Liffe - Euribor - Total Volume Collapse

Discussion in 'Financial Futures' started by THE-BEAKER, Mar 6, 2012.

  1. well if you needed further proof that the hft / algo model has burst and that the firms they set up ( rsj, getco and the rest ) are finished - here is the the latest confirmation with liffe's volume figures.

    the costs at the hft firms must be huge now with hundreds of overpaid programmers, mit wizards and any math genius sitting there wondering why their programmes have no one to trade with other than another mit wizard that designed a similar program.

    LIFFE TOTAL EXCHANGE 2011 - 1.1. billiom
    LIFFE TOTAL EXCHANGE 2012 - 130.5 million

    thats on target for a total exchange for 2012 of 783 million.

    LIFFE STIR PRODUCTS 2011 - 578 million.
    LIFFE STIR PRODUCTS 2012 - 74 million.

    thats on target for 444 million.

    LIFFE EURIBOR 2011 - 126 million.
    LIFFE EURIBOR 2012 - 18 million.

    thats on target for 108 million.


    3rd straight month on month drop and the lowest figure to date.

  2. I think this volume drop has a lot more to do with the general carnage that has been occurring in short-end trading across pretty much all the big banks. Quite a few people (not high-freq) who did massive volume are out of the mkt, possibly for good.
  3. mgrund


    The problem that we have, is the human traders ( point and click guys) no longer actively scalp, turning out 1000's of Round Trips a day- those days are long gone ( died around 2005/2006).What the Human intraday traders now do is position trade and look on a longer term timeframe with a view of taking 30 ticks with a wide stop of say 10 ticks, as to avoid the algo " noise".This type of trading obviously significantly reduces the volume, as it has on the EUREX.

    Also the human cannot actually see where the "real market" is due to the latency of both the human brain and not being co-located at the Equinix data centre in Frankfurt, and hence are at a disadvantage, which again reduces volume-As who wants to play on a unlevel playing field?Only a mug would do that.

    The combined volume of both the BOBL and BUND as of 10.20 am (GMT ) has not even reached 500k contracts- utter Dogshit for active scalping- its a dead mans game.

    I have adopted by position trading and just put a stop in x ticks from the market with a target in place , and walk away from my screen.

    Hoping these 140.39's will break to trigger the stops placed around 140.56/59
  4. Out of boredom I looked at Euribor the other week.

    The volumes were indeed terrible and when it went a tick wide in the reds it was 9000-13,000 up.

    How the hell is anyones supposed to get in/out of a position with that going on?

    At liffe they never got it that by RSJ being 10,000 up (yet never doing even a 20th of that ) and stopping others from getting involved they would eventually have a problem.

    Now they have and it's big and it can't be solved.
  5. Liffe is a ghost town

    but blaming hft is jumping to conclusions
  6. if you look at any problem and 99 per cent of the total is one dynamic then i cant see who else you can blame.

    i still make money but a lot less than i use to.

    my arguement all along was and is that the open out cry floor based system ended to make the market fairer, more liquid and a level playing field for all participants.

    what we have now is the opposite of that.

    cheating, front running systems, no liquidity and no volume.

    if thats evolving and progression then please bring back the floor based system.

    this is clearly not.
  7. so which other mkt have people jumped to
  8. no where to jump to.

    every trader is in their comfort zone in a market they feel they have some sort of understanding of and ' edge '.

    its the same problem in all products.

    hft has no boundary.

    it exploits, takes profit, kills that local market and moves on.

    in fixed income its so efficient they have no new counterparties to trade with and have taken out all money and participants.

    hence the volume collapsing.
  9. mgrund


    Are you saying that the EUREX FIXED INCOME products are dogdirt to actively scalp??
  10. you mean like the aliens in INDEPENDENCE DAY?
    #10     Mar 7, 2012