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On 6/10/2011 we see another change in behavior from the algo. As opposed to
running for 2-10 minutes in each issue (thus taking the bid to possibly zero
and the ask as high as it would go in the time span), the algo only ran for 1
full second in each issue. It is unclear (as of this writing) if this will
become the new normal, if it will soon stop altogether or if it's previous
behavior will continue.
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.
GASX
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RETL
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RETS
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SBM
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SDK
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SJL
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SZK
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UCC
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UGE
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UPW
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Publication Date: 06/13/2011
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