Preferred Algos - Part 1, Size Cycle/Price Cycle Repeaters Back to Preferred Algos Contents The following charts show two individual stocks that exhibit both quote price and quote size cycling in very obvious, regular intervals, moving the NBBO as they run. In the following charts, trades and quotes are plotted sequentially as they occur. As such, no data is lost. Exchange's bid and ask prices are colored according to the legend on the left. When quotes are the NBBO, a red circle is drawn for the Best Ask, and a Green circle for the Best Bid. Click on any chart for a high resolution image. Symbol RBS.PR.E RBS.PR.E, Chart #1: This chart shows 25,000 quotes and trades occurring on multiple exchanges within a 1 minute time span: RBS.PR.E, Chart #2: Drilling down to display only 1,000 quotes, we see a distinct price/size pattern. The dominant algo is originating from the NASDAQ exchange: RBS.PR.E, Chart #3: Displaying only the bid price/size the NASDAQ exchange we see the pattern: RBS.PR.E, Chart #4: Drilling down to 200 quotes and the pattern becomes obvious. A) Raise the size incrementally until it reaches 2400 B) Decrease the size incrementally until it reaches near zero C) Change the price level (dip then change in some cases) and repeat the entire sequence. RBS.PR.E, Chart #5: We also see quotes from EDGE reacting to the NASDQ quotes: RBS.PR.E, Chart #6: Finally we look at an area were trades occurred: Symbol JPM.PR.C JPM.PR.C, Chart #1: This chart shows 20,000 quotes and trades occurring on multiple exchanges within a seven second time span: JPM.PR.C, Chart #2: Drilling down to display only 3,000 quotes, we see a distinct price/size pattern: JPM.PR.C, Chart #3: Drilling down further and only plotting the bid price and size, we see the familiar size pattern originating from the NASDAQ exchange, with interaction from PACF: JPM.PR.C, Chart #4: Drilling down to 200 quotes, we can clearly see the pattern: JPM.PR.C, Chart #5: Plotting NASDAQ quotes only we can see there are 2 patterns in the sequence - A) Raise the size incrementally B) Decrease the size incrementally until it reaches near zero C) Increase the price level 1 penny and repeat the entire sequence A-C three additional times, on the fourth time drop the bid price down to the original level. JPM.PR.C, Chart #6: The same 200 quote sequence this time plotting only the PACF bids: JPM.PR.C, Chart #7: Zomming out to 2,000 quotes and plotting only the PACF bid: JPM.PR.C, Chart #8: Finally moving to another slice in the sequence showing the interaction with NYSE quotes: Inquiries: pr@nanex.net Publication Date: 07/12/2011 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.