Evidence of Algo Trading on CL

Discussion in 'Commodity Futures' started by Ex_d, Sep 29, 2009.

  1. Ex_d


    Ok. Lets use "manipulating the settlement price" instead of "manipulating the markets". It doesn't make any difference...
    #11     Oct 5, 2009
  2. cashcow


    Optiver are not that clever.
    #12     Oct 8, 2009
  3. heech


    Well, here's my guess based on the brief description here.

    Perhaps Optiver puts into place standing limit orders at all prices both above/below the market... and just chooses to cancel them if they don't want to actually buy/sell at any specific point in time. And then re-submits the orders as soon as the market moves past.

    And when they *do* want to buy/sell at a specific price, they just leave the orders up... the intent here, being they want a guarantee their order will be executed first.
    #13     Oct 14, 2009
  4. RedSun


    Program trading will certainly exaggerate the price moves, but I'm not sure if it can manipulate the CL as easily as the NG or XRB market. The CL open interest and volume are one of the largest in commodities.

    Actually CL is easier to trade than NG and other commodities. Most of the wall street funds use the same models to build positions. Some of the top fund managers are U of Chicago classmates. The models will link global currency, bond or interest rate, equity, soft and hard commodities all together.

    In this market, US interest rate is extremely low and Fed can't and won't raise it for the near term (9 months to a year?). This will put US dollar in a great pressure. A falling dollar will drive gold and commodity higher. A low intereat rate and stimulate environment will drive the equity market higher. So the trades of the time are:

    1. Short US $;
    2. Long equity, over-weight overseas equity with weak $;
    3. Long gold and commodities;
    4. Read, study and learn.

    You'll be a millionaire tomorrow!
    #14     Oct 17, 2009
  5. bone

    bone ET Sponsor

    In my mind, the amount of time a market stays around a particular price point says more about market acceptance than a closing 'mark' per se. (sounds like control areas and value areas in Market Profile, huh?)

    With markets being electronic and open 20, 22, or 23 hours per day, I think the 'settlement' means less and less. To influence the market participants who hold positions marked to market on the settlement price, with a commodity that has 7 or 8 percent volatility the 50 cents or one dollar any theoretical shennanigans might have shouldn't be that big of a deal - at least in my opinion.
    #15     Oct 17, 2009
  6. That makes sense and agrees with my own thoughts, Bone. One of these days when I have more cash (trading for a track record now) I may well sign up for your mentoring...
    #16     Oct 19, 2009
  7. Each Market has its Four Horsemen:

    Commodities:- Cocoa, Crude Oil, Natural Gas, Feeder Cattle

    Equities: GOOG, AMZN, AAPL, YHOO


    Race Track: King George VI Stakes at Ascot, Kentucky Derby, Grand National, St Leger's Day 1520 at York

    Remember none of these use KY Jelly so expect a rough time:D
    #17     Oct 19, 2009