The latest headline IPO's, BATS and FB, both bombed publicly and failed to generate enough wealth for those involved to feed the euphoric, dream-chasing mind set so cherished by the general American populace. Trading was to begin at 11 AM EST, then it was postponed for 5 minutes. Then it was ten minutes. Then it was 5 more minutes. Then Europe closed and the FB shares began to trade.
50 Seconds and 700 Milliseconds
Chart 3. All bids and offers color coded by exchange.
5 Second interval of the first hour and 15 minutes of trades and quotes.
HFT Alert Pro showed me that FB was being traded on BOST with HFT identified quotes. BOST was the only exchange I saw until 11:55:10. At this time the machine began placing orders, simultaneously on BOST and BATY then at 11:55:12 doing the same thing on BOST and BATS.
Looking at zoom view, we can see the long extension candles.
These trades were canceled. Here are the busted/canceled trades in FB during the 11:50:00 to 11:55:59 period
Zoom of same chart
At 12:22:00 PM EST another buying program entered orders that stopped FB from dropping again and helped to spike the price before it stabilized for about 90 minutes
On this blast the program executed simultaneous trades in an effort to capture millisecond arbitrage as the program had knowledge of the orders executed in 2 separate geographic locations. When these orders were place, the latency of light carrying the trade information from say BOST to PACF to BATY enabled the program to profit since ti knew what happened in these locations before the exchange could share the information with each other.
The program finished at 12:23:24
BSFC = Bid Size Fall Cycle
BSCC = Bid Size Conical Repeater
More on Cycle Repeaters here (refer to top 3 images under the "Examples" tab)
This is an example of a bid price cycle repeater from Google on September 16, 2011
Chart 5 (Largest quotes of the day with 38,139 quotes and 24,041 Trades)