Jump, etc do not hide- they claim their different strats don't talk to each other, and the CME believes them. If you saw the movie "back to School" think the scene here with the University President and Rodney Dangerfield.
I don't understand why it would be hard to prove that these are intentional wash trades taking place (if they are in fact intentional wash trades... ). Look for a large price jumps in in a security... look at the orders that caused those securities... those order numbers lead to who placed the order.... if those order numbers belong to to different LLCs that are owned by the same bigger LLC.... boom.
Yesterday around 8:44am CST minute CLF5, a 15 tick drop in about 3 seconds 'out of nowhere' (with volume signature as described by OP). I can see how if one could get good at identifying this, there is money to be made. The hardest part is to distinguish those that are indeed 'out of nowhere' as opposed to a result of some other order flow forces at work.
Several pages back somebody said that whenever a participant becomes predictable, they create an exploitable market inefficiency. I suspect most of the folks following this thread are, like me, thinking of ways to monetize this situation. My problem is that an important part of my business model is keeping my overhead low. That precludes building a low-latency trading rig. I'm also not sure I want to invest a year or more of time life developing the software. The whole project could end up being above my pay grade anyway. Still, it's interesting to think about how it all works. Engineering a 15-tick price drop requires sweeping all the inventory, both visible and invisible, for 15 price levels. That can get expensive even in a thin market. And the big risk is that another bot might piggyback your raid with another 15-tick raid, which could be problematic either long or short. Simply sweeping 15 price levels requires taking on a lot of market risk, unless of course most of those bids are your own. Layering out all those bids is risky too unless you put out offers too. Then if you get raided, you have to defend your position. This whole scenario sounds kind of predatory with bigger fish eating the smaller fish.
NG overnight, again. A huge, 2.0 cents burst attack, 130 contracts in microseconds, followed by 0.5 cents more to trap any robots who quickly faded the first attack. The market was trending solidly up and their was no news (or liquidity at this hour). An attack, not a rational sell. The little dots to the left are robots buying (often just 1 contract), about to be robbed. Nobody would have a stop-loss as wide as 2.5 cents on a robotic technical trade, as these trades likely have ambitions to only make 1.0 cents profit-taker. The risk-reward is backwards. NG now 1.0 cents higher than it was before the attack, of course:
Do you ever sleep NB, what time zone are you working from? I'm going to write a program on tradestation this weekend looking for the footprint along with trying to identify any catalysts for these moves to see if they can be somewhat predicted. If we can find out what causes the bots to carry out these attacks then we can anticipate them.
An 15-cent attack in Crude Oil, just completed. Note the second attack, 10 seconds after the first. If trying to fade these moves by hand, I advise always waiting for a second attack. Also, note Crude Oil is now 30 cents higher than before the attack. That was the point- it was going to be pushed higher so it wanted to rob you first. Send "Thank You" note to Terry Duffy, the Gangster of American Finance.
Must these raids happen in conditions of low liquidity, or can they hapen during pit hours too? Are the bots knowledgeable traders? I mean, crude oil is a commodity that has real value, and if the bots push the price too far for too long they could get stuck with making or taking delivery.