Nanex Research

Nanex ~ 18-Jan-2013 ~ HFT Providing Liquidity in PPG

On January 18, 2013 at 15:00:51, the price of PPG Industries stock (symbol PPG) tumbled from $142 to $127.25 in 1 second. It took 480 trades and 117,000 shares. The stock price recovered within a minute. Take a good look at chart #3 below. Note how many bids appear just out of the markets reach. As prices move down, bids fade as fast as the speed of light allows. These must be the new slide-not-hide order types.

Later in the day, the exchange busted all trades below 137.74.

1. PPG - Showing trades color coded by exchange.

2. Zooming in to 1 second of time. The NBBO is shown in a dark gray shade if normal, yellow if locked, or red if crossed.

3. PPG - Showing all the bids that were placed and canceled on the way down. This is HFT providing liquidity.

4. PPG - About 125,000 shares executed at Nasdaq at 135.87 - which was the Best Ask price. Hmm..

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