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Started:January 30th, 2011 (12:29 PM) by aquarian1 Views / Replies:40,446 / 686
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Old April 23rd, 2015, 02:24 PM   #571 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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China bubble

There are currently an estimated 70 million empty high rise apartment units in China, for example, because under the baleful influence of unlimited credit these apartments were built for asset appreciation, not occupancy. In fact, most of China’s tens of million of punters who have invested in these units have taken pains to keep them empty and spanking new; like contemporary works of art, appreciation potential can be impaired by marks and scrapes.

Needless to say, there is a huge problem when you turn rebar, concrete and wallboard into tulip bulbs. Namely, when the price mania finally stops not only do the speculators who put their savings into empty apartment units get crushed, but, more importantly, demand for new units quickly evaporates, causing an devastating contraction up and down the building supply chain.
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Yet this wasn’t an aberration or a case of one-off exuberance. The over-investment in iron ore capacity was just a mirror image of the same massive over-investment in the waterborne iron ore industry’s principal customer. That is, the Big Three miners were only attempting to stay abreast of the massive over-investment in the steel-making, steel-fabricating and steel-based construction sectors in China.
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Source
http://www.zerohedge.com/news/2015-04-23/its-mania-behold-red-chips-and-big-macs

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Old April 24th, 2015, 12:47 PM   #572 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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Flash crash trader Yahoo version

WASHINGTON/CHICAGO (Reuters) - The Briton blamed for contributing to the May 2010 Wall Street flash crash maintained frenetic relationships with a series of brokers, banks and software firms that appear to mirror his rapid-fire trading activity, U.S. court documents showed.

Navinder Singh Sarao, 36, was arrested in London on criminal charges this week, and authorities have sought to link his trades to the flash crash, when about $1 trillion was briefly wiped out from U.S. stock markets in a matter of minutes.

Sarao, who has been charged in separate civil and criminal complaints in the United States, was granted bail in London on strict conditions, including a 5 million-pound sterling ($7.5 million) bond. A lawyer for Sarao contacted by Reuters on Thursday declined to comment on whether the trader had yet been released on bail. He has said he opposes extradition to the United States for trial.

Court documents released Thursday in the civil complaint, brought by the U.S. Commodity Futures Trading Commission, show that the self-described insomniac appeared to juggle millions of dollars at a time through the global banking system between the British West Indies, the Middle East and Switzerland.

Operating his one-man shop from his parents' house in a working class London suburb miles from the financial district, Sarao became the first person to be charged with illegal activities related to the May 2010 rout in the U.S. equity market, which is dominated by far more sophisticated players.

He is accused of using an automated program to "spoof" markets by generating large sell orders that pushed down prices. He then canceled those trades and bought the contracts at the lower prices. [ID:nL1N0XJ34G]

Sarao's trading reaped him a roughly $40 million profit, authorities allege, though he showed few, if any signs of wealth. The drama has stunned Sarao's neighbors, who said he never drove a car or wore fancy clothes, though he apparently was not shy about his trading prowess.

....
Sarao also boasted to the UK's Financial Conduct Authority that he had always been quick with the computer mouse, but that he was still an old-school trader.

...
CUSTOMIZED SOFTWARE

Sarao was able to place and then cancel orders at a rapid pace through the use of software designed to do just that. The software would automatically cancel orders as the price of the S&P stock market futures index, which is based on the Standard & Poor's 500 index, shifted closer to the price where he had placed his orders. The practice would lead authorities to conclude that Sarao never had any intention to fill these orders - and instead was intent on just trying to manipulate the contract in question.

Sarao's explanation, according to the emails in the court documents, was that he "changed his mind" a lot.

.....

MOVING MONEY AROUND THE WORLD

...
Sarao was just as busy moving money around the world as he was trading. He set up two separate entities in Anguilla, International Guarantee Corporation and Security Atlantic Life Insurance Limited, according to officials on the Caribbean island. At one point, he sought a loan of $3 million from IGC, according to the court filing.

Sarao was billed 375,000 pounds sterling for helping him save 7 million pounds in tax as a result of transferring his money to the Federation of St Christopher & Nevis, by a tax consultant named Brian Harvey. Harvey was not immediately available for comment.

Later in 2012, he had $17 million in assets in an account at Hinduja Bank (Switzerland). He then proposed transferring money to the United Arab Bank Dubai, saying he was meeting with a UAB director as part of a procedure to open an account.

....

(This version of the story refiled to correct bail amount in paragraph 3, fixes name of CFTC in paragraph 5 and corrects name of S&P 500 index in paragraph 11)

(Reporting by Sarah N. Lynch and Douwe Miedema in Washington, Tom Polansek in Chicago; Additional reporting by Ann Saphir in San Francisco and Alex Smith in London; Editing by Alan Crosby and Leslie Adler)

source:
http://finance.yahoo.com/news/documents-show-flash-crash-traders-015757148.html?l=1

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Old April 24th, 2015, 01:03 PM   #573 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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Flash crash trader ZH version


source:
http://www.zerohedge.com/news/2015-04-24/why-nav-sarao-had-be-destroyed-he-found-way-beat-hfts-their-own-game
...............

My orders are 100% at risk, 100% of the time. If I want to trade 300 lots I clip 300 lots as one order, I do not trade 300 one lot trades (so that it counts as 300 orders) in order to fulfil the CME messaging policy like HFT's have to do in order to make up for their 95% of orders which are neither genuine or possibly not even tradeable. Certainly not for a guy like me who is trading from the UK and whose system is miles too slow compared to these people due to the fact my orders have to travel further than everyone else's who are trading In USA. No wonder they can manipulative (sic) on top of my orders without any risk, for even when I change my mind and decide to sell into my buy order, the manipulative orders on top of my initial buy order disappear in the 4 milliseconds It takes for my buy order to be cancelled and replaced with my sell order so that I do not trade with myself !!!!!

Second, as we first observed yesterday, the real reason Nav was picked as a scapegoat is because he threatened to expose the "mass manipulation of high frequency nerds." This was validated last night when Bloomberg reported that "the sleuth who pieced together Navinder Singh Sarao’s pattern of spoofing isn’t an FBI agent or regulator. He’s an academic whose research has taken the view that high-frequency trading is good for markets." Hence, Sarao is bad for the HFTs and should be "eliminated."

Today, we find precisely how and why Sarao was singled out: he not only exposed out the parasitic trading strategies of the real culprits behind the broken market, the massive HFT firms (such as Virtu which went public 24 hours before the Sarao charges were filed) which gave the "regulators" no choice: one of them had to be put away for good, but found a way to capitalize on the algos' stupidity, and actually make money by beating them at their own game.
As such, regulators and exchanges such as the CFTC and CME had no choice but arrest him and prevent him from trading ever again!

Here are the details from his May 29, 2014 email to a FSA regulator:

I don't like the HFT arena and have complained to the exchange numerous times about their manipulative practices, please BAN IT, Another good rule change would be to increase the maximum clip size of the market from 2,000 to 5,000 lots. This would make people more wary of putting fake orders up and down the market depth because they would be more at risk of getting hit. I have asked the exchange a few times for this, and this was then proposed, but unfortunately rejected by the other people questioned !!!!

I have traded using a basic TT for numerous years. Due to the tact that there were some individuals In the emini SP who quite remarkably seemed to know WHERE 100% OF MY ORDERS WERE RESTING, even If they were over 90% partially filled !!! and hence made a concentrated effort to manipulate around those orders so they would not get filled, I decided to pay Edge Financial to build a program for me that would help disguise my orders more effectively. Initially 1 was told that the reason these individuals knew where all my orders were was because traded so big and was as such 'the elephant in the room'. However, It is worth noting that further examination showed that their special manipulative activity occurred exactly the same if I did a 20 lot order or a 200 lot order.

In other words, precisely what we have claimed from day 1: HFTs do not provide any liquidity at all - they merely look for size orders and immediately seek to frontrun them, in the process actually soaking up market liquidity .
----------
the next bit is a bit difficult for me to understand
--------------------------------
And while the world wonders how it is that Virtu can have 6 years of trading with just one trading day loss, Sarao not only figured out how to outmanipulate the manipulators, but how to profit from it.

Here is his explanation:

I asked Edge to design 3 more functions specifically to help try and hide my orders from these people. I do not know if this can be described as HFT, to me it is just giving me the ability to have some extra functions that my base trading software (TT) does not give me and it should be noted that I only use these functions intermittently and sometimes not at all. it is called Navtrader, but it could be called anything and I was the only one who helped design it, albeit my design ideas were 100% generated from what I had already seen other traders using already in the emini SP, Please note I believe I have only had this NavTrader since the beginning of 2013 at the very earliest.



I decided that the only way I could mask my orders, was to place them as the market changed price so that they may not be seen in the 'chaos' of a price change. So I would have my orders pending to be placed as the market went from bid to offer or offer to bid.



The 3 main functions are as follows:



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 70.

Here is Nanex' Eric Hunsader showing precisely how he did it:

The Sarao vs #HFT spoofing battle captured on a Nanex chart: pic.twitter.com/rScgu6kuW2

— Eric Scott Hunsader (@nanexllc) April 24, 2015

Sarao continued:

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 1 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),



The other orders I sometimes place during the day are slightly away from the market price and move up and down as the market moves with It. This Is to catch any blips up/down in the market so that I can make a small profit as the market comes back into line (almost immediately). These orders are placed rarely and only when I believe the market Is excessively weak or strong. Again, this was inspired by other traders I could see doing the exact same thing.



I am a member of the CME.

Alas, not any more, for one simple reason: you showed the broken system that it can be beaten, and explained how.

As a result, the only response the broken system had was to put you away for good.

Good trading to everyone.
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Old April 24th, 2015, 01:33 PM   #574 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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a bit more

source:
http://www.zerohedge.com/news/2015-04-23/why-sarao-flash-crash-patsy-he-threatened-expose-mass-manipulation-high-frequency-ne
....
And the reason why nobody touched Sarao until just days before the 5 years statute of limitations following the Flash Crash had run out, is the following:

He then questioned whether CME’s actions regarding his activity meant “the mass manipulation of high frequency nerds is going to end,” according to the U.S. Department of Justice’s complaint released Tuesday.

The answer was no - just his own. And this was his fatal move:

SARAO SAID HE TOLD EXCHANGES ABOUT HFT `MANIPULATIVE PRACTICES
FLASH-CRASH TRADER SARAO URGED FCA TO BAN HIGH-FREQUENCY TRADES

More from Bloomberg:

Sarao, who goes by Nav, also said his investing style was a reaction to high-frequency traders, who he said could manipulate the market based on his orders without any repercussions. He said his software and his distance from Wall Street made his transactions “miles too slow” to compete with flash traders operating out of the U.S.



“I don’t like the HFT arena and have complained to the exchange numerous times about their manipulative practices, please BAN IT,” Sarao told the FCA in the May 2014 e-mail.

One of his letters to the UK regulator:

Which that is why Sarao became the designated patsy for what is now a market that is manipulated by rogue, parasitic algos beyond recognition: he dared to threaten the status quo.

As for the the market, it is still "mass manipulated by high frequency nerds", and will continue to be, until they themselves become the sacrificial lambs after the next historic market crash.

Good trading to everyone.
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Old April 24th, 2015, 02:48 PM   #575 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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from Bloomberg

Futures Edge on FIO

Are you a NinjaTrader user?

 
.........
On the day of the flash crash, Sarao used “layering” and “spoofing” algorithms to enter orders for thousands of futures on the Standard & Poor’s 500 Index. The orders amounted to about $200 million worth of bets that the market would fall, a trade that represented between 20 percent and 29 percent of all sell orders at the time. The orders were then replaced or modified 19,000 times before being canceled in the afternoon. None were filled, according to the affidavit.

The imbalance on the exchange due to Sarao’s orders “contributed to market conditions” that saw the derivatives contract plunge and later also the stock market, the CFTC said this week.
-----
source
Flash Crash Arrest Lays Bare Regulatory Lapses at All Levels - Bloomberg Business

Good trading to everyone.
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Old April 24th, 2015, 02:59 PM   #576 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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seems wrong

The above seems MSM hang and lynch before the trial stuff.

that "large orders that were never filled" caused a massive 150 pt drop in the S&P is ludicrous. So it is rephrased into market conditions that led to an environment more conducive to a crash. {what-blooney!}

As I recall the flash crash (the "fat fingered one") was found to be caused by a program run by a huge trading firm that was programmed to sell repeatedly without any respect to time (i.e. no pauses before a new order).

I was thinking at the time this came out - about four months after the crash - that the firm that caused it could have done it deliberately (not admitting it) and profited both ways - first short and then long - understanding that when the stopped the sell repeatedly without pause program, they cause use a buy repeatedly without pause program.

So why didn't the SEC look into who benefit enormously from the crash?

Nav didn't make any profit on the day and he didn't even use his custom program until 2013.

Good trading to everyone.
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Old April 24th, 2015, 03:07 PM   #577 (permalink)
The fun is in the numbers
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here it is - "what liars MSM hang em from the tree!" boys are

"In their report on the 2010 equity market crash, the SEC and CFTC staff found that “against a backdrop of unusually high volatility and thinning liquidity, a large fundamental trader (a mutual fund complex) initiated a sell programme to sell a total of 75,000 E-mini contracts (valued at approximately $4.1 billion) as a hedge to an existing equity position”.

“This large fundamental trader chose to execute this sell program via an automated execution algorithm (”Sell Algorithm“) that was programmed to feed orders into the June 2010 E-Mini market to target an execution rate set to 9% of the trading volume calculated over the previous minute, but without regard to price or time,” the report noted.

“On May 6, when markets were already under stress, the Sell Algorithm chosen by the large trader to only target trading volume, and neither price nor time, executed the sell program extremely rapidly in just 20 minutes.”

The fundamental trader’s sales were initially absorbed by high-frequency traders (HFTs) and other intermediaries causing a sharp rise in volume. But that fooled the sell algorithm into thinking there was more liquidity than was really the case, causing it to step up the pace of sales even further.

In effect, the large fundamental trader sold faster than the HFTs and other intermediaries could find other long-term fundamental buyers, and ended up trading against itself.

“The Sell Algorithm used by the large trader responded to the increased volume by increasing the rate at which it was feeding the orders into the market, even though orders that it already sent to the market were arguably not yet fully absorbed by fundamental buyers or cross-market arbitrageurs,” according to the report.

The SEC/CFTC study highlights the interactions between liquidity, market fragmentation, a single large bungled trade, and the responses of HFTs and other market makers."

link:
https://futures.io/trading-journals/7984-trading-38.html#post264470
September 20th, 2012, 12:17 PM

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Old June 19th, 2015, 01:43 AM   #578 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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sweden fund cuts for 80 to 30% equities

According to Bloomberg, Sweden's largest fund manager, Swedbank Robur which oversees $138 billion in assets, has slashed its equity exposure in half at some funds "to avoid being caught on the wrong side of markets once the herd realizes stocks are over-valued."

In the funds with the broadest equity mandates, Sweden’s biggest fund manager reduced its equity exposure to about 30 percent in April from 80 to 85 percent in the second half of last year, Head of Multi Asset Per Storfaelt said in a June 11 interview in Stockholm, as reported originally by Bloomberg.

http://www.zerohedge.com/news/2015-06-18/swedens-largest-fund-manager-quietly-dumping-stocks-herd-caught-selling-vortex

Good trading to everyone.
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Old July 31st, 2015, 01:12 AM   #579 (permalink)
The fun is in the numbers
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thursday

two hits
(sim)
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Good trading to everyone.
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Old September 5th, 2015, 12:24 AM   #580 (permalink)
The fun is in the numbers
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crash coming


10:23 PM 9/4/2015
big crash coming - aquarian_ian's library

Good trading to everyone.
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