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**Zalgo** · 06-06-2021, 08:15 PM

Originally posted by sonatine View Post

something they dont mention in the paper but its an interesting piece of trivia; they had a guy who was specifically trained to use the software they got from Barclay to spin up huge emini orders.

he was on vacation or something so they let someone else fire up program and arguably thats where things started to go from bad to extremely fucking bad.

way down in the paper :

As mentioned in CFTC and SEC (2010b), about 13 minutes prior to the rapid ES de-cline that precipitated the CME market stop on May 6, 2010, a large fundamental traderinitiated a sell order of 75,000 ES contracts. Menkveld and Yueshen (2015) identifies thisfundamental trader as Waddell & Reed Financial, Inc. Both sources report that Waddell& Reed utilized an algorithm to implement the trade without regard to price and time,but with a volume execution target of 9% of trading volume over each previous minute.

**Zalgo** · 06-06-2021, 08:29 PM

so good, so very very good. but yeah this was _not_ 'the right way' to run the software allegedly. but that could also be waddell & reed throwing the guy who hit enter under the bus.

Maybe this was a test run to run over traders like sarao who dont have the funds nor the technical expertise to go head to head with them? I mean what would have happened to sarao if he didnt close out his positions minutes earlier? Bleed money back like mad?

**sonatine** · 06-06-2021, 08:52 PM

so W&R ran the 27bn Ivey Asset Strat Fund, and apparently they started to get real fuckin concerned when they saw the stock market deflating so they decided to open up 75k / 4.1bn USD worth of emini shorts just to hedge.

so it was a totally reactive decision.

**Zalgo** · 06-06-2021, 09:04 PM

https://www.businesswire.com/news/ho...or-1.7-Billion

already sold and chopped up

https://www.thinkadvisor.com/2021/03...wing-lpl-deal/

**Sanlmar** · 06-07-2021, 08:04 PM

I spent quite a bit of time reading these latest posts. Zalgo the algo is top top.

They better not cheat the movie ticket buyers of all this glorious detail.

Will the show runners credit the audience for this flick with the ability to follow and love every nuance of this tale?

/wsb and millions of retail meme stock traders will hang just fine.

**sonatine** · 06-07-2021, 08:46 PM

dude ive been wondering about the same thing, how tf do they make a movie out of this. like how do you make someone rainmanning 70m USD in the futures market a feature film, regardless of the flash crash drama.

**sonatine** · 06-08-2021, 02:40 AM

honestly i dont know what this means, but since i started fleshing out this thread with nav details, id say 18 of 20 NQ and ES positions ive taken have reversed, violently.

which is particularly galling because im trying to lean into moving size and getting out of my comfort zone.

i hope this is part of some quantum evolution leap in my trading style that i gut through come out on the other side with a renewed confidence and pep in my step because otherwise im going to have to start caring about my day job and that never, ever goes well.

**sonatine** · 06-08-2021, 11:08 AM

i should NFT this; i got top-ticked into an entry that immediately reversed and then recovered when my stop-loss got hit like 108 ticks later.

i know how boring it is to post loss porn but honestly this is getting really weird.

**sonatine** · 06-14-2021, 05:12 PM

Originally posted by Zalgo View Post

thats not genius thats reckless gambling i think in the end maybe if the SEC didnt catch him his reckless gambling would bankrupt him in the long run

you know, i wanted to point some things out here simply because im not sure how familiar you are with how eminis / futures work and there is an important detail in my post that got overlooked:

1) he had $750k on the line, which granted was his whole brokerage account. but he could have exited that position at any time.

2) it was his whole brokerage account but NOT his whole bankroll. futex was dragging their feet over cashing him out because they had been getting letters that his taxes were about to be a problem. they coughed up 750k to keep him from going nuclear but i think he had another 3.5m waiting to be cashed out (they eventually released the money when he hired lawyers).

3) his risk/reward ratio here was off the charts. he was literally getting 20-1 on his money and his thesis was 'this is the bottom'.

im going to dig up some graphs of the SPX when he made this trade and im guessing if we check fibonacci pivots and basic support/resistance, we will see why he entered when he did and how he exited at a predictable place.

**sonatine** · 06-14-2021, 05:16 PM

also there really isnt much else to discuss about his sage imo. one thing that does interest me tho is that the government's rallying cry was 'we want to recover the money he made through cheating the market'.

and he wasnt cheating the market on those huge takedowns. he was cheating the market while sniping ticks for +/- 50-100k a day. which admittedly was the majority of his career but again he earned over 50m on huge balls of iron positions that had nothing to do with spoofing at all, they were just masterful entry points that he rode into the sunset.

**sonatine** · 06-14-2021, 05:20 PM

like were they going to reimburse him for the days where GS or Lehman spoofed the ladder and he took an L? or when the HFTs front ran his orders?

like i get going after his loot but they kept him in pound-me-in-the-ass prison for months because not only did his business partners vanish with his investments, but the fucking government froze his accounts so he couldnt use his bankroll to even make bail. it took months for his legal team to convince the judge to bend on bail and it only happened because THEY had experience chasing down money from international sources and the government didnt. so they said fuck it, we will chase down the money, use 2.5m to pay ourselves for taking this case, and let you confiscate the rest if you grant the kid bail.

and the only reason that shit happened is because 'flash crash' appeared in the same sentence has his name 100 times out of 100 in the media.

which is super odd considering he was never charged for anything relating to it.

which is, respectfully Some Bullshit Right There.

free my man.

**sonatine** · 06-15-2021, 01:36 PM

interesting footnote, and very much to your point re big shots exerting pressure... not long after nav's arrest, they took down his nemesis, a russian who also was one of the last point and click adversaries of the HFT goons who relied almost entirely on spoofing to scalp ticks from HFT algos...

and the loudest voice in the room demanding he get busted?

citadel.

**Zalgo** · 06-15-2021, 01:45 PM

So in the end you are saying no but yes

**sonatine** · 06-15-2021, 01:53 PM

what...? are you even reading my posts?

im quoting you facts from his biography; the preponderance of pressure for his persecution had much more to do with bureaucracy, politics, and the tone of discourse in the media about the toxic influence of HFTs/algos.

as opposed to the russian who was essentially put on a SEC hitlist by citadel and friends.

**Zalgo** · 06-15-2021, 01:57 PM

Yea i did read all of them but if citadel put the russian on a hitlist its not far fetched they also put singh on a hitlist, and regarding the tone in the media back then its entirely possible big finance influencers paid to write articles not putting them into a bigger picture, i mean the extreme focus of only putting 1 small trader into a big focus while totally ignoring even the slightest possibility maybe there are also bigger forces at work begs of many questions

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