Spoofing becoming illegal

[None Business]

Must these raids happen in conditions of low liquidity, or can they hapen during pit hours too?

Are the bots knowledgeable traders? I mean, crude oil is a commodity that has real value, and if the bots push the price too far for too long they could get stuck with making or taking delivery.

Great questions.

It's impossible to attack when there is a thick stack of limit orders from other parties. The attacks always occur during "lulls" of some kind. Note the market is now much thinner than in the past- many human traders have left the business, especially at banks. So we have lulls during the proper trading day as well.

As for value, it was the banks and the big commodity hedge funds (like Clive, Centaurus) that used to step in and establish a floor of value. With them gone, the "bid" has all-but disappeared.

 

[IAS_LLC]

Great questions.

It's impossible to attack when there is a thick stack of limit orders from other parties. The attacks always occur during "lulls" of some kind. Note the market is now much thinner than in the past- many human traders have left the business, especially at banks. So we have lulls during the proper trading day as well.

As for value, it was the banks and the big commodity hedge funds (like Clive, Centaurus) that used to step in and establish a floor of value. With them gone, the "bid" has all-but disappeared.

Just to play devils advocate a bit, the size of the trades you are showing charts for are at most about 150-200 contracts, which would result in an initial margin of about 600-700k for NG and CL. Thats not THAT much for a real player who doesn't mind having a very highly leveraged position (I'm certainly not one of them... I trade 1 contract at a time...). If these really are "attacks" by people who are in bed with the CME and have the margin requirements waived, what is stopping them from doing it all day long even if the book is deep? If they have no margin requirements, they should be able to wipe out the book regardless of how thick it is?

I am enjoying your insights, keep them coming

 

[redbaron1981]

Hey IAS_LLC

I don't mean to take the limelight from None Business but I am 99% certain that these attacks are carried out in shall we call it broad daylight. I believe the reason why NB is highlighting the attacks in the illiquid times is that these attacks stand out a mile. If you check out intraday trade volumes its very difficult to find the foot print but during the illiquid times its clear to see what they are up too. There just isn't any other logic for traders to be swinging 100 lot orders around at the quietest and most illiquid times. Also what has been highlighted before is that there is no news releases that could cause these spikes around these times.

Over the years I have spent more time in Forex. In FX if there is a rumour of a touted option barrier you will see from the chart that the defence positions are accumulated and then liquidated into the option barrier defender stops. This is quite a regular occurrence that leaves lots of "pin bars" and double tops around round numbers that haven't been hit for a while. You will see that a lot of the time before a market trades up to one of these "touted barriers" price will turn around roughly 30-40 pips below the barrier. A common time for these barriers to be wiped out is before or immediately after a news release comes out which can be considered illiquid and also at the end of sessions etc.

These are my thoughts but would like to hear NB's thoughts.

 

[None Business]

Surreal, massive predatory attack in CL, in a deep lull at 6:18PM after the re-open had settled down. Market bullish (and now higher than before the attack). Everyone Long with a stop-loss was robbed of all of their contracts at a huge 50 cents of pain ($500/contract). Behold the criminals who now run the CME.

 

[jelite]

Here comes tick surveilence... the highest volume of that event was at 62.28, 106 contracts filled at the bid-3 ticks from the low. Pretty crazy.

 

[None Business]

Here comes tick surveilence... the highest volume of that event was at 62.28, 106 contracts filled at the bid-3 ticks from the low. Pretty crazy.

Thanks for the ticks. He kept digging until he found them.

 

[jelite]

Or it was him doing the buying??? Who knows, I guess it could be either him or once he encounters an opposition large enough he bails. Not sure if it's detectable to distinguish the two.

 

[None Business]

Or it was him doing the buying??? Who knows, I guess it could be either him or once he encounters an opposition large enough he bails. Not sure if it's detectable to distinguish the two.

He bought at the bottom, absolutely. He found the stops.

 

[redbaron1981]

A tick chart of this makes it even more impressive. You can almost spot the non standard foot print of the line chart due to liquidity consumption around the attack and then retuning to normal afterwards.

None Business have you noticed these antics going on with any other instrument besides the energy markets?

 

[TraDaToR]

http://www.ft.com/intl/cms/s/0/ed3c...44feabdc0.html?siteedition=intl#axzz3Lyv3JiP5