German bund futures trading

German bund futures trading

Posted: SpoolfWoona Date: 09.07.2017

Curiously, in the past year it has became very clear that the asset class where the growth of HFT has been most pronounced is not in equities but in FX - perhaps linked to the tidal departure of all carbon-based FX traders all of whom it now appears were engaging in gross "chat room" mnaipulation - and to a lesser extent, options.

But one place that seemed somewhat immune from the ravages of the constant millisecond back-and-forth churn and quote stuffing known as high frequency "trading" were bonds. As the following several charts from Nanex document conclusively, HFT has now officially entered the bond trading house, in this case the German Bund treasury house: There are 1, trades representing 1, contract shown in this 30 second period of time.

The lower panel shows a count of trades each second. Note how it remains constant during each of the 3 or 4 instances. In the first and last groups, only GBL and GBM were active, while the middle group starting at 9: Ya, people get all worked up over the algo trading and, for what??

german bund futures trading

No crash, no massive selling frenzy. I must admit tho, I'm surprised nobody has figured out how to mind fuck these algos so bad that they become forced sellers and hand some very smart, very short quant a fortune in profits.

HFT firms do a great job of gutting the market from the inside out. They are the rot that spreads through the core of the tree, causing it to topple at some point in the future. The charts are not meant to "explain" anything - they are meant to show HFT activity the reasons behind it are only clear to the 20 year old math PhDs who have programmed them.

As for what the point is of churning the bid ask, especially inverted, ask the buyers of Knight Capital who bought it for pennies on the dollar after a malfunctioning algo destroyed the company after doing just this, as explained in This Is What Happens When An HFT Algo Goes Totally Berserk And Serves Knight Capital With The Bill. So, what you are saying is, that you are the financial data equivalent of a welfare queen and it's ZH's obligation and responsibility to spoon feed info to you in single syllable chunks so your tiny brain can process it, or pay someone to exsplain it to you.

Maybe you would feel more comfortable hanging out with the cartoon bears over at Minyanville. No, what I meant was folks like you are amused at details of events that mean nothing without context. I'm actually interested in making money, while you are simply whacking off to market noise.

Glad you're "interested in making money", we were all sat here thinking that wealth just happened. Let us know how that goes for you, and enjoy paying your tithe to your HFT overlords. It should be obvious that this steps way beyond the boundary of human capabilities to process and act on information. The flood and fire in the basement of the DTCC and understanding whether there are any hard records left detailing who owns what; equities, deriviatives, bonds Kinda like when they couldn't wouldn't price the Lehman CDS issued by AIG for three days after the due date.

They are the ones manufacturing the GPU's that are used to crunch the HFT's algorithms. Intel CPU's can't handle this kind of math at this speed. They are too busy coordinating the rest of the computer and scheduling tasks.

German Bund Traders - Bonds and Interest Rates Trading | futures io social trading

GPU's have become uber math co-processors and are way cheaper than special use FPGA field programmable gate array which could be programmed as DSP' digital signal processors as well as math processors.

But GPU's are GREAT at this kind of number crunching. Just look at the shortage in AMD's high end cards for the Bitcoin tards.

AMD's cards have an edge on Nvidia's cards because they focus on a different kind of number crunching which gives Bitcoin miners the edge. And this is a GAMER card. I can't imagine how much the Quadro Professional version of this would run. This is what the HFT's use Better value in scooping up used PS3's off Ebay and chaining them together. The Cell was much better at number crunching. OT, but can anyone comment on the status of the "SDR" and whether or not the BRIIC nations are still on board?

Seem to me that not just one but several currency failures are in the works. At least he was smart enough to stay in the formula department. Friggin Teller on the other hand I see a lot of complaints that the markets don't seem to make sense. With an assumed premise that they once made sense, in the days of yore, before fed manipulation. Any pricing pattern, particularly on short time scales, gets arbitraged away, so the prices just random walk.

I'll give you, that "if algos are working correctly" is a big if, but just a reminder that there is a very mainstream hypothesis that could be considered consistent with these data.

HFT doesn't make the market more efficient.

Long Bund Future | ICE

It doesn't add liquidity. HFT firms don't "make markets". In fact, the indicators of market efficiency have declined since the rise of HFT. Markets have become shallower, even as prices rise. That is the opposite of market efficiency, it is market fragility. Knight Capital and UBS for at least a decade were tied to naked short selling and destroying thousands of U. They literally helped destroy innovation in America along with millions of jobs. Here's our Cookie Policy.

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INTRoDuCiNG ReBu, THe WORLD'S FiRST RoBoT CeO May 29, 3: Bund GBL Trades and quote spread over 30 seconds of time. Bund GBL quote spread - zoomed out to 17 minutes of time. Trades in the most active Eurex Futures. Three contracts stick out - GBL, GBS and GBM.

Showing GBL, GBS and GBM. Note the constant trades per second during the 3 or 4 groups. Zooming in on 6 minutes of time. Zooming in on about 30 seconds of time. Zooming in on 4 seconds of time.

Zooming in on 1 second of time. High Frequency Trading High Frequency Trading Equity Markets Bond HFT Quote Stuffing. Printer-friendly version May 29, 3: Comment viewing options Flat list - collapsed Flat list - expanded Threaded list - collapsed Threaded list - expanded. Date - newest first Date - oldest first. Select your preferred way to display the comments and click "Save settings" to activate your changes. HedgeAccordingly May 29, 3: AccreditedEYE HedgeAccordingly May 29, 3: And with that one sentence you demonstrate that you know nothing about how HFT works.

BrosephStiglitz o2sd May 29, 8: Three ways to fuck an HFT firm: The only winning move is not to play. How about a nice game of chess? Godisanhftbot May 29, 3: Are you not entertained? Tyler Durden Godisanhftbot May 29, 3: Godisanhftbot Tyler Durden May 29, 4: We need reasoning, not reportage. Toolshed Godisanhftbot May 29, 4: Sunshine n Lollipops Toolshed May 29, 4: Godisanhftbot Toolshed May 29, 6: BrosephStiglitz Godisanhftbot May 29, 8: Godisanhftbot Godisanhftbot May 29, 9: Sweet Mother of Pete!

The Tylers have been grayed out too! You're gonna pay for that! Stoploss Godisanhftbot May 29, 4: The charts are documentation, that's all. You know, dates, symbols, time stamps, etc. Useless shit like that.. Notsobadwlad May 29, 3: Ya know what bothers me more than HFT?

Long Bund Future | ICE

My guess is that they have no clue GolfHatesMe Notsobadwlad May 29, 4: Bernoulli May 29, 3: What amazes me is that in such a world, options are still "priced" looking into the past.

Complete ignorance of what could happen in the future. Looking forward to the moment when the machines get turned off Jumbotron May 29, 3: LawsofPhysics Jumbotron May 29, 4: MrFailSauce Jumbotron May 29, 6: GPUs are great, but only if there is a linear approximation of your model.

LawsofPhysics May 29, 4: MrFailSauce May 29, 5: Godisanhftbot MrFailSauce May 29, 6: Herdee May 29, 7: Godisanhftbot Herdee May 29, 9: Godisanhftbot May 29, 9: Create new account Request new password.

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german bund futures trading

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