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Alias Born | 03/09/2020 |
Thursday, September 17, 2020 5:33:57 AM
(1) there is ONE algo ruling them all, from all MM working together on a common goal
(2) this algo places trades (otherwise how it can bring the priceline up/down) on the futures market - bringing the contract price such as to clean limit & stop orders found in proximity ("targets" = price of futures contracts)
(3) That price of the index *futures*, in return instructs the MMakers (the 15 of them) into how to price the underlying basked of stocks, 500 of them. Why?
(4) because, when S&P DowJones (a business entity, nothing to do with MMs) calculates the S&P *index* from the underlying 500 stocks (and sends the index to Reuters to stream it to stock exchanges) -> it has to match the futures price decided by the algo which is cleaning targets.
(5) And all the above done every 15 seconds ... such as not leaving house-money on the table to the arbitrage players - yet another set of algos built to spot real time discrepancies between the index and the index futures.
is that it? If not - where did I make a mistake?
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