Nanex Research

Nanex ~ 02-Oct-2012 ~ HFT vs. Retail

By comparing trades marked as ISO (Intermarket sweep, a type of order employed by High Frequency Traders) with sub-penny prints (which come from wholesalers that internalize retail orders), we can see how long it takes for humans to react to trading bursts. We also get to see how retail has no chance to participate in these price surges.

1. ACOM 1 second interval chart showing ISO trades color coded by exchange.
These trades are from HFT.

2. ACOM 1 second interval chart showing trades with sub-penny prices.
These trades are from retail investors.

3. ACOM 25 millisecond interval chart showing ISO trades color coded by exchange
These trades are from HFT.

4. ACOM 25 millisecond interval chart showing trades with sub-penny prices.
These trades are from retail investors - missed out early, and most trades at the high.

5. ALRP 1 second interval chart showing ISO trades color coded by exchange
These trades are from HFT.

6. ALRP 1 second interval chart showing trades trades with sub-penny prices.
These trades are from retail investors - completely missed and sold near the bottom of the down move.

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