by Tyler Durden
And while the world wonders how it is that (HFT firm) Virtu can have 6 years of trading with just one trading day loss, Sarao not only figured out how to outmanipulate the manipulators, but how to profit from it.
ICE : The iceberg function on the CME isn't adequate for me, I hardly ever use it because it puts me at the back of the queue all the time. Hence, 2,000 needs to trade to get me out of 800 lots for example, My iceberg function is placed at a price and as soon as it is bid/offered at the price the iceberg will take all contracts at the price up to and including the number of my order. Again, there is a minimum volume box, so for example 1 can put 50 into it and put a sell ICE of 1,000 and then at that price every time the bid is more than 50, the ICE wilt take all contracts out until 1,000 is traded. This is a good way of catching spoofers, and et voila I can trade 1.000 lots at one price (following on from the above example),
The other orders I sometimes place during the day are slightly away from the market price and move up and down as the market moves with It. This Is to catch any blips up/down in the market so that I can make a small profit as the market comes back into line (almost immediately). These orders are placed rarely and only when I believe the market Is excessively weak or strong. Again, this was inspired by other traders I could see doing the exact same thing.
I am a member of the CME.
Alas, not any more, for one simple reason: you showed the broken system that it can be beaten, and explained how.
As a result, the only response the broken system had was to put you away for good.
Oh and as for the actual question whether Nav Sarao caused the Flash Crash, the answer is: of course not.
Please read more here.