{"id":11992,"date":"2010-08-26T22:39:01","date_gmt":"2010-08-27T02:39:01","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11992"},"modified":"2010-08-26T22:39:01","modified_gmt":"2010-08-27T02:39:01","slug":"august-26-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11992","title":{"rendered":"August 26, 2010"},"content":{"rendered":"

Algos gone wild<\/a>!:<\/p>\n

Infinium, a household name in Chicago’s burgeoning trading community, relies on computer horsepower and quantitative models to earn razor-thin profits from short-term trading. It uses its own money to make markets and capitalize on tiny imbalances, a common high-frequency strategy. The documents, dated March, reveal that Infinium used an algorithm that was less than a day old to execute a “lead\/lag” strategy between an exchange-traded fund called United States Oil Fund (USO.P: Quote), which tracks oil prices, and the U.S. crude benchmark future, West Texas Intermediate<\/p>\n

The algorithm was turned on at 2:26:28 p.m. (Eastern) on Feb. 3, less than four minutes before NYMEX closed floor trading and settled oil prices. It immediately started uncontrollably buying oil futures, according to the documents, which include letters from Infinium’s lawyer to the regulation unit of CME Group, and cite notes from a company developer. Infinium placed 2,000 to 3,000 orders per second before its flooded order router “choked” and was “dead in the water” a few seconds later, the developer’s notes said. The algorithm was shut down five seconds after it was turned on. By then, the documents show, the firm had sent 4,612 “buy limit” orders into the market. It quickly offset the position, mostly with large “block” trades in the next few minutes, leaving it with a $1.03-million loss.<\/p><\/blockquote>\n

Econbrowser<\/i>‘s Jim Hamilton speculates that the Fed is setting up for a new round of quantitative easing in his post More thoughts on what to expect from the Fed<\/a>. He notes an article from the Wall Street Journal, Commercial Property Owners Choose to Default<\/a>:<\/p>\n

“We don’t do this lightly,” said Robert Taubman, chief executive of Taubman Centers Inc. The luxury-mall owner, with upscale properties such as the Beverly Center in Los Angeles, decided earlier this year to stop covering interest payments on its $135 million mortgage on the Pier Shops at Caesars in Atlantic City, N.J.<\/p>\n

Taubman, which estimates the mall is now worth only $52 million, gave it back to its mortgage holder.<\/p><\/blockquote>\n

The Canadian preferred share market had a down day amid continued elevated volume, with PerpetualDiscounts down 4bp and FixedResets losing 1bp.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1060 %<\/td>\n2,049.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1060 %<\/td>\n3,104.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.55 %<\/td>\n2.17 %<\/td>\n34,319<\/td>\n21.92<\/td>\n4<\/td>\n-0.1060 %<\/td>\n2,212.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.89 %<\/td>\n2.42 %<\/td>\n95,728<\/td>\n0.26<\/td>\n9<\/td>\n0.3234 %<\/td>\n2,352.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.08 %<\/td>\n-26.28 %<\/td>\n64,775<\/td>\n0.09<\/td>\n2<\/td>\n-0.5005 %<\/td>\n2,316.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3234 %<\/td>\n2,151.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.78 %<\/td>\n5.46 %<\/td>\n99,487<\/td>\n5.56<\/td>\n7<\/td>\n-0.0788 %<\/td>\n1,958.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.73 %<\/td>\n5.77 %<\/td>\n191,570<\/td>\n14.08<\/td>\n71<\/td>\n-0.0421 %<\/td>\n1,896.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.28 %<\/td>\n3.23 %<\/td>\n275,644<\/td>\n3.36<\/td>\n47<\/td>\n-0.0126 %<\/td>\n2,247.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.01
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.63
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-09-25
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.00
\nBid-YTW : -7.94 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.65
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n84,405<\/td>\nTD crossed 31,100 at 24.98.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-26
\nMaturity Price : 24.87
\nEvaluated at bid price : 24.92
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n82,700<\/td>\nScotia crossed 48,100 at 25.65.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-26
\nMaturity Price : 23.27
\nEvaluated at bid price : 25.45
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n80,225<\/td>\nTD crossed 25,300 at 28.00; Scotia crossed 50,000 at 28.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.08
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n60,393<\/td>\nDesjardins crossed three blocks, of 15,000 shares, 20,000 and 14,400, all at 26.42.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.63
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n44,335<\/td>\nNesbitt crossed 12,300 at 20.99.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-26
\nMaturity Price : 20.97
\nEvaluated at bid price : 20.97
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetual-Discount<\/td>\n39,463<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-08-26
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.54
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
There were 38 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Algos gone wild!: Infinium, a household name in Chicago’s burgeoning trading community, relies on computer horsepower and quantitative models to earn razor-thin profits from short-term trading. It uses its own money to make markets and …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-11992","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11992","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=11992"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11992\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11992"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11992"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11992"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}