spoofing fca
TRANSCRIPT
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Animated example of Mr Cosciastrading
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115.81
115.82
115.83
115.84
115.85
115.86
115.87
115.88
115.89
115.9
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
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Buy order for 17 lots @115.86
Cumulative buy order positionsshown by the blue line
The chart explained: horizontal axis shows the timing of the trades in milliseconds right hand vertical axis shows the price of the Brent
contracts left hand vertical axis shows the lot size of orders to buy or
sell
time and price Mr Coscias buy orders
cumulative size of Mr Coscias buy orders
cumulative size of all buy orders in the market within five ticks
of the best bid
time and price of Mr Coscias sell orders
cumulative size of Mr Coscias sell orders
cumulative size of all sell orders in the market within five ticksof the best offer
changes in the mid price (average of the best bid/offer price)
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115.81
115.82
115.83
115.84
115.85
115.86
115.87
115.88
115.89
115.9
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
3 large sell orders:
122 lots @ 115.89
85 lots @ 115.88
54 lots @ 115.87
Cumulative sell order position is shown bydownward movement in the red line
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115.81
115.82
115.83
115.84
115.85
115.86
115.87
115.88
115.89
115.9
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
Buy trade triggers cancellation of all 3large sell orders
Shown by the upward movement of thered line
Buy order for 17 lots traded @ 115.86 intwo shapes (3 and 14 lots)
Shown by the downward movement inthe blue line
0
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115.81
115.82
115.83
115.84
115.85
115.86
115.87
115.88
115.89
115.9
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
Sell order for 17 lots @ 115.88 (2 tickshigher than the purchase price)
Shown by the downward movement inthe red line
0
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115.81
115.82
115.83
115.84
115.85
115.86
115.87
115.88
115.89
115.9
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
3 large buy orders:
99 lots @ 115.82
88 lots @ 115.83
122 lots @ 115.86
Shown by the upwardmovement in the blue line
0
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115.81
115.82
115.83
115.84
115.85
115.86
115.87
115.88
115.89
115.9
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
0
Sell order for 17 lots traded @ 115.88.
Shown by the upward movement in thered line
Sell order trade triggers cancellation of all 3large buy orders
Shown by the downward movement in theblue line
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115.810
115.820
115.830
115.840
115.850
115.860
115.870
115.880
115.890
115.900
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
0
The bid/ offer spread and the mid pricemoves up after the large orders are placed
Shown by the upward movement in thegreen line
Mr Coscias small sell order then traded at ahigher price resulting in a profit of USD 340
The bid/offer spread narrows and the pricemoves down after the sell orders are placed
Shown by the downward movement in the greenline
Mr Coscias small buy order then traded at alower price
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115.810
115.820
115.830
115.840
115.850
115.860
115.870
115.880
115.890
115.900
-300
-200
-100
0
100
200
300
400
-20 80 180 280 380 480 580
PriceLots buy/sell
Time (milliseconds)
An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)
Cumulative Buy Orders Cumulative Sell Orders Sell Order market depth Buy Order market depth Mid Price Trade Price Mr Coscia Sell Order Price Mr Coscia Buy Order Price
0
Mr Coscias large orders have asignificant impact on the market asthey make up a significant proportionof the market depth. This is assessedby comparison to all other orders inthe market to buy or sell within 5 ticks
of the best bid or offer price.
Mr Coscias sell orders respectively make up84, 89 and 87% of all sell orders in the marketwithin 5 ticks of the best offer price
Mr Coscias large buy orders respectively makeup 64,77, and 87% of all buy orders in themarket within 5 ticks of the best bid price
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