A Way to Spot Fake Walls?

[bittenbob]

Ok I have been seeing this pattern for a while and I thought I would share it. Often when there are walls 300+ coins i see the same number of coins spaced an even distance apart. A good example of this right now are the 1.0 BTC sells from 6.492 to 6.498.

It is my belief that the bots are using these as warning indicators to cancel the sell walls. This is how false walls are put up and right now it is on the sell side which means someone is trying to drive the price down without selling at the low price. Someone is trying to buy bitcoin so we should take down those walls ASAP!

[bittenbob]

[bittenbob]

Same person now has a sell wall at 6.49 and a warning indicator sell of 1.0 btc at 6.48. If the 6.48 order gets executing the wall at 6.49 disappears.

[teflone]

Clever find, this may well be correct or wrong..  Im betting your onto something..

Now any equally clever people write a code to spot it or abuse it?

[Qoheleth]

Same person now has a sell wall at 6.49 and a warning indicator sell of 1.0 btc at 6.48. If the 6.48 order gets executing the wall at 6.49 disappears.

Anyone with money in an exchange wanna test this theory?

[bittenbob]

Clever find, this may well be correct or wrong..  Im betting your onto something..

Now any equally clever people write a code to spot it or abuse it?

Its how I would write the code or rather just one of the strategies i would employ. There is no guarantee it would be executed and this is why sometimes bots lose money. I have seen this executed many times over in the past. The main thing that moves the market too fast for the bots i believe is bitcoinica. It is both good and bad for the market.

[old_engineer]

Are you saying that the "wall" was the 123 btc ask at 6.499?  FWIW, that was a part of my ask order, it was real and I don't run a bot.  And it was mostly fulfilled.

The 1.0 btc orders sure look like volatility bot that buys and sells both ways (not mine, again, I don't run a bot).

I know this isn't proof, but whatever, I don't have any reason to lie that I can think of.

Ask(s) (Sell)
   
   Order Filled at: Sat 14 Jan 2012 01:31:08 AM GMT
   Amount: 5.00000000 BTC
   Price: @$6.49900
   Total: $32.49500
   
   Order Filled at: Sat 14 Jan 2012 01:31:18 AM GMT
   Amount: 1.42898866 BTC
   Price: @$6.49900
   Total: $9.28700
   
   Order Filled at: Sat 14 Jan 2012 01:31:30 AM GMT
   Amount: 50.00000000 BTC
   Price: @$6.49900
   Total: $324.95000
   
   Order Filled at: Sat 14 Jan 2012 01:31:36 AM GMT
   Amount: 50.00000000 BTC
   Price: @$6.49900
   Total: $324.95000
   

[bittenbob]

Are you saying that the "wall" was the 123 btc ask at 6.499?  FWIW, that was a part of my ask order, it was real and I don't run a bot.  And it was mostly fulfilled.

The 1.0 btc orders sure look like volatility bot that buys and sells both ways (not mine, again, I don't run a bot).

I know this isn't proof, but whatever, I don't have any reason to lie that I can think of.

Ask(s) (Sell)
   
   Order Filled at: Sat 14 Jan 2012 01:31:08 AM GMT
   Amount: 5.00000000 BTC
   Price: @$6.49900
   Total: $32.49500
   
   Order Filled at: Sat 14 Jan 2012 01:31:18 AM GMT
   Amount: 1.42898866 BTC
   Price: @$6.49900
   Total: $9.28700
   
   Order Filled at: Sat 14 Jan 2012 01:31:30 AM GMT
   Amount: 50.00000000 BTC
   Price: @$6.49900
   Total: $324.95000
   
   Order Filled at: Sat 14 Jan 2012 01:31:36 AM GMT
   Amount: 50.00000000 BTC
   Price: @$6.49900
   Total: $324.95000
   

It was 6.49 even. The walls can vary in size but if they are fake they will have warning sells ahead that are usually obviously computerized (ie 1.0).

It would appear the warning 1.0 sells were for the 6.50 152btc wall which vaporized before yours was executed. i thought it was weird the bot would split the bid wall and it didnt with your confirmation.

[RyNinDaCleM]

People are always changing their bids with changing situations. I know I do! Why sell at $6.50, when you can sell at $6.65, or $7?  

Who cares? Don't give in to their manipulation. Gasp...did I just say manipulation?

[old_engineer]

I was watching when my order disappeared off the display of MtGoxLive, then reappeared a few seconds later. There's a UI bug on MtGoxLive, or in the order feed.

[Dutch Merganser]

Ok I have been seeing this pattern for a while and I thought I would share it. Often when there are walls 300+ coins i see the same number of coins spaced an even distance apart. A good example of this right now are the 1.0 BTC sells from 6.492 to 6.498.

It is my belief that the bots are using these as warning indicators to cancel the sell walls. This is how false walls are put up and right now it is on the sell side which means someone is trying to drive the price down without selling at the low price. Someone is trying to buy bitcoin so we should take down those walls ASAP!

It's an application of an old technique. Even without using a bot one can use some variations of it with certain US stock brokerages that implement conditional orders. One simplistic example could be if a limit order to buy 1 unit at price X is executed, submit another limit order to buy 5 units at X+K1, 10 at X+K2, etc, finally selling 1000 units at price X+Kn; try to start a spike or rally and then sell into it. It's a crappy and trivial example, but it illustrates the idea. More sophisticated schemes using feedback to look for responses and target orders chasing the movement can be implemented pretty easily these days using http and scripting tools like Python.

I recall in the late 90s watching yoyos at stock daytrading operations in the US signal each other using orders with strange prices at odd lot sizes. It was ridiculously obvious when after hours trading was introduced as the number of participants would often be so small that one could pretty much look at the action on Level II quotes and see who was playing ping pong with who. It was also obvious to the US SEC, who took action against individuals and DT operations who were playing these games in attempts to manipulate prices.

The naïve and unregulated world of bitcoin provides an opportunity to blow the dust off practices that have been banned or simply passé elsewhere for years. Here's a fun public domain read, a cornerstone work from the 1920s, there may be a few tips here not covered in this forum  

REMINISCENCES OF A STOCK OPERATOR by Edwin LeFevre
http://ebooks.gutenberg.us/WorldeBookLibrary.com/confessstock.htm

[old_engineer]

The naïve and unregulated world of bitcoin provides an opportunity to blow the dust off practices that have been banned or simply passé elsewhere for years. Here's a fun public domain read, a cornerstone work from the 1920s, there may be a few tips here not covered in this forum  

REMINISCENCES OF A STOCK OPERATOR by Edwin LeFevre
http://ebooks.gutenberg.us/WorldeBookLibrary.com/confessstock.htm

Thanks for the book rec, that was a fun read, well worth a few hours!

It was great to learn the reasoning behind some regulations.  For example, if a bucket shop had a number of customers long on margin, they'd call up a wall street trader to drive down the price temporarily to clean out their customers.  "Whenever there was an unexplained sharp drop which was followed by instant recovery, the newspapers in those days used to call it a bucket-shop drive."  And this is one of the reasons that bucket shops were outlawed.

I guess I'm not much of a libertarian when it comes to financial regulations, and think that fairness is more important than independence/freedom.

[bittenbob]

Many have questioned whether or not Zhoutong is doing this. Its hard to say either way but those who keep a lot of money on that site are putting a lot of faith in him.