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Navinder Sarao's SNAP order


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Navinder Sarao's SNAP order

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  #1 (permalink)
Pahang Malaysia
 
 
Posts: 33 since Jul 2015

I would like to ask about Navinder Sarao's trading tactics that got him jailed for beating the HFT manipulators at their own game.

I refer to this material at Zerohedge @ Why Nav Sarao Had To Be Destroyed: He Found A Way To Beat The HFTs At Their Own Game | Zero Hedge and this pdf of Sarao's email to the FCA at Businessweek @ https://images.businessweek.com/bloomberg/pdfs/CFTC-Sarao-filing-emails.pdf and I keep reading how he managed to get his orders 100% filled and I am still clueless how he actually did it successfully.

I am thinking, that if everyone (be it institutions or retailers) knows about this SNAP type of order execution and start using them for execution, that would affect the HFT manipulation negatively and demotivate them to game the system and probably reduce manipulation significantly if not eliminate it altogether. What's your opinion?

Nevertheless, how does Sarao's SNAP orders really work? Does anyone know?

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  #4 (permalink)
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Posts: 33 since Jul 2015


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  #5 (permalink)
Pahang Malaysia
 
 
Posts: 33 since Jul 2015

Revisiting this thread...

Referring to ZH's article @ Why Nav Sarao Had To Be Destroyed: He Found A Way To Beat The HFTs At Their Own Game, I quote Sarao's 3 functions to beat HFT's manipulation.


Quoting 
JOIN : These are pending orders that will be joined anywhere requested along the order book and become active when the price changed. Remarkably, these orders were still subject to the insider trading I describe above, even when they are as small as a 50 lot!

SNAP : These are orders that are the same as JOIN but at the market best price so that they become traded almost immediately. I also have a function that lets you put in a minimum quantity so that the buy/sell SNAP order only becomes active when there is a minimum of that number of contracts on the offer/bid. This worked rather beautifully when the mass manipulator of the e-mini sp was doing his normal manipulative activity at price 1800,00 on Friday 24th January circa 12.23pm. The fake bids he had placed were being removed too quickly for me to hit If I had put a snap for 700 with 0 as minimum volume it would not have been filled because as soon the bid was more than 1 lot big the 700 would have been active. With my 699 then resting the normal forms of manipulation that occur on 100% of my orders EXCLUSIVELY would then have preceded to follow. So i put a 700 lot SNAP with a minimum volume of 6OO, et voila I got my full 700.

ICE : The iceberg function on the CME isn't adequate for me, I hardly ever use it because it puts me at the back of the queue all the time. Hence, 2,000 needs to trade to get me out of 800 lots for example, My iceberg function is placed at a price and as soon as it is bid/offered at the price the iceberg will take all contracts at the price up to and including the number of my order. Again, there is a minimum volume box, so for example I can put 50 into it and put a sell ICE of 1,000 and then at that price every time the bid is more than 50, the ICE wilt take all contracts out until 1,000 is traded. This is a good way of catching spoofers, and et voila I can trade 1.000 lots at one price (following on from the above example).

Correct me if I am wrong, but if I understand correctly his orders are marketable limit orders/stop orders that will only be executed when the DOM is within minimum set, no?

In other words, if an order is put out to buy/sell the ES at 2,100 for 1,000 contracts with 50 minimum, the order will not be executed unless the best offer/bid is at 2,100 and the DOM (limit orders from others) at 2,100 is at least 50 contracts. The order will execute to buy/sell 50 or more contracts continuously until the whole 1,000 is filled. And if the DOM at 2,100 is less than 50 contracts (say 49 contracts only), the order will not be executed.

Am I right?

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August 11, 2015


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