Mysterious Algorithm Was 4% of Trading Activity Last Week

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Mysterious Algorithm Was 4% of Trading Activity Last Week (http://www.cnbc.com/id/49333454)
A single mysterious computer program that placed orders — and then subsequently canceled them — made up 4 percent of all quote traffic in the U.S. stock market last week, according to the top tracker of high-frequency trading (http://www.cnbc.com/id/15837548/?cid=187385&High_Frequency_Trading) activity. The motive of the algorithm is still unclear.

The program placed orders in 25-millisecond bursts involving about 500 stocks, according to Nanex, a market data firm. The algorithm never executed a single trade, and it abruptly ended at about 10:30 a.m. ET Friday.


“Just goes to show you how just one person can have such an outsized impact on the market,” said Eric Hunsader (http://www.cnbc.com/id/49216434/), head of Nanex (http://nanex.net/) and the No. 1 detector of trading anomalies watching Wall Street today. “Exchanges are just not monitoring it.”

Kranar, are you mucking with the stock market again?

[Archigeek]

Maybe we should copy this from the Europeans:

http://news.yahoo.com/eleven-euro-states-back-financial-transaction-tax-142228013--finance.html

[Latrinsorm]

So the self-proclaimed no. 1 detector of trading anomalies has discovered this mysterious, anonymous trading anomaly. Am I a cynical bastige or is one of the following the most likely explanation: (1) he made it up (2) he did it himself.

[Showal]

So the self-proclaimed no. 1 detector of trading anomalies has discovered this mysterious, anonymous trading anomaly. Am I a cynical bastige or is one of the following the most likely explanation: (1) he made it up (2) he did it himself.

Makes we want to get nxcore for my computer since its developed by the number 1 detector!

[Bobmuhthol]

Tobin tax is stupid. Nanex might not be an impressive company but HFT is very real, so the story isn't made up. It's also not, by itself, a big deal.

[Kranar]

These guys have no idea whether it was one algo or a dozen of them. They also likely have no idea whether it was even one firm. A lot of firms route back and forth among each other.

[Archigeek]

I like the transaction tax idea. Tell me what's stupid about it? What do micro-transactions add to the economy?

[Back]

I like the transaction tax idea. Tell me what's stupid about it? What do micro-transactions add to the economy?

I agree with the tax also. Just like any purchase. The money can go to regulating the financial institutions.

[Androidpk]

The money can go to regulating the financial institutions.

:lol:

[Kranar]

I don't see the rationale behind a tax. If someone wants to argue there is something wrong about HFT, then it should be made illegal, not taxed. Whenever I hear the tax argument it basically boils down to people desperately thinking that HFT is somehow wrong, immoral, it's ruining the economy, but they don't know how or why. It's like this desperation, they feel in their gut that HFT must be bad but they can't outright ban it because that would require actually presenting a justification for something most people don't even understand. So the next best thing to just banning it is to tax it. There is a general fear of computers that has always existed in virtually all fields where people have felt threatened that their job would be lost to a machine. It's an understandable fear, yes, but look push come to shove there's no point fighting against it. You either adapt to technology and learn how to make use of it, or you go extinct trying to fight it.

If someone has a good argument to make that HFT is actually harmful, then the argument should be presented and if it's valid HFT should be banned, not taxed. Aside from the fact that HFT really is a buzz-word with no well defined meaning, automated trading systems are a neutral tool that are absolutely used for market manipulation, as well as used to keep stock prices properly correlated and increase liquidity. In addition to that they're also used as a tool for people to trade without needing to justify what kind of charitable economic contribution they're making. A lot of participants on the stock market aren't trying to be charitable and doing it for the greater good of the world, they're doing it as a job to make money and as long as what they're doing is legal and properly reported they don't need to explain themselves. There are laws against market manipulation, regardless of whether it's done by a computer or a human, I would say the better strategy is to begin enforcing those laws because the enforcement right now is an absolute joke. But that simply is not going to happen anytime soon, and quite honestly, this tax that keeps getting brought up also won't ever pass. It will continue to be something 'studied' and considered by the SEC and politicians anytime HFT hits the news again and then things will quiet down. The major financial institutions who used to be against automated trading have all in recent years come to embrace it and now make significant use of it and they're not going to let a tax get in their way.

[Bobmuhthol]

I like the transaction tax idea. Tell me what's stupid about it? What do micro-transactions add to the economy?I don't give a shit what micro-transactions do or don't do to the economy. Adding a tax on transactions is a market friction, and thus an inherent inefficiency. Transaction costs suck dicks, so adding one that doesn't need to be added sure sounds annoying.

[FNLN]

Heh, my first thought went to this (http://shadowrun.wikia.com/wiki/Nanosecond_Buyout).