Mysterious program responsible for measurable % of all trades last week

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H/T KitmanTV

From CNBC:

Mysterious Algorithm Was 4% of Trading Activity Last Week

Published: Monday, 8 Oct 2012 | 4:27 PM ET

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By: John Melloy
Executive Producer, Fast Money & Halftime

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 tradingactivity. 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, head of Nanex and the No. 1 detector of trading anomalies watching Wall Street today. “Exchanges are just not monitoring it.”

Hunsader’s sonar picked up that this was a single high-frequency trader after seeing the program’s pattern (200 fake quotes, then 400, then 1,000) repeated over and over. Also, it was being routed from the same place, the Nasdaq

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Oh Hold on a minute! MYSTERY SOLVED! Right here at Vlad Tepes! Go figure!

 

About Eeyore

Canadian artist and counter-jihad and freedom of speech activist as well as devout Schrödinger's catholic

6 Replies to “Mysterious program responsible for measurable % of all trades last week”

  1. The term “algorithm” gets under my skin a tad… SURE, you can technically boil it down to binary logic, but that’s not the intuition in which it was constructed.
    No one says a DOS attack is an “algorithm”
    No one says doing laundry is an requires an “algorithm”, unless you’re OCD.

  3. It also scares people unfortunately.
    What scares me is that I “sophisticated” words in fields of study outside of my skills will be used, and they will have a greater effect on me because I’m ignorant of the field.
    /tone:not-angry

  4. Good one VladTepes. I had listened to it when you had first put it out. It’s worth listening to again.
    Something is definitely up. The enemy will not go down quietly.

  5. I think it’s fair to say it’s a hacked trading script (you could say routine or program) causing a DoS attack which uses an algorithm, in fact probably a few of them. Am a bit stunned they don’t have security in place to stop them, even block them before they have any effect.

  6. Defense is always playing catch up with the attackers, this is why defense alone can’t win wars. These attacks, if they ever succeed, will cause chaos around the world but I really doubt the results will be what the attackers want.

    Remember we have to get lucky all the time, they only have to get lucky once.