Curriculum·Senior·R407
Advanced Market Mechanics
Navinder Singh Sarao, 2009 to 2015. Trading E-mini S&P 500 futures from the United Kingdom, Sarao ran what the CFTC called a dynamic layering program: four to six exceptionally large sell orders one price level apart, repriced as the market moved so they stayed a few levels from the best ask, revised repeatedly to avoid execution, and in the vast majority canceled without any transaction.
Lesson 1 opens on
The Bitwise volume study, March 2019
In March 2019 Bitwise Asset Management submitted research to the SEC in connection with a proposed spot bitcoin exchange-traded product.5 percent. Ten venues were assessed as reporting entirely real volume, together accounting for about 5 percent of the reported total, with the remainder attributed to wash trading and other non-economic activity.
The lessons
- R407-01Order flowSeparate the three things people mean by order flow, and what each one can supportabout 32 min · opens on The Bitwise volume study, March 2019
- R407-02The positioning triadName the three published measures of positioning and what each one answersabout 33 min · opens on The United States Oil Fund and the April 2020 roll
- R407-03Liquidity and stop clustersSeparate liquidity into tightness, depth and resilience, and say which one fails firstabout 32 min · opens on The US equity open, 24 August 2015
- R407-04Delta-neutral and carry strategiesState what delta-neutral removes and the five exposures it leaves behindabout 43 min · opens on The Treasury cash-futures basis unwind, March 2020
- R407-05Market manipulation literacyClassify a manipulation claim into one of seven mechanismsabout 34 min · opens on Is Bitcoin Really Untethered, published 2020