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HFT quote stuffing
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Created: by Big Mike Attachments:2

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HFT quote stuffing

  #11 (permalink)
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traderwerks View Post
4 to 1 on the ES and yes, they do fine. But your broker may have clients with low ratios so it balances out. I had a friend who was fined last year. I have never personally been fined, but I do watch my ratios.

Products have different ratios. ES is the lowest at 4:1 The CL is 25:1, grains around 50:1 , interest rates 10:1.

Help me out guys. That is a broker thing or CME thing? And 4:1 what?

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  #12 (permalink)
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MXASJ View Post
Help me out guys. That is a broker thing or CME thing? And 4:1 what?

CME thing. They adjust quarterly I believe.

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  #13 (permalink)
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traderwerks View Post
CME thing. They adjust quarterly I believe.

No I was referencing your earlier comment on messaging limits and the ratios mentioned. I'm coding things that quote and cancel/replace often (often for me at least) and it sounds like you are talking about a hard limit on CME messaging. What is the ratio in reference to?

Thanks in advance for your time.

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  #14 (permalink)
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MXASJ View Post
No I was referencing your earlier comment on messaging limits and the ratios mentioned. I'm coding things that quote and cancel/replace often (often for me at least) and it sounds like you are talking about a hard limit on CME messaging. What is the ratio in reference to?

Thanks in advance for your time.

Every Class A firm that deals with CME clearing has to stay within a certain ratio. The ratio is the messages (orders, modifies, cancels) to the volume of the trades. The CME sends a notice to your firm the day after a violation and they identify the sub account with the FIX SenderSubID field. I think they use other ways to identify your account.

Then somebody gets sent an email to pay the fine. Not really sure about that part.

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  #15 (permalink)
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I never knew that. Thank you. Did a CME Google and found some more information:

CME Globex Messaging Policy

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  #16 (permalink)
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MXASJ View Post
Did you see a pattern you can exploit?

How can your system spot that pattern in real-time?

How can your system execute to exploit that pattern in real-time?

I haven't looked at the original data and Mike's post is third hand, but this is stuff for signal analysis and pattern recognition. Look at the x-axis of those charts. It's milli or micro seconds.

Interesting, though. And no, X_Trader won't do that for you. RTD Tango could if you were really good with C++.

Move along, move along.

No, stay with me, i think we are really on to something here.

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ZeroHedge has a follow-up article on this:

Algorithmic Crop Circles Redux - Rise Of The Stock Market Machines Part 2 | zero hedge

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what kbit posted in the link to the max keiser show today

recent case of JPMorgan quote stuffing in early morning hours: (details 5-7 min in)


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