Nanex Research
Nanex ~ 26-Jun-2013 ~ What Really Happened In Kraft
See also this page.
1. KRFT - Showing trades color coded by reporting exchange and NBBO (gray shading)
from 9:30:10 to 9:30:37 on October 3, 2012
An algo saw buying interest, immediately goes to work widening the spread.
2. Zooming in on 9:30:19 to 9:30:29
Once the spread is wide, it periodically buys 100 shares at the best ask price from multiple
exchanges. This induces other algos into believing the price rise is valid and that it
is worth bidding $8 below the best ask price. After all, if people are paying $58, then
an $8 spread is a worthwhile risk. So the algo buys a few shares at the higher
price and simultaneously sells many shares at the lower price.
Note that:
- All of the trades at the high best ask price are for 100 shares.
- Most of the trades at the lower best bid price are for more than 100 shares. Several
trades are for 500 shares at a dark pool (which bases trading off of the NBBO).
- Trades at the best ask are separated by 120 to 180 milliseconds and are interspersed
with trades at the best bid.
- Trades at the lower best bid are at 1 exchange (PACF) and dark pools.
- Trades at the upper best ask are at 6 different exchanges and dark pools. Almost
screaming out how much interest there is in buying at the inflated price.
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