On Friday Nanex released more images, this time of ABC High Dividend ETF (ABCS) taking the price from $21.75 to $50.21 and back, inside 13 milliseconds. What Nanex's charts show are the bids running as high as $542, twice. This fast paced activity will not even register on an everyday Direct Access Trading platform, such a TradeStation. What blew our mind is that the convexity of the bid run-up matched that of a similar algo that ran on October 27th, 2011 on Dollar Thrifty Auto Group (DTG). We've been told that HFT tighten spreads and have no effect on price volatility. That may be so but those times when the bad algo's go haywire, serious market inefficiencies are created along with federal guidelines being broken. This is an instance where it is clearly visible that this is the same program and we're curious if it will be back on April 27th, 2012 and who's bid will go north of $500?
ThomsonOne did capture the trade as shown here:
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Along with capturing the $542 bid
Trade Station charts:
You will see these types of extended candles throughout your charts. These are (clockwise from the top left) a 5 Min, 60 Min, Daily, Weekly chart. The same candle will appear on your 1 minute and the ToS 133k charts.
October 27th, 2011 - DTG - 7:46:08 - 1 Minutes, 6 Seconds, 450 Milliseconds - 114 Quotes, 36 Trades
From NANEX:
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Along with capturing the $542 bid
Trade Station charts:
You will see these types of extended candles throughout your charts. These are (clockwise from the top left) a 5 Min, 60 Min, Daily, Weekly chart. The same candle will appear on your 1 minute and the ToS 133k charts.
October 27th, 2011 - DTG - 7:46:08 - 1 Minutes, 6 Seconds, 450 Milliseconds - 114 Quotes, 36 Trades
From NANEX:
Tick chart of trades and NBBO.
50 millisecond chart of bids and offers. Shaded area is NBBO. Nasdaq and CBOE offers led the prices higher. The other exchanges had 0 for offer prices, which may have caused an algo to misread the market. It's good to know they don't run tests during trading hours.
20 millisecond chart of trades (cicles), bids and offers (triangles). Shaded area is NBBO.
