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Special Forums News, Links, Events and Announcements Complex Event Processing RSS News I Would’ve Got Away With It Too - It If It Wasn’t for You Pesky Kids…. Post 302453572 by Linux Bot on Wednesday 15th of September 2010 07:15:03 PM
Old 09-15-2010
I Would’ve Got Away With It Too - It If It Wasn’t for You Pesky Kids….

John Bates
09-15-2010 05:41 PM
Strange things are happening in the markets! As you know ifyou've been following this blog, quite a few scares, horrors and apparitionshave been sighted in equities, futures, FX and oil markets over the last fewmonths. But fortunately the Mystery Machine has rolled into town and Scooby,Shaggy and the gang are investigating...

 

The latest spooky mystery is “phantom orders” that appearedto scare participants on the CME (readmore about it here). For 6 minutes on Tuesday unexplained orders, thatcould have been caused by a “fat finger” error or an “algo gone wild”, causedCME to use Rule 587 which gives them powers “including without limitation,closing the market, deleting bids and offers, and/or suspending new bids andoffers”. So although they weren't sure what was going on - the CME were atleast able to respond.

 

Another report this week shows how those involved in allegedmarket abuse are starting to be unmasked. Last week I wrote a blog postingcalled “Algos Can Get Stuffed” which was also featured on the Tabb Forum. In itI talked about the possibility of firing orders into the market with theintention of misleading the market or slowing the market down - and even howsome link this phenomenon with the flash crash. This week a trading firm calledTrillium was fined by FINRA for using illegal trading practices (readmore about it here).  Trilliumwas fined $1m for sending orders aimed at deceiving investors. Nine tradersentered buy and sell orders in patterns that aimed to manipulate the prices ofinstruments. And they did this 46,000 times! This “layering” enabled Trilliumto trade at a profit once they'd manipulated the price.

 

These 2 incidents show that awareness of the problems we'vebeen writing about on this blog have increased radically. Trading venues aremore aware that algos gone wild and fat fingers can cause market panics andmanipulate prices. Regulators are more aware that high frequency trading can beused as a weapon for market manipulation.

 

But we can't rest on our laurels. Maybe we got lucky thistime. As market data volumes continue to increase we need to have more advancedcapabilities to detect problems and abuse as it's happening, and recommendactions to take in response. Let's ensure the Mystery Machine is fitted withthe latest real-time surveillance equipment. Let's enable the gang to unmaskmore villains at the haunted “high frequency manor” inspiring the legendaryoutburst of “I would've got away with it if it wasn't for you pesky kids....”



Source...
 

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BLOSXOM(7)								 7								BLOSXOM(7)

NAME
blosxom - A lightweight yet feature-packed weblog SYNOPSIS
blosxom is a simple web log (blog) CGI script written in perl. DESCRIPTION
Blosxom (pronounced "blossom") is a lightweight yet feature-packed weblog application designed from the ground up with simplicity, usabil- ity, and interoperability in mind. Fundamental is its reliance upon the file system, folders and files as its content database. Blosxom's weblog entries are plain text files like any other. Write from the comfort of your favorite text editor and hit the Save button. Create, edit, rename, and delete entries on the command-line, via FTP, WebDAV, or anything else you might use to manipulate your files. There's no import or export; entries are noth- ing more complex than title on the first line, body being everything thereafter. Despite its tiny footprint, Blosxom doesn't skimp on features, sporting the majority of features one would find in any other Weblog appli- cation. Blosxom is simple, straightforward, minimalist Perl affording even the dabbler an opportunity for experimentation and customization. And last, but not least, Blosxom is open source and free for the taking and altering. USAGE
Write a weblog entry, and place it into the main data directory. Place the the title is on the first line; the body is everything after- wards. For example, create a file named first.txt and put in it something like this. First Blosxom Post! I have successfully installed blosxom on this system. For more information on blosxom, see the author's <a href="http://www.blosxom.com/">blosxom site</a>. Place the file in the directory under the $datadir points to. Be sure to change the default location to be somewhere accessable by the web server that runs blosxom as a CGI program. On Debian systems, this location default to /var/lib/blosxom/data. OPTIONS
Configuration of the blosxom can be controlled via the configuration file /etc/blosxom/blosxom.conf. Some of the possible configuration variables are: $blog_title Title of this blog. (default: "Blosxom") $blog_description Description of the blog used for RSS generation. (default "Yet another Blosxom blog") $blog_language This blog's primary language used for outgoing RSS feed. (default "en") $datadir Where are this blog's entries kept? (default on Debian: "/var/lib/blosxom/data") $url Preferred base URL for this blog (leave blank for automatic) (default: "") $file_extension Preferred ending of blog entry files (default: "txt"). Other files are ignored. $default_flavour Blog style can be controlled via templates, or flavours. (default: "html"). FILES
/usr/lib/cgi-bin/blosxom the CGI script /etc/blosxom/blosxom.conf the configuration on Debian systems AUTHOR
Rael Dornfest is the author of blosxom <rael@oreilly.com> See http://www.blosxom.com and http://www.raelity.org for more information. This manual page was written by Marc Nozell <marc@nozell.com> and Dirk Eddelbuettel <edd@debian.org> for the Debian GNU/Linux distribution but may be used by others. Blosxom February 5, 2003 BLOSXOM(7)
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