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CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

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Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#191

Post by dudeinjapan »

cromka wrote: post #150
dudeinjapan wrote: post #142

Earlier quoted context omitted.

Yes, because the algos are being faked-out by the spoof. It's like being juked in basketball... if the algos were smart, they'd hit the spoof bid.

> if the algos were smart Algos aren't smart. Thy automate human reasoning to the extent logically possible. If as a human you don't know how to detect a spoofed bid, then how do you make algorithm "smarter" than yourself?

If the algos aren't smart, then you may wish to rethink trading real money with them.

The orderbook imbalance signal is a strong signal, but its not the only one...

(Full disclaimer: I worked as an algo quant at a large bank for 5 years. During which time I was constantly hounded by Compliance over supposed "spoofing", which we never did.)

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#192

Post by dudeinjapan »

smabie wrote: post #180
dudeinjapan wrote: post #142

Earlier quoted context omitted.

Yes, because the algos are being faked-out by the spoof. It's like being juked in basketball... if the algos were smart, they'd hit the spoof bid.

No they would not do this. Why would they want to hit the spoof bid?

One should seek to determine the theoretical price (i.e. "true" price) of an asset. If the spoof bid is above the theoretical price, then you hit it. The spoof bid is noise... find the signal and make the spoofers pay dearly.

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#193

Post by dudeinjapan »

usefulcat wrote: post #137
adriancr wrote: post #24

Earlier quoted context omitted.

Ideally the less manipulation you have the better working market. So, it's good that spoofing is illegal. Their only purpose here was to: "Through these spoof orders, the traders intentionally sent false signals of supply or demand designed to deceive market participants into executing against other orders they wanted filled. " That being said, algos could have hit the large spoof bid, but imagine if it was legitimat…

> That being said, algos could have hit the large spoof bid I would guess that they sent a bunch of orders and them immediately cancelled them. If that's what they did, then by the time other market participants see those orders (remember network latency), the orders will already have been cancelled, in which case it would be literally impossible to trade against those orders after having seen them in the market data…

If this is the case, the real culprit is the exchange. Rather than offering premium "flash" facilitating services like colocation for HFT traders, the exchange could do something like 20-second auctions during which time orders can't be cancelled until the next auction interval.

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#194

Post by dudeinjapan »

csee wrote: post #187
dudeinjapan wrote: post #143

Earlier quoted context omitted.

What's the difference between a spoof and bluff in poker?

The spoof can be pulled after a few seconds, once it's done its job.

Exchange should make a minimum order validity interval during which time you can't cancel, e.g. 15 seconds. Problem solved.

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#195

Post by smabie »

dudeinjapan wrote: post #192
smabie wrote: post #180

Earlier quoted context omitted.

No they would not do this. Why would they want to hit the spoof bid?

One should seek to determine the theoretical price (i.e. "true" price) of an asset. If the spoof bid is above the theoretical price, then you hit it. The spoof bid is noise... find the signal and make the spoofers pay dearly.

Oh sure yeah but it's unlikely spoof bid would be above theo.. too risky on the part of the spoofer

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#196

Post by csee »

dudeinjapan wrote: post #194
csee wrote: post #187

Earlier quoted context omitted.

The spoof can be pulled after a few seconds, once it's done its job.

Exchange should make a minimum order validity interval during which time you can't cancel, e.g. 15 seconds. Problem solved.

Legitimate liquidity would disappear, market makers can't manage risk

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#197

Post by __del__ »

gruez wrote: post #155
plebianRube wrote: post #123

Earlier quoted context omitted.

Why would I look at just their trading revenue? The fine was levied against the entire company, not just their trading subsidiary. >settling charges against JPMorgan Chase & Company (JPMC & Co.) and its subsidiaries, JPMorgan Chase Bank, N.A., and J.P. Morgan Securities LLC (JPMS) (collectively, JPM)

> Why would I look at just their trading revenue? Why should you? Suppose you did a bad. Let's it was a side hustle where you took refurbished ipads and resold them as brand-new ipads. Over the past year you made $2000 in profit from doing so. The cops caught you doing it and fined you $10k. That sounds like a pretty serious penalty. However, you're also a bay area software engineer making $400k total comp, so $10k i…

> Should they fine you $200k instead

Yes, the fines should be punitive, not proportional to the damage.

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#198

Post by [deleted] »

spaetzleesser wrote: post #170
you-liquidated wrote: post #85

Earlier quoted context omitted.

> Holder’s memo asserted that “collateral consequences” from prosecutions—including corporate instability or collapse—should be taken into account when deciding whether to prosecute a big financial institution. > That sentiment was echoed as late as 2012 by Lanny Breuer, then the head of the Justice Department’s criminal division, who said in a speech at the New York City Bar Association that he felt it was his duty…

Instead of worrying about the banks he should have been worried about the moral fabric of the country. At least since the bailouts 2008 there is a (mostly justified) perception that the system is rigged in favor of the wealthy. This has made a lot of people very cynical and has allowed a ton of conspiracy theories to rise. If this trend continues there will be a point when people will vote in a dictator. It’s already…

[deleted]

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#199

Post by nfin »

you-liquidated wrote: post #85
nfin wrote: post #78

Earlier quoted context omitted.

a (good) source would've been great :)

> Holder’s memo asserted that “collateral consequences” from prosecutions—including corporate instability or collapse—should be taken into account when deciding whether to prosecute a big financial institution. > That sentiment was echoed as late as 2012 by Lanny Breuer, then the head of the Justice Department’s criminal division, who said in a speech at the New York City Bar Association that he felt it was his duty…

thanks! So nice to follow up on the source!!

Re: CFTC Orders JPMorgan to Pay Record $920M for Spoofing and Manipulation (2020)

#200

Post by dudeinjapan »

smabie wrote: post #195
dudeinjapan wrote: post #192

Earlier quoted context omitted.

One should seek to determine the theoretical price (i.e. "true" price) of an asset. If the spoof bid is above the theoretical price, then you hit it. The spoof bid is noise... find the signal and make the spoofers pay dearly.

Oh sure yeah but it's unlikely spoof bid would be above theo.. too risky on the part of the spoofer

Then its not really a spoof is it? They'd be happy to trade it :)
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