July 31, 2010
The folks at Zero Hedge published a very interesting post about high frequency trading and market manipulation. I am not going to discuss economy or finance now, but there is something about that post that is quite shocking. The images which show the prices and volumes of the orders routed to the market have a certain aesthetic appeal.
All the patterns below were most likely created by high frequency trading algorithms, which send thousands of orders to the financial markets and cancel them in milliseconds. The top part of the graph shows the price of the order, and the bottom part the number of shares of the bid or ask. The descriptions are copied from Zero Hedge. Click on the images to see a high resolution version.
BATS "Flag Repeater". 15,000 quotes in 11 seconds, dropping the ASK price 1 penny each quote from $9.36 to $8.58 and back up again. 07-29-10.
"The Crown". While not a large number of quotes, this NASDAQ/BATS Bidsize sequence was just too unusual to bypass. 07-29-10.
BATS "Batsicles". BATS price cycling through a large price range, each intermittent with a stub quote, drop it down and start over. 07-28-10.
NASDAQ "Blotter". One of the more unusual repeating Asksize cycles. 07-27-10.
BATS "Stubby Triangles". Drop the quote from a valid price to 0.001 and then back up to a lower price level. When the new price level hits 0.001 as well, do it all over again at approx. 380 times a second. 07-23-10.
NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid price/size in 3 increments and effecting the Best Bid along the way. 07-23-10.
BATS "Periscopes". 8000 quotes in 3 seconds, alternating the bid price each quote. Pop the size up 1 every second or so. 07-23-10.
NASDAQ "Double Dip". Symbol SH. 10,000 Quotes in 4 seconds, each affecting the Best Bid. 07-22-10.
NASDAQ "Racing Stripe". Symbol WYNN. 2000 Quotes in one second, each affecting the Best Ask. 07-19-10.
PACIFIC "Puzzle Pieces". Symbol IIC. 07-19-10.
NASDAQ "Blue Bandsaw". Symbol SHG. (760 quotes in 1 second, taken from a total sampling of 10,000 quotes in 12 seconds). 07-14-10.
BATS "60-Step". Symbol SAH. Take sixty steps up (a penny at a time) and one step down (0.60), reset and do it all over again (at approx. 700 times per second). 07-13-10.
NASDAQ "Ask Mountain". Symbol IAU. Over 56,000 quotes in 10 seconds, all with same Ask Price and the Ask Size increasing or decreasing by 1 (to almost 40,000!). 07-12-10.