The Flash Crash by Liam Vaughan

[VEGASDESERT]

arbs are spoofs and you can move the sp very easily a tick or 2. here is how you spoof.
you sell the mkt during a quiet period i.e. no reports and relatively normal day. you place a buy limit below your sell a 3 ticks. you then place a large buy limit 5 ticks below that and wait a few seconds. then you move that large order up to 2 ticks below your actual buy limit..then every second or 2 u move the large buy limit lower a tick then up a tick then lower a tick. the algos will be figuring out how to get that liquidity by moving the mkt lower. you aroused their interest. they will come down and investigate. as they do this they will fill your initial buy limit to offset your sell. then you cancel your big order that was used to get tje algos to move lower. HE WAS DOING THIS MANUALLY. but they got too fast n started picking him off. hft does the exact same thing all the time using cancels to thin the book then they spike it. he programmed his system to move n cancel quickly.
You can do this yourself with 1 lots and 5 lots in the overnight mkt if u want to see how it works. but dont cancel your 5 lot after getting filled. just move it lower so ur not spoofing. this is also why u will see huge spikes at times. you can get those algos interested very very easily. they are so smart they are dumb.

Why would an algo try to pick off the "fake" large order? Then they are short size
in your example. Then what?

 

[jordi742]

there are 200 lots done all the time and held

yeah, I suppose you're one of them

 

[schizo]

The new book Flash Crash by Liam Vaughan tells the story of an extraordinary trader, Nav Sarao, who outsmarted the HFT firms at their own game, so they had him destroyed. Its also the story of clueless lawmakers and large profitable HFT firms abusing their dominant position to spoof regulators into falsely blaming a modern-day boy plunger for the Flash Crash and eliminating him as their competitor. After the GFC, over-excited lawmakers somehow figured that moving a market up and down a few ticks was a serious crime and decided to outlaw spoofing in futures markets. “it was as if bluffing had been outlawed in poker”

I liked that the book paints a definite picture of Nav’s personality and skills. He was a socially awkward computer gamer that through hard work and focus became an extraordinary trader. He had superb memory, hyper focus and high confidence that enabled him to make huge profits taking mega sized bets and without protective stop loss orders! He made a fortune as a point and click trader before he even started using algorithms like his competition, the HFT firms. He complained to the Exchange about spoofing by them, but he was ignored so he designed his own algorithms to join in the game. The regulators acted like the hired muscle of the HTF firms and put him in jail for it.

I would have liked the book more with finer details about Nav’s trading; more over to see his screen recordings that the regulators obtained. I look forward to Nav’s autobiography akin to Reminiscences of a Stock Operator about the original boy plunger. Meanwhile, I won’t hold my breath waiting for the regulators to investigate the obscene profits made by the large banks and HFT firms.

Simply put, CME is an embarrassment.

 

[tradingismybusiness]

Why would an algo try to pick off the "fake" large order? Then they are short size
in your example. Then what?

because they have long and short inventory unlike you and I who are short or long and they are always Liquidity seeking

 

[tradingismybusiness]

dont forget they are also aggressive and if they do get a sizeable position in the short term they can force the mkt lower no one said just because they chase my limits that if it got filled they wouldnt push it lower immediately all they need is a tick. they arent trading this stuff in positions and longs lengths of time. its hft.

 

[tradingismybusiness]

dont forget they are also aggressive and if they do get a sizeable position in the short term they can force the mkt lower no one said just because they chase my limits that if it got filled they wouldnt push it lower immediately all they need is a tick. they arent trading this stuff in positions and longs lengths of time. its hft.

unlimited margin and if you push it down far other sellers jump in after n ur buying back. they are always selling when ur buying etc. so its always the opposite of what you think

 

[SunTrader]

arbs are spoofs and you can move the sp very easily a tick or 2. here is how you spoof..

Very old Steve Martin routine:

You can be a millionaire...and never pay taxes!

First, get a million dollars.
Now, you say, "Steve what do I say to the tax man when he comes to my door and says, 'You have never paid taxes'?
Two simple words. Two simple words in the English language. "I forgot!"

Yea joke doesn't stand the test of times.

But in the same vein you are saying .... you can spoof S&P futures market easy. First get a very large trading account ............... duh.

Then place large size bids/offers and pull em, reverse them, then remove them altogether.

Really. Never would have thought that. Wow thanks for clarifying that.

 

[Michael R]

Have you finished reading the book? Does it contain trading insights or is it just an entertaining story?

Its not a trading tutorial. More of a story. However, it does define spoofing in detail and how Nav did that.

 

[Michael R]

arbs are spoofs and you can move the sp very easily a tick or 2. here is how you spoof.
you sell the mkt during a quiet period i.e. no reports and relatively normal day. you place a buy limit below your sell a 3 ticks. you then place a large buy limit 5 ticks below that and wait a few seconds. then you move that large order up to 2 ticks below your actual buy limit..then every second or 2 u move the large buy limit lower a tick then up a tick then lower a tick. the algos will be figuring out how to get that liquidity by moving the mkt lower. you aroused their interest. they will come down and investigate. as they do this they will fill your initial buy limit to offset your sell. then you cancel your big order that was used to get tje algos to move lower. HE WAS DOING THIS MANUALLY. but they got too fast n started picking him off. hft does the exact same thing all the time using cancels to thin the book then they spike it. he programmed his system to move n cancel quickly.
You can do this yourself with 1 lots and 5 lots in the overnight mkt if u want to see how it works. but dont cancel your 5 lot after getting filled. just move it lower so ur not spoofing. this is also why u will see huge spikes at times. you can get those algos interested very very easily. they are so smart they are dumb.

As book goes, this is illegal and you can go to jail for it, so dont try it yourself!

 

[Michael R]

How is it possible to spoof a market like S&P futures?

An arbed, massive market like that is spoofable? That sounds crazy to me but
what do i know. I'm actually stunned that thats even a thing with sp futures.

Spoofing, flashing and pulling large orders happens in every market all the time, even the thick ones. Just watch the ladders and you'll see it yourself.