Nanex Research

Nanex ~ 11-Jan-2013 ~ Bending the Rules, Again


We recently wrote on how the High Frequency Traders (HFT) where adjusting their algorithms to try and fool exchange monitoring software, while still retaining the benefits of confusing other algorithms and traders. Here is another example, in the stock of Coca-Cola FEMSA (symbol KOF) on January 11, 2013. On the same day, there were dozens of other stocks with similar patterns - we simply chose the first one we found.

Each chart shows Best Bids and Asks color coded by exchange. The dark shading is the NBBO (National Best Bid/Offer).

On the last charts in the first set below, note how quotes blast for a short period of time at the start of each second, but then go silent for the balance of the second. We've explained this phenomenon before.

       

The next set of charts zooms in on the insane flutter in the NBBO price.  These price changes have nothing to do with economic reality.
       

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