Berserk HFT Algo Du Jour

Just another day in the markets, just another HFT algo going completely insane and Nanex catching it in the act.

On November 19, 2013 starting at 16:00:37 and continuing for about 15 seconds, a High Frequency Trading (HFT) algorithm was let loose in the stock of  Fifth Third Bancorp (symbol: FITB, market capitalization: $17.3 Billion, plus or minus $1 Billion). The stock price swung wildly, rapidly trading up and down in a 3-5% range many times over. Just before this algo ran, the stock traded in a 25 cent range over the entire trading day. This HFT algo sent prices up and down in a $1 range, which is 4 times larger than the entire day’s trading range.

1. FITB – Trades color coded by reporting exchange and NBBO (gray/red shading).

One or more algos were fooled into buying high and selling low.

2. FITB – Showing NBBO: red is when it was crossed (bid price > ask price), yellow when locked (bid price = ask price) and gray for normal.

Here we can clearly see the oscillations. Remember, this is spread between the best bid and ask. While the spread itself remains narrow, the prices oscillate over a 3 to 5% range in less than a second.

3. FITB – Best bids and offers color coded by reporting exchange.

4. FITB – Zooming in on the trades (circles) and NBBO over a 5 second period of time.

5. FITB – Zoom of the best bids and asks.

6. FITB – Zoom of all bids and asks.


    



via Zero Hedge http://feedproxy.google.com/~r/zerohedge/feed/~3/Ofd2gxTmAvU/story01.htm Tyler Durden

Bernanke Speaks, Spiking EURJPY And Stock Futures

Curious why both ES and EURJPY (hitting a fresh 4 year high of 135.90) just jumped as if stung by a bee? The reason, as noted earlier, is due to Bernanke who just released his prepared remarks. Key highlights from Bloomberg:

  • BERNANKE SAYS MAIN RATE MAY BE LOW WHEN JOBLESS RATE BELOW 6.5%
  • BERNANKE SAYS MAIN RATE LIKELY LOW FOR LONG TIME AFTER QE TAPER
  • BERNANKE SAYS ECONOMY `FAR’ FROM WHERE FED WANTS IT TO BE
  • BERNANKE: ‘MAY BE SOME TIME’ BEFORE POLICY AT ‘NORMAL SETTINGS’
  • BERNANKE SAYS FOMC COMMITTED TO ‘HIGHLY ACCOMMODATIVE POLICIES’
  • BERNANKE SAYS FOMC TO CONSIDER PROSPECT FOR LABOR MARKET GAINS

In short nothing new, just the usual “tapering is not tightening” mantra, the traditional attempt to misdirect from tapering, and to keep pushing the agenda that it is the stock that matters, as does forward guidance and short-term rates, and not the flow of monthly securities bluff which as the May-September period showed the market no longer buys. Good luck.

And now, back to Bernanke eating blackened chicken on a wavy craker.


    



via Zero Hedge http://feedproxy.google.com/~r/zerohedge/feed/~3/ZUxNiOMEdAQ/story01.htm Tyler Durden

Does George Zimmerman’s Fight With His Girlfriend Cast Doubt on His Acquittal?

Yesterday George Zimmerman was
charged
with aggravated assault after his girlfriend, Samantha
Scheibe, claimed he aimed a shotgun at her during a fight. Here is
part of the
911 call
that Scheibe placed at 12:30 p.m. from her home in
Apopka, Florida:

Scheibe: He’s in my house breaking all my
shit because I asked him to leave. He has a freakin’ gun, breaking
all of my stuff right now. [To Zimmerman:]
 I’m doing this again? You just broke my glass
table, you broke my sunglasses, and you put your gun in my freakin’
face and told me to get the fuck out…This is not your house. No,
get out of here. 

Dispatcher: OK, where’s his weapon at?

Scheibe: He just put it down. [To Zimmerman:]
Get out of my house. Do not push me out of my house. 

Zimmerman: I didn’t push you, Sammy.

Scheibe: Will you please get out of my
house.

Zimmerman: Calm down. 

Scheibe: Are you serious right now? Are you
fucking kidding me? [To dispatcher:] He just pushed me out of my
house and locked me out.

Zimmerman denies brandishing any weapons. He claims Scheibe was
the one who flew off the handle and broke the table. He says she
became irate when he started packing his things to move out after
she informed him that she was pregnant but wanted to raise the baby
on her own. (Scheibe says she is not pregnant.) When police
arrived, about four minutes after Scheibe called 911, they found
Zimmerman calm and unarmed.

This incident is reminiscent of a fight that Zimmerman had with
his estranged wife, Shellie, in September. She initially claimed he
had threatened her and her father with a gun but later
admitted
she never actually saw a weapon. The police concluded
there was insufficient evidence to charge Zimmerman.

People who are already convinced that Zimmerman’s shooting of
Trayvon Martin was not justified will see these two incidents as
further evidence that Zimmerman is an aggressor who is good at
playing the victim. And if he really did threaten his ex-wife or
his girlfriend with a gun, that suggests a disposition consistent
with the conclusion that he acted more out of anger than out of
fear when he shot Martin.

Still, the prosecution
did not come close
to proving that claim beyond a reasonable
doubt at Zimmerman’s trial. On the whole, the evidence indicated
that Martin started the fight and that he was on top of Zimmerman
when the shot was fired. Furthermore, Zimmerman’s injuries were
consistent with his report that Martin punched him in the face and
knocked his head against the pavement. That does not necessarily
mean Zimmerman reasonably believed shooting Martin was necessary to
prevent death or serious injury. But to win an acquittal, all the
defense had to do was make that scenario seem plausible. If it
seems a little less plausible in light of Zimmerman’s subsequent
domestic squabbles, that does not mean the jury erred. After all,
even an asshole can act in self-defense. We will never know for
sure whether Zimmerman really did, but under our system of justice
he rightly benefited from that doubt. And it should go without
saying that any crime Zimmerman might commit after his acquittal
cannot possibly make the right to stand your ground retroactively

relevant
to his defense in the earlier case. 

from Hit & Run http://reason.com/blog/2013/11/19/does-george-zimmermans-fight-with-his-gi
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Does George Zimmerman's Fight With His Girlfriend Cast Doubt on His Acquittal?

Yesterday George Zimmerman was
charged
with aggravated assault after his girlfriend, Samantha
Scheibe, claimed he aimed a shotgun at her during a fight. Here is
part of the
911 call
that Scheibe placed at 12:30 p.m. from her home in
Apopka, Florida:

Scheibe: He’s in my house breaking all my
shit because I asked him to leave. He has a freakin’ gun, breaking
all of my stuff right now. [To Zimmerman:]
 I’m doing this again? You just broke my glass
table, you broke my sunglasses, and you put your gun in my freakin’
face and told me to get the fuck out…This is not your house. No,
get out of here. 

Dispatcher: OK, where’s his weapon at?

Scheibe: He just put it down. [To Zimmerman:]
Get out of my house. Do not push me out of my house. 

Zimmerman: I didn’t push you, Sammy.

Scheibe: Will you please get out of my
house.

Zimmerman: Calm down. 

Scheibe: Are you serious right now? Are you
fucking kidding me? [To dispatcher:] He just pushed me out of my
house and locked me out.

Zimmerman denies brandishing any weapons. He claims Scheibe was
the one who flew off the handle and broke the table. He says she
became irate when he started packing his things to move out after
she informed him that she was pregnant but wanted to raise the baby
on her own. (Scheibe says she is not pregnant.) When police
arrived, about four minutes after Scheibe called 911, they found
Zimmerman calm and unarmed.

This incident is reminiscent of a fight that Zimmerman had with
his estranged wife, Shellie, in September. She initially claimed he
had threatened her and her father with a gun but later
admitted
she never actually saw a weapon. The police concluded
there was insufficient evidence to charge Zimmerman.

People who are already convinced that Zimmerman’s shooting of
Trayvon Martin was not justified will see these two incidents as
further evidence that Zimmerman is an aggressor who is good at
playing the victim. And if he really did threaten his ex-wife or
his girlfriend with a gun, that suggests a disposition consistent
with the conclusion that he acted more out of anger than out of
fear when he shot Martin.

Still, the prosecution
did not come close
to proving that claim beyond a reasonable
doubt at Zimmerman’s trial. On the whole, the evidence indicated
that Martin started the fight and that he was on top of Zimmerman
when the shot was fired. Furthermore, Zimmerman’s injuries were
consistent with his report that Martin punched him in the face and
knocked his head against the pavement. That does not necessarily
mean Zimmerman reasonably believed shooting Martin was necessary to
prevent death or serious injury. But to win an acquittal, all the
defense had to do was make that scenario seem plausible. If it
seems a little less plausible in light of Zimmerman’s subsequent
domestic squabbles, that does not mean the jury erred. After all,
even an asshole can act in self-defense. We will never know for
sure whether Zimmerman really did, but under our system of justice
he rightly benefited from that doubt. And it should go without
saying that any crime Zimmerman might commit after his acquittal
cannot possibly make the right to stand your ground retroactively

relevant
to his defense in the earlier case. 

from Hit & Run http://reason.com/blog/2013/11/19/does-george-zimmermans-fight-with-his-gi
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Freshman Florida Congressman Arrested for Cocaine Possession

Not quite as entertaining as Rob Ford. Try harder, pols!Of course he would be from
Florida! GOP Rep. Trey Randel, representing the Fort Meyers-Naples
area of Florida, was arrested in D.C. for possession of cocaine.
From
Politico
:

Rep. Trey Radel, a Florida Republican elected in 2012, will be
in court Wednesday on charges that he possessed cocaine.

Radel, 37, was charged with misdemeanor possession of cocaine in
D.C. Superior Court on Tuesday.

He faces a maximum of 180 days in jail, as well as a fine of up
to $1,000. Radel has missed all four votes in the House this
week.

He gave a statement saying he “struggles with the disease of
alcoholism” and is going to seek treatment and counseling and is
sorry for letting everybody down.

If he had been caught with cocaine in Florida, it would have
been a
felony
there, risking him jail time and loss of his voting
rights (not that either of those things would have probably
happened to him). The Washington Post
noted
that Randel is a co-sponsor of federal legislation to
reform mandatory minimum sentences for drug violations (and is a
lover of rap music).

Read the whole story (and more of Radel’s statement)
here
.

Follow this story and more at Reason
24/7
.

Spice up your blog or Website with Reason 24/7 news and
Reason articles. You can get the
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here
. If you have a story that would be of
interest to Reason’s readers please let us know by emailing the
24/7 crew at 24_7@reason.com, or tweet us stories
at 
@reason247.

from Hit & Run http://reason.com/blog/2013/11/19/freshman-florida-congressman-arrested-fo
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Guest Post: The Future Of Bitcoin Is In Asia…

Submitted by Simon Black of Sovereign Man blog,

Senator Tom Carper (Delaware) is confused about Bitcoin.

As Chairman of the Senate Committee on Homeland Security and Governmental Affairs, this is how Carper framed his opening remarks yesterday at a hearing about digital currencies– with complete, incoherent confusion.

Carper’s hearing went on for several hours as one witness after another testified about the potential evils of digital currencies. They hailed from agencies and organizations like:

  • The Homeland Security committee
  • Criminal Division of the US Attorney General’s Office
  • US Secret Service Criminal Investigative Division
  • The Financial Crimes Enforcement Network
  • The International Centre for Missing & Exploited Children

Based on the way they stacked the witness list, the message they’re sending is clear: digital currencies like Bitoin equate to crime, terrorism, and child exploitation.

But the height of absurdity in yesterday’s hearing probably came during the testimony from the Financial Crimes Enforcement Network (FinCEN), in which the agency’s chief cited the BENEFITS of digital currencies, including:

  • anonymity
  • simple, easy to navigate
  • lower fees than the conventional financial system
  • globally accessible
  • can be used as both a store of value and medium of exchange
  • security

etc.

Yet in listing all of these benefits, FinCEN’s chief was actually trying to make a case AGAINST Bitcoin! In her mind, only criminal terrorists want low-fee, secure, globally accessible money.

All of these politicians and bureaucrats can’t wait to get their arms around digital currency to regulate the hell out of it. They don’t understand it… therefore they think it’s dangerous.

Even the World Bank president (a US government-appointed stooge) weighed in on digital currencies. It’s obvious they’re all afraid.

And their entire argument begins with the deeply flawed premise that financial privacy is somehow wrong, immoral, and nefarious.

There’s no sense trying to convince them otherwise. Government’s mission is to obstruct… particularly a government in decline.

So we can expect more hearings, more regulation, more disclosures. At least, in the Land of the Free.

Over here on the other side of the world, though, they’re not afraid of Bitcoin.

Places like Hong Kong and Singapore understand that they have a role to play as preeminent international financial centers in becoming financial hubs for digital currencies.

If the US wants to shoot itself in the foot (again) and shut itself out of the market, so be it. But Asia is embracing its potential role in the marketplace, complete with all the risks and rewards.

It wasn’t but a few weeks ago that a Hong Kong-based bitcoin exchange ran off with a few million dollars of customer money. But that hasn’t cooled demand in the region… nor has it sparked a wave of debilitating regulations to clamp down on digital currencies.

What this ultimately means is that all the new businesses and intellectual capital associated with digital currencies will flock to Asia… just in the same way that all the cutting edge precious metals firms are now basing themselves in Singapore.

The US government is sharpening its steak knives in anticipation of a great digital currency roast. But they’ll find out very soon that Bitcoin has left the building… and moved on to greener, safer pastures in Asia.

This is good news, especially for second generation digital currencies and related firms like litecoin, ripple, and ven.


    



via Zero Hedge http://feedproxy.google.com/~r/zerohedge/feed/~3/wpwrBkrdwB4/story01.htm Tyler Durden

Shopping With Bernanke: Where QE Cash Ends Up Tells Us Who Benefited

One can debate whether QE has benefitted Main Street or Wall Street until one is blue in the face, even though five years later, the answer is perfectly clear to all but the staunchest Keynesians and monetarists (and if it isn’t, just pay attention to the 3:30 pm S&P ramp every day). One thing, however, that is undisputed is what the market itself says about where the QE money ends up when it is being spent by its recipients. And that story is so simple even a Keynesian would get it.

Stated briefly, luxury retailers such as Tiffany, Coach and LVMH are now up 500% since the Lehman lows, and about 30% above the prior cycle highs. On the other hand, regular retailers such as Macy’s, Kohl’s and JC Penney are barely up 100% from the crisis lows, and still more than 30% below the last bubble highs.

And that, in a nutshell, is precisely how the money from QE has been distributed.

Source: JPM


    



via Zero Hedge http://feedproxy.google.com/~r/zerohedge/feed/~3/jmiS5u3qRgg/story01.htm Tyler Durden

Behold! 3 Drones of the Near Future

Drones aren’t going away any
time soon. In fact, they’re going to be more present than ever in
our skies, seas, and on land. Some of us might even buy them for
ourselves.

As Shane Harris previous wrote for
Reason, not only is “the military is planning for a future
that relies more on drones than it does on manned planes,” but also
“the market in domestic drones [is] poised for takeoff. A drone
revolution is coming.” Below are a few pieces of unmanned
technology, some of which are already being implemented. (Others
are still at the drawing board.)

1. Unmanned Aerial (and Aquatic and Terrestrial)
Vehicles

Sandia National Laboratories are developing and testing
“multi-modal vehicles” that can fly, swim, drive, and jump. All of
these features are operated through a single interface. Concept
videos show the vehicle’s ability to drop exterior layers, such as
its wings when it hits the water and its paddles when it drives
onto land. Sandia anticipates that the Volant will provide quick,
flexible assistance to manned operations without requiring a whole
army of robots outfitted exclusively for certain situations.

The Volant’s design is not without drawbacks, though.
Wired explains
that “because it sheds parts and material as it transforms from one
mode to another, recovery is almost impossible — making every
mission an expensive one-way trip.”

2. The Rail-Launched Stealth Bat

The Bat is a drone with a
blended wing body
that makes it stealthier than conventional
designs. It also relies on a mobile hydraulic-rail launcher for
take off and a large net for recovery.Unlike larger, more
cumbersome combat drones, the Bat does not require a runway. Being
freed from the tarmac allows this drone to take off in rougher
environments.

The Bat may be small, but it is fierce. Current models comes in
10 to 12-foot wingspan, can fly 70 mph, and can carry a 3.2 cubic
foot payload. Until recently, this drone was resigned to
“intelligence, surveillance, reconnaissance, target acquisition and
communications,”
according
to Northrop Grumman, producer of the Bat. But, it was
recently outfitted with a “miniature electronic attack payload”
that makes it capable of engaging in combat.

3. Drones for Personal Use

Frog, a product strategy and design firm, is working on ways to
integrate unmanned aerial vehicles into daily activities and

transform
them into “off-body wearables.” These small
drones would be privately owned tools more akin to a flying roomba
than a war machine.

The Guardian Angel concept drone would fly along with its owner
on jogs. Guided by a signal from a heart-rate monitor, this drone
“helps you adjust your performance by providing instant feedback,”

according
to the design team. Other designs include the
“Paparazzi” drone that would film its owner for social media
purposes. Or at least that’s the idea. The company doesn’t
anticipate completing these devices until 2020. 

from Hit & Run http://reason.com/blog/2013/11/19/behold-3-drones-of-the-near-future
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Feds Back Off Louisiana Voucher Program, House to Investigate Accuracy of Jobs Reports, Rob Ford Giving Up the Hooch: P.M. Links

  • "You used to be fun, man! What happened?"The Department of Justice has
    abandoned its efforts to block
    Louisiana’s school voucher program
    , but still wants the
    authority to review and meddle with things.
  • The House Oversight committee will investigate allegations that

    unemployment reports were falsified
    in the months leading up to
    the 2012 presidential election.
  • Occasionally drunken
    Toronto Mayor Rob Ford
    says he’s giving up the booze.

  • Bitcoin’s price
    has gone on an exciting adventure over the past
    24 hours, even reaching a high of $900 before coming back
    down.
  • George Zimmerman’s latest charges include allegations he

    pointed a shotgun
    at his girlfriend. One presumes she is now
    his ex-girlfriend.
  • The Obama Administration is still stuck playing defense of the
    Affordable Care Act as the latest information shows they were

    informed well in advance
    about problems with the federal
    exchange site.

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from Hit & Run http://reason.com/blog/2013/11/19/feds-back-off-louisiana-voucher-program
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