Stockmartket Trading 

Wild High Frequency Trading Algo Destroys eMini Futures

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More graphes and details below:

One of the scariest high regularity trading algos ran in the digital S&P 500 futures (eMini) agreement on January 14, 2008 starting at 2:01:11 Eastern. During its 7 2nd power, there mored than 7,000 professions (52,000 contracts), and also the cost at some point oscillated within nanoseconds, the equivalent of about 400 points in the Dow Jones Industrial Standard!

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28 Thoughts to “Wild High Frequency Trading Algo Destroys eMini Futures”

  1. kastin83

    Munch! munch!…….. secret affiliate account stops for lunch.

    1. Salim Brim

      +kastin83 Stop eating snake.

  2. Drago Indjic

    and I found watching deterministic chaos simulations in 1980s fun?! This is even more so – and far more important in the society. Btw kudos to Cantab Capital who showed me this episode back in 2009

  3. Eddie Amaya

    whoare they trading against if this happens in between the “real” time us traders experience , who is selling or buying their orders ? i cant wrap my head around this , if the market according to our eyes still ticks along just fine and this doesnt really affect us then why does it matter? Correct me if im wrong but if price fluctuated that much in 7 seconds does that mean that every possible order in that range was filled ?  

    1. Salim Brim

      +Eddie Amaya Someone with a large amount of money is trying to collect as many commissions as possible. They buy and sell to execute as many orders as possible. There is an agglomeration of orders in that region and someone is eager to execute them.

  4. PythonWarrior

    can smbdy explain me how to read this ? I guess on the y scale we have number of  bids/asks and the histogram is the volume 

    1. Salim Brim

      +MrEatmy I think it’s tick asks with their volume.

  5. Roger Gartner

    It would have been nice to see the 7 seconds at the actual speed at the end of the video, so people would realize how crazy the markets have become and how fast their pension funds are being basically robbed for millions, not by masked criminals with guns but criminals using the speed of light, were guns or mask aren’t even needed.

  6. RACE ISNT COLOR

    Is the NBBO crossing here?,
     by10 pts?  No right?

  7. RACE ISNT COLOR

    Who or what is driving the price higher here?  Algo wars to determine direction, right?
    I’m assuming ths is what happens when several market makers are aggressively competing, right?
    If so, fucking epic bot war.

  8. RACE ISNT COLOR

    OR, is were prices being incorrectly displayed to various exchanges?  Some recieving data saying prices are diving, and other getting data that prices are surging?  Do you know if there was “delayed” or erroneous data during this algo frenzy?

  9. RACE ISNT COLOR

    glorious glorious panic wins the day 😀

  10. José Carlito de Oliveira Filho

    this video was published long time ago, but if anyone or mr. Eric could correct me if im wrong…
    You dont show the limit order book there but if those oscilations were caused by market orders and not by the market maker, than you can tell that the algo witch sent the orders lost a lot of money write? buying highs selling lows?

    1. Salim Brim

      +Jay Murphy The extent of these oscillations and their volume do not suggest that someone is trying to profit from mis-pricing. Rather, they suggest that someone with a large amount of money is trying to collect as many commissions as possible.

    2. José Carlito de Oliveira Filho

      I had similar results backtesting mean diverging strategies. It seems to me a poorly controlled risk management for the agressor side and a nice spread control for the market maker. The only doubt I had was that market makers usually keep constant spread with constant balanced trade volume rate. At this example however a constant agression rate made the spread increase even without a imbalance. In my experience with high competition market makers the spread would never get so big cause a second maker that didnt trade could keep its spread low as long as the trade balance remains constant.

    3. Salim Brim

      +José Carlito de Oliveira Filho It’s an HFT strategy called liquidity hunt. It happens almost all the time in any market. It’s very profitable for the Algo but not for the slow traders. They always get trapped. It looks this way because of the lack of liquidity.

  11. Louis Hibbs

    PPT runs a bullish version…

  12. nicolas jacobs

    some of u would not be finding this fun if it were your money…..

  13. Josue Moraes

    looks like a cardiogram 🙂

  14. Kecap Manis

    The increasing swing amplitude feels a bit like feedback distortion on guitar amplifier.

  15. lcy10311

    I don’t understand how the trader can send his order so quickly from his machine to the center. I don’t know if there is any broker supporting this type of HFT. Another problem is the order filling.  It may be a simulation instead of real money trading.

    1. EricHunsader

      +lcy10311 It was a real thing that happened – the data is in the CME time and sales for anyone to reproduce. More charts here: http://www.nanex.net/aqck2/4149.html There was an article in Chicago Crain’s business on the algo it I believe.

    2. lcy10311

      +EricHunsader Thank you for reply my so quickly. The trader must be an institution instead of a retail trader. The instution trader can setup their trading env. next door to the center. I have a HFT strategy trading the same emini. I tried both Tradestation and IB. The order filling is the killing issue.  Mosttime, bad order got filled,  and good order got unfilled. I am looking for a broker which is near to the center, and provide HFT to retailers.  Thank you. Have a nice weekend!

    3. Salim Brim

      +lcy10311 It’s an HFT strategy called liquidity hunt. It happens almost all the time in any market. It’s very profitable for the Algo but not for the slow traders. They always get trapped. It looks this way because of the lack of liquidity.

  16. Salim Brim

    It’s an HFT strategy called liquidity hunt. It happens almost all the time in any market. It’s very profitable for the Algo but not for the slow traders. They always get trapped and spoofed. This is how this strategy looks like in markets that are not liquid.

  17. James S

    This happened to me once. Well, sort of. All of my bids and offers disappeared. I thought “that’s odd”. Then looked at my p/l and all of my bids and offers had been simultaneously filled (on a FTSE cash close) …… I won’t say what I made on it, but given I have balls the size of peas, not nearly as much as I’d like to say!!!

  18. glee

    from 1mn to 5mn : is that 2 little iceberg algo who are fighting ??

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