high frequency outfit in Gib and RSJ enter into a showdown of the titans or battle of the bots and we can pick up the pieces

 

[electricshock]

Quote from THE-BEAKER:

i got a response.

they said ' they do not talk about individual client accounts volume '

when i said but they are advertising their own volume as shared information on the own website their response was

' are they '

when asked about their thoughts on last weeks market meltdown they said

' proabably a fat finger caused by a human trader '

an exchange in denial i think.

anyway matters took their own route and now i hear people are on the case and looking into this.

expect q2 volume to be even larger by rsj

probably will doing 60 percent on liffe and a lot more on eurex.

I guess you're fucked then,you should probably start looking for a job!

Or take a leaf out of the Dogfish book and figure a way round this thing.

 

[Dogfish]

Q2 vols out, dropped on Liffe from Q1 http://www.rsj.cz/en/

 

[jd7419]

There is no doubt in my mind that these algos trade with each other and manufacture activity at key turning points. It is impossible for the exchanges to prove anything, all the machines need are seperate accounts. The other day while trading bidu i watched 20,000 share bids and offers one penny from each other. These blocks crossed about 12 times in about ten minutes with the stock not moving. Basically if you have been trading long enough you know this shit is happening but alas can not prove it.

 

[ASusilovic]

Quote from jd7419:

There is no doubt in my mind that these algos trade with each other and manufacture activity at key turning points. It is impossible for the exchanges to prove anything, all the machines need are seperate accounts. The other day while trading bidu i watched 20,000 share bids and offers one penny from each other. These blocks crossed about 12 times in about ten minutes with the stock not moving. Basically if you have been trading long enough you know this shit is happening but alas can not prove it.

Write some simple code :

if Bidu vol > 20.000 buy / sell 40.000. The algo will understand immediately the alpha wolf in this game :=)

 

[Dogfish]

<img src="http://www.rsj.cz/images/volumeq22010.jpg">

Sort of doubling up in Eurex now and still piling into CME but dropped back in Liffe

 

[ASusilovic]

Quote from Dogfish:

<img src="http://www.rsj.cz/images/volumeq22010.jpg">

Sort of doubling up in Eurex now and still piling into CME but dropped back in Liffe

Well, thank you RSJ for providing intraday liquidity.

 

[Dogfish]

Yeah until they are called on it then they empty the book lightning quick.

Possibly why the bund has shut down on volatility stop twice in last 2 weeks

 

[THE-BEAKER]

Quote from Dogfish:

Yeah until they are called on it then they empty the book lightning quick.

Possibly why the bund has shut down on volatility stop twice in last 2 weeks

did you notice liffe stir volume.

absolutely terrible.

even though rsj volume was slightly down - liffe volume was down a load.

i stick with my original thesis backed up by the volatility interuption.

the liquidity supposedly in the order book is an illusion.

no additional or new liquidity is created.

expect more interuptions / flash crashes.

my god if there was some significant news out these markets will just shut down and relocate every 4 minutes as it cant cope with huge waves of sellers and buyers at one moment.

joke.