Last Updated On October 18, 2011
This post is a running update for the now regularly seen "Late Comer" algo that hits around 15:58:00. 7 Days in a row this week we've seen this. This algo spreads its activity over a full minute on 450+ issues. We would expect this to usually be in short 1 or 2 seconds bursts. The first chart here is the HFT Alert Algo Sequence chart. You can see clearly the algo hits 500 issues at its peaks and the duration is roughly 60 seconds. This page shows the most recent image first and traces backward.
Analysis is complete using the HFT Alert Pro platform
Tuesday the 18th
Monday the 17th
Friday the 14th
Thursday the 13th
The following charts are the same as the one above, just without the totals option chosen. Each line is an exchange, and the number of sequences identified inside 1 second on each reporting exchange is listed to the right.
Notice the visible inverse correlation between the BATS and EDGX in the middle of the sequence. The EDGX has a similar movement to NQEX. Also the Boston exchange (Pink) seems to slightly lag the peaks and troughs of the EDGX. The visual relationship is incredible to see.
Wednesday the 12th
The same relationships appear in this chart also. One note is the spike on the Boston exchange at a point that appears to be the beginning of the end of this strategy. The NQEX also has it highest spikes so far in this overall observation (Mon - Thurs.) at 15::57:20, just before the full on attack. Further analysis of price movements from charts and tape records from HFT Alert will yield a potentially high yielding play should this bot continue in this manner. This will be an exciting case study in the evolution of a HFT algo as the days go on.
You'll see in this chart that the undulations in the NQEX are not as sharp as they were in the more recent days. You can notice the "step" around 15:58:25 that is less defined as the week carries on.
Monday the 10th
This chart shows the almost rectangular shape and is very different from the image of today. Also note the complete drop off on the EDGX exchange nearly half way through the sequence. The PACF carried through strong until the end.
