Nanex Research

Nanex ~ 01-Jul-2013 ~ HFT Rotation in Mastercard

On July 1, 2013, a new pattern appeared in the stock of Mastercard (symbol: MA, market cap: $71 billion). The best ask exchange changed in a pattern: Nasdaq (gray), BATS (pink), PACF (red - ARCA), NYSE (blue). Upon close inspection, it's fairly obvious this is an algo run by one High Frequency Trading (HFT) firm simultaneously at each of these four exchanges. What possible economic reason could be behind this stratetgy?

1. MA - Best bids and best asks color coded by exchange and NBBO. Note how the Best Ask exchange alternates each second over this 6 second period.
The quote/trade ratio during this period of time was 668 !

2. MA - Best bids and best asks color coded by exchange and NBBO. Zoomed out to about 1 minute of time.
Note the pattern of best ask exchange colors - gray, pink, red, blue. You can see 3 instances occurring in the chart below.

3. MA - All bids and asks color coded by exchange and NBBO.

4. MA - Trades color coded by exchange and NBBO. There were 67 quotes for each trade in this one minute of time.

5. MA - Best bids and best asks color coded by exchange and NBBO.
Note the pattern at the best ask - gray, pink, red, blue.

6. MA - All bids and asks color coded by exchange and NBBO.

Nanex Research

Inquiries: pr@nanex.net