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CME Rule 575

  #24 (permalink)

Taipei, Taiwan
 
Trading Experience: Intermediate
Platform: Custom
Broker/Data: IB/IQFeed
Favorite Futures: HG
 
Posts: 30 since Jul 2014
Thanks: 21 given, 24 received

Rule 575 in effect yet?

I've just began to study real time quote, in this case for hg. Just today 10/14,2014, I am still seeing something like this.

Q,QHGZ14,3.0450,1,02:25:07.809,113,6197,3.0450,1,3.0455,4,3.0415,3.0475,3.0320,3.0405,C,01,
Q,QHGZ14,3.0450,1,02:25:07.809,113,6197,3.0445,11,3.0455,4,3.0415,3.0475,3.0320,3.0405,b,01,
Q,QHGZ14,3.0450,1,02:25:07.809,113,6197,3.0445,11,3.0455,5,3.0415,3.0475,3.0320,3.0405,a,01,
......
Q,QHGZ14,3.0450,1,02:25:07.809,113,6197,3.0440,11,3.0450,6,3.0415,3.0475,3.0320,3.0405,b,01,
......
Q,QHGZ14,3.0450,1,02:25:07.809,113,6197,3.0445,9,3.0450,4,3.0415,3.0475,3.0320,3.0405,a,01,

Total of 73 orders and cancellations in the same millisecond after one actual order that was executed.


So at exactly 02:25:07.809 (809/1000 seconds), someone made a market order to sell. Then in that same millisecond, 73 orders and order cancellations happened.

This is how I read it. After the one actual contract that had changed hands, there were still 11 bids to buy. In the same millisecond, all of those 11 bids were cancelled one by one (sometimes by two). Since all bids at 3.0445 were cancel, quote then shows 11 bids at next tick 3.0440. Then 6 of those bids were eventually cancelled, then were then were later placed back in so we have 11 bids at 3.0440 again. Heck, then bids at 3.0445 that were cancel mysteriously re-emerge into the system again (9 out of 11 anyway).

All of this happen so fast that human eyes can't even see. This doesn't make sense, or maybe I am not smart enough yet to figure out. How is profit generated by placing and cancelling so many orders all within one millisecond. They were cancelled so fast that there was no way that any human or computer can actually submit a market order to trade it. 73 orders and cancellations just because of one actual contract changing hand, and that's after Rule 575. If that is quote stuffing and I can't imageine what are they trying to hide?

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