In regards to #3 & the central bank incentive structure.. I've seen this behavior for quite sometime. Really since QE3 started.
I'm an S&P futures trader that trades many many thousands of contracts every single year & hundreds per day based on real-time order flow. There is an algo that was introduced around QE3 that I have made a tremendous amount of money front running that I have called the "Fed bot". Obviously, this is anecdotal & I have no proof but this bot only ever trades in one direction... long. It has a clear & obvious fingerprint in the market when it is activated & absorbs a huge amount of inventory followed by market order offer sweeps.
Often times on an intraday pattern with a "V" shape where a bottom was put in is when I see this algo active. Admittedly, I've not seen it much in 2016 but it has not gone extinct. Typically when volatility is lower is when I see it in action & it's so obvious that I could show it to anybody watching in real-time.
It never seems to desire a "best price" type of fill, rather its intentions seem to be more like having a direct impact on the pricing mechanism of the market. That is evident by the sweeping market orders clearing out the offers resting in the order book & immediately moving up liquidity on the bid to those new prices.
Could be conspiracy theory but I've been trading electronically for a long time in a lot of markets & the S&P since QE3 has a new long only player that has me suspicious.
I'm an S&P futures trader that trades many many thousands of contracts every single year & hundreds per day based on real-time order flow. There is an algo that was introduced around QE3 that I have made a tremendous amount of money front running that I have called the "Fed bot". Obviously, this is anecdotal & I have no proof but this bot only ever trades in one direction... long. It has a clear & obvious fingerprint in the market when it is activated & absorbs a huge amount of inventory followed by market order offer sweeps.
Often times on an intraday pattern with a "V" shape where a bottom was put in is when I see this algo active. Admittedly, I've not seen it much in 2016 but it has not gone extinct. Typically when volatility is lower is when I see it in action & it's so obvious that I could show it to anybody watching in real-time.
It never seems to desire a "best price" type of fill, rather its intentions seem to be more like having a direct impact on the pricing mechanism of the market. That is evident by the sweeping market orders clearing out the offers resting in the order book & immediately moving up liquidity on the bid to those new prices.
Could be conspiracy theory but I've been trading electronically for a long time in a lot of markets & the S&P since QE3 has a new long only player that has me suspicious.