Sure, I assumed it was on their public access region. Keeping an Eye on the Open: New Guidance from the CME Group Travis Schwab Eventus Systems Follow | Profile | More Share Activities that occur immediately before and during the market open have garnered an increasing amount of surveillance interest in the past several years. CME Group’s recent updated guidance – which is an indication of how important the opening period and Indicative Opening Prices (IOPs) are to futures markets – is a helpful guide to understanding the ins-and-outs of surveilling the market and the compliance issues that either are best observed or avoided. The definitions that govern disruptive trading practices are constantly evolving and one area that has garnered an increasing amount of surveillance interest in the past several years concerns activities that occur immediately before and during the market open. As an example of this focus, the CME Group has issued a new Market Regulation Advisory Notice (MRAN) that deals specifically with this period of time in the trading day. While this MRAN is primarily a clarification and consolidation of previously issued guidance, its publication is an indication of how important the opening period and Indicative Opening Prices (IOPs) are to futures markets. The contents of this new IOP MRAN are a helpful guide to understanding the ins-and-outs of surveilling the market and the compliance issues that either are best observed or avoided. Two Rules to Follow Rules and guidance around activities in the pre-opening period are a subset of CME Group Rules 575 and 534 that govern disruptive trading practices and wash trading, respectively. Rule 575 relates to disruptive activities such as spoofing, layering or quote stuffing. The rule states that: “All orders must be entered for the purpose of executing bona fide transactions. Additionally, all non-actionable messages must be entered in good faith for legitimate purposes.” The rule goes on to list specific guidelines that govern quoting with an intent to cancel, attempting to mislead market participants, entering orders in an attempt to adversely affect the functioning of the exchange, or otherwise disrupt the markets. Rule 534 states that: “No person shall place or accept buy and sell orders in the same product and expiration month…where the person knows or reasonably should know that the purpose of the orders is to avoid taking a bona fide market position exposed to market risk (transactions commonly known or referred to as wash sales)” Wash trades are typically executed between accounts that share common beneficial ownership. Examples of disruptive behavior In addition to providing details on specific questions relating to the use of specific order types, guidance regarding automated trading systems, and testing during the opening period (hint: don’t do it!), the CME gives several examples of activities that are prohibited during the pre-open period. Prohibited activities include, but are not limited to: Scanning the book for hidden orders such as stops or icebergs, Testing market depth by entering orders until the IOP changes, Entering an order after the lockdown period (the time just prior to the opening when orders may no longer be canceled) so as to create a washed trade, and Manipulating the level of the IOP by entering large quantity orders at the beginning of the pre-open period, thereby attracting – and deceiving – other market participants. The examples listed are not meant to be exhaustive but, instead, detail some of the most common behaviors that the CME is paying attention to. Lessons to live by The rules that govern the pre-open and even the examples cited by the CME are generally not new and could, in most cases, be applied to other exchanges and include other parts of the trading day, especially the close. However, the fact that the exchange found it necessary to consolidate guidance regarding the opening period in a new MRAN highlights both the importance of the opening period for markets and the ways in which market surveillance is evolving and growing. Prohibited activities such as spoofing, layering, quote stuffing, or wash trades continue to be in the regulatory crosshairs. Both compliance and market participants will do well to have a robust surveillance program covering their and their customer’s market activities to ensure that they stay on the straight and narrow. It’s 100% certain that the CME, other exchanges and the myriad regulators will only increase their diligence going forward. The full text of Rules 575 and 534 are available online in the CME Rulebook: https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/I/5/5.pdf This article originally was published on the Eventus Systems Blog.
didn't the CME pretty much look the other way when hedge funds/prop firms/banks were spoofing to kingdom come then placed all of the blame on some London indian dude living in his mom's basement (nav sarao i think) when they needed to find a scapegoat for the may 2010 crash, which was actually caused by the algorithms employed by the firms and not nav sarao's spoofing? the CME is a joke. they won't enforce shit when the firms are doing this since they profit so much from fees. if they cared about ANY of this, it could have been solved easily ages ago; simply implement a cancel fee.
No, I have posted elsewhere on ET a multitude of examples where Banks and Proprietary Trading Firms have been fined by CME for spoofing and gaming the market Open and Close.
It is simply untrue to say that the CME "looks the other way". Facts say otherwise. Section 4c(a)(5)© of the Commodity Exchange Act (CEA) makes it unlawful for “[a]ny person to engage in any trading, practice, or conduct on or subject to the rules of a registered entity that…is, is of the character of, or is commonly known to the trade as, ‘spoofing’ (bidding or offering with the intent to cancel the bid or offer before execution).” Geneva Trading, which is a Chicago Prop Firm, was fined $15M and told if they did it again they’d be banned. Here’s Citigroup, who paid a $25M fine and was told if they did it again - they would be banned from the CME. Which means they’d lose all their prime brokerage customers: https://www.ft.com/content/aa943ab4-de60-11e6-9d7c-be108f1c1dce Deutsche Bank, UBS, Bank of Nova Scotia - they’ve all been pinched. https://www.justice.gov/opa/pr/form...lty-commodities-fraud-and-spoofing-conspiracy https://www.cftc.gov/PressRoom/PressReleases/7818-18 https://www.chicagobusiness.com/finance-banking/chicago-trading-firm-fined-15-million-spoofing https://www.google.com/amp/s/www.ch...poofing-plea-0603-biz-20170601-story,amp.html https://www.cmegroup.com/notices/di...-1-joerik-financial-pte-ltd.html#pageNumber=1 https://www.cmegroup.com/notices/di...0640-bc-2-jimmy-ng-kian-bin.html#pageNumber=1 If you're having problems day trading against algos - don't. Hold on to a trade. Taking a handful of higher percentage risk/reward shots during the course of a trading day in all likelihood is going to work out better over a protracted period of time than trading 300 round turns per day.
yes, fines which merely amount to a cost of doing business. when i mean enforcement, i mean CME referring to the DOJ criminal charges, as was the case with nav sarao who got 30yrs. last time i checked, there wasn't a single case of a c-level member of a bank/prop firm getting a 30yr sentence for spoofing. the CME has to at last put up a front so they can have plausible deniability. the fact is, a lot of these chicago prop firms and the CME have a revolving door relationship with one of another. check out the linkedins of many of the c-levels at the big chicago prop firms. many of them have worked at the CME in some capacity at one point...although i gather you know more about this than i do.
I may be biased of course, but I agree with @canoe. It seems to be always some nobody with Eastern European or Asian sounding name ... It's never O'Brian or Smith and never a large firm ... always some piker firms. Same old club ... slap on the wrist for insiders but make an example of outsiders.
no worries bone, i don't look at anything below the 30min chart anyway. it's not so much that i have a beef with spoofing and the like. my beef is with selective enforcement. if you're gonna throw some retail indian dude's ass into jail for 30 yrs for doing some amateur-level spoofing when firms are doing it at a much higher volume and complexity, then i expect the same treatment at minimum for those firms.