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Is Spoofing alive and well?

  #11 (permalink)

New York, NY
Trading Experience: Beginner
Platform: Vanguard 401k
Broker/Data: Yahoo Finance
Favorite Futures: Mutual funds
Posts: 1,046 since Jul 2012
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I figured it out. Either your data feed or trading platform is broken.

Your video starts either between 10:09:08.018812 to 10:09:15.132012 or 10:14:52.952962 to 10:14:54.305191 (CME timestamps).

What's happening is that the BBO level deletion actually takes place first, then the depth at the 2nd and 3rd levels update. These two events take place immediately one after another.

But your data feed or trading platform messes up and is displaying this in the reverse order, it's updating the depth at the 2nd and 3rd levels first, then it displays the level deletion. Moreover, it's updating this with significant lag between the two.

The hypotheses that this is an autospreader is definitely incorrect. There's 48,344 book changes associated to the most active 14 outrights during these 2 periods and I looked through all of them. I also looked at the 6,519 book changes on the 3 most active spreads (CLG7-CLH7, CLG7-CLJ7 and CL:C1 RB-CL G7). There's no relationship.

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