HFTing algos weeeeeeeeeeeeeeeeeeeee
http://dailybail.com/home/listen-to-the-stock-market-flash-crash-tick-by-tick-read-the.html
UPDATE - FINALLY - SEC Regulators send subpoenas to high-frequency traders - Reuters
Video: S&P 500 Futures Pit on May 6, 2010
Absolutely amazing. This is how Armageddon sounds.
Many of you have heard this clip before. For those of you who have not, buckle up for a ride. Audio of a S&P 500 trader quoting the action that was taking place in the futures pit in Chicago at the CME. The market lost nearly $1 trillion within minutes and then recovered most of the losses. The DJIA and S&P 500 futures fell 10% intra-day.
Video: Slightly different version and includes a chart so you can see the action
Read this from Nanex (charts at the link):
The Truth About The Flash Crash
We have obtained the Waddell & Reed (W&R) May 6, 2010 trade executions from the executing broker in the June 2010 eMini futures contract. There were 6,438 trades totalling 75,000 contracts. We matched them by time, price and size to the 147,577 trades (844,513 contracts) in the CME time and sales data between 14:32 and 14:52 (they matched exactly). One-second resolution charts of the W&R trades along with other eMini trades are shown below in various time frames.
The SEC report identified a Sell Algorithm selling 75,000 contracts as the cause of the flash crash. If the "Sell Algorithm" in the SEC report refers to the Waddell & Reed trades, then there is a problem. A big one. Looking at the trades in context with the other trades during that time, they do not appear to be significant. The W&R trades also do not occur near the ignition point (14:42:44.075) we identified earlier. Furthermore, the W&R trades are practically absent during the torrential sell-off that began at 14:44:20. The bulk of the W&R trades occurred after the market bottomed and was rocketing higher -- a point in time that the SEC report tells us the market was out of liquidity. Finally, the data makes it clear that the algorithm does take price into consideration; you can see it stops selling if the price moves down over a short period of time.
Something is very wrong here.
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Realist - Everybody in America is soft, and hates conflict. The cure for this, both in politics and social life, is the same -- hardihood. Give them raw truth.
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