Is Spoofing alive and well? | Traders Hideout - futures trading strategies, market news, trading charts and platforms

Traders Hideout

Discuss day trading practices and futures trading strategies on this forum for all markets. This forum is also for discussing and reviews for brokers, data feeds, and commercial or third party add-ons


Is Spoofing alive and well?

  #12 (permalink)

Super Moderator
London UK
Trading Experience: Beginner
Platform: CQG
Broker/Data: S5
Favorite Futures: Futures
xplorer's Avatar
Posts: 4,819 since Sep 2015
Thanks: 11,864 given, 10,515 received

artemiso View Post
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.

Thanks artemiso. Surprising and worrying at the same time.

Likely not a platform issue as I have two different platforms and the book looks identical on both.

But both platforms get book updates via a CQG feed (two separate accounts).

Would you be able to share a future video snapshot of the book from your end, so that I could compare it with mine and provide them both to CQG with a request for explanation?

Reply With Quote