What's a worthwhile daily take on the e-mini S&P 500?

[syswizard]

What's unfortunate is that spoofing is common practice.
We see it daily in the markets, complaints & Co.
Poor little lone trader taken to jail.

Yeah, luckily he only spent a few months there. Goldman Sachs, Morgan Stanley, Deutsche Bank, etc. are all crooks with massive staffs of quants and programmers. Still, Navinder was smarter than all of them as he found a glitch in the CME order book that he exploited.
All of these firms are in the pocket of the CME Group....spending millions each month on co-located servers and exchange fees.
Every day, I feel like I am trading on a mafia-controlled exchange.....LOL...and paying these exorbitant exchange fees. It's just digital version of the 1930's and 40's when the mafia controlled businesses and collected their "due fee" each week.

 

[syswizard]

He was actually warned by the CME and he ignored them. He could have walked away with $70M and instead he chose to continue to twist the Dragon’s tail. And maybe Sarao’s reported autism prevented him from appreciating how untenable his situation was if he continued - who knows.

Bone, you are absolutely right.... and there are signs that he had multiple disorders including autism, aspergers syndrome and bi-polar disease.
He kept secret the $70 million from his parents where he was living ? He didn't spend any money ? He actually bought a cheap VW and then stopped using it....and used his bicycle. I mean he could have afforded a lambo...LOL ! Something was seriously wrong with his mind.
All he could focus on was beating the algos and giving the finger to the CME and CFTC. Unbelievable ! I just wonder if they'll make a movie of this some day.

 

[tiddlywinks]

10?

Red to green green to red green to green red to red That's 4

HHHL, HHLL LHHL LHLL That's 4.

If you combine the two, that's 16!

What am I missing and/or not understanding?

FORMS of the current price bar in relation to the previous bar... I put this in your terms.

1) HHLL
2) HHHL
3) HH=L
4) =HHL
5) =HLL
6) =H=L
7) LHLL
8) LHHL
9) LH=L
10) 3 consecutive price bars... bars 2 AND 3 do not exceed H/L boundaries of bar 1.
The bar 1 H/L boundaries can remain in effect indefinitely.

HTH (happy to help).

 

[Sekiyo]

I just wonder if they'll make a movie of this some day.

PROJECT LAUNCH

Dev Patel will star in the adaptation of “Flash Crash: A Trading Savant, a Global Manhunt, and the Most Mysterious Market Crash in History.”

See-Saw Films and New Regency won the film rights to Liam Vaughan’s book, detailing the 2010 crash. Producers are See-Saw Films’ Iain Canning and Emile Sherman and Arnon Milchan of New Regency. Patel will executive produce with Simon Gillis of See-Saw as well as New Regency’s Yariv Milchan and Michael Schaefer.

Jonathan Perera is attached to write the screenplay, based on Vaughan’s book, which will be published in May. “Flash Crash” tells the story of Navinder Singh Sarao, an outsider who found a way to beat the stock market and made millions working from a bedroom in his parents’ small suburban home on the outskirts of London.

Canning and Sherman said, “Navinder Sarao’s story struck us deeply. He’s an unlikely but also complex hero who exposed the manipulations at the heart of the global financial system. We’re so pleased to be bringing it to life with our friends at New Regency, and to continue our relationship with Dev Patel after the success of ‘Lion.’”

Patel’s upcoming projects include “The Personal History of David Copperfield” and “The Green Knight

 

[Sekiyo]

FORMS of the current price bar in relation to the previous bar... I put this in your terms.

1) HHLL
2) HHHL
3) HH=L
4) =HHL
5) =HLL
6) =H=L
7) LHLL
8) LHHL
9) LH=L
10) 3 consecutive price bars... bars 2 AND 3 do not exceed H/L boundaries of bar 1.
The bar 1 H/L boundaries can remain in effect indefinitely.

HTH (happy to help).

Give us the weighted probability distribution,
Please

 

[Sekiyo]

He was actually warned by the CME and he ignored them. He could have walked away with $70M and instead he chose to continue to twist the Dragon’s tail. And maybe Sarao’s reported autism prevented him from appreciating how untenable his situation was if he continued - who knows.

In the early 2000’s - I (literally) got a couple phone calls from ICE and Eurex telling me to knock it off when I crossed trades and stacked the order book in odd ways. (They got my number from my clearing firm). And I told them that I was bored and was just playing around (a white lie). But I always stopped doing that because I knew that all trading exchanges had a vague general rule in place “to maintain an orderly market”. Which gave them quite the open hunting license. And I did not want to ruin my access to the exchange where I made my living.

He made his first million thanks to Kerviel.
Funny how little is the world.

How bedroom trader Navinder Sarao made his first millions

Here are the rules to play by :

 

[bone]

They will bag you with the big bad overarching hunting license and not necessarily specific rules. Which is why Sarao really Effed up when he was first warned by CME and chose to ignore them.

The CFTC orders that trading exchanges regulated in the US or that operate in the US based upon a CFTC “no action” letter maintain an orderly market.

CFTC Rules that Sarao agreed to when he opened his futures account and started trading on the CME:

“C) If the Person does not have its principal place of business in Chicago, Illinois, consent to the jurisdiction of the federal and state courts in Chicago, Illinois, in any action or proceeding brought by the Exchange;
(ii) If the Person is admitted as a non-U.S. Member, enter into a written agency agreement appointing a third party as its U.S. agent“

308. Prohibited Conduct.

o) Enter into a transaction on the Trading System which is not competitively executed on the Trading System except in compliance with the conditions and procedures under which such transactions may be permitted under the Rules; or
(p) Engage in conduct or practices inconsistent with just and equitable principles of trade or conduct or practices detrimental to the best interests of the Exchange.

615. Member Responsibility Actions.
(a) The Exchange may summarily suspend any Member or take other summary action against a Member if the Exchange reasonably believes that such immediate action is necessary to protect the best interests of the marketplace.

Here are the rules to play by :
View attachment 231091

 

[syswizard]

CFTC Rules that Sarao agreed to when he opened his futures account and started trading on the CME:

Yeah, but the rules are mute when no one else is in compliance.
The huge question remaining (and this should be for the movies).....
would Nav have stopped the spoofing and shut-down his algo if the other big players were forced to stop spoofing by the CME and CFTC ?
WOW, THAT IS A HUGE ONE !! Only Nav knows.
Trip to England, anyone ?

 

[bone]

Yeah, but the rules are mute when no one else is in compliance.

Really? That’s not a very effective defense in US Courts. Doesn’t work for insider trading and doesn’t work for speeding tickets.

In 2019 the SEC brought 526 stand alone insider trading cases. I’m sure that there are thousands of people engaging in insider trading every year but it won’t help these 526 plaintiffs in Federal Court.

 

[syswizard]

Yeah Bone, but this so much highlights how much the HFT firms, Goldman, JP Morgan, Morgan Stanley, etc. were in bed with Terry Duffy and the CME. They were "untouchable".
What great justice in the financial markets we have....LOL !
This just highlights how much we retailers and Nav were "nothing" to the CME.