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Berserk HFT Algo Du Jour

Tyler Durden's picture





 

Just another day in the markets, just another HFT algo going completely insane and Nanex catching it in the act.

On November 19, 2013 starting at 16:00:37 and continuing for about 15 seconds, a High Frequency Trading (HFT) algorithm was let loose in the stock of  Fifth Third Bancorp (symbol: FITB, market capitalization: $17.3 Billion, plus or minus $1 Billion). The stock price swung wildly, rapidly trading up and down in a 3-5% range many times over. Just before this algo ran, the stock traded in a 25 cent range over the entire trading day. This HFT algo sent prices up and down in a $1 range, which is 4 times larger than the entire day's trading range.

1. FITB - Trades color coded by reporting exchange and NBBO (gray/red shading).

One or more algos were fooled into buying high and selling low.

2. FITB - Showing NBBO: red is when it was crossed (bid price > ask price), yellow when locked (bid price = ask price) and gray for normal.

Here we can clearly see the oscillations. Remember, this is spread between the best bid and ask. While the spread itself remains narrow, the prices oscillate over a 3 to 5% range in less than a second.

3. FITB - Best bids and offers color coded by reporting exchange.

4. FITB - Zooming in on the trades (circles) and NBBO over a 5 second period of time.

5. FITB - Zoom of the best bids and asks.

6. FITB - Zoom of all bids and asks.

 


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Tue, 11/19/2013 - 20:00 | Link to Comment mickeyman
mickeyman's picture

Is it one algo or is it a duel? Or duet?

Remember, this year is the 50th anniversary of the discovery of chaos. http://worldcomplex.blogspot.ca/2013/11/happy-anniversary-chaos.html

Tue, 11/19/2013 - 20:09 | Link to Comment CClarity
CClarity's picture

Mickey, I like the duet or duel Q.
I also rarely hear the chaos word without fondly harkening back to the dueling Chaos and Control of Get Smart.
Agent 99!!

Wed, 11/20/2013 - 05:57 | Link to Comment limit_less
limit_less's picture

Is this the future of warfare? Algo versus algo? 

Tue, 11/19/2013 - 20:02 | Link to Comment no life
no life's picture

Reminds me of the old Atari game..  long time ago.

Tue, 11/19/2013 - 20:01 | Link to Comment Terminus C
Terminus C's picture

FUCKING WADDELL AND REID!!!!!!!

Tue, 11/19/2013 - 20:03 | Link to Comment DoChenRollingBearing
DoChenRollingBearing's picture

I wonder who's algo that was.  Does/can Nanex find out?  And publish the perp?  

LOL...

Tue, 11/19/2013 - 20:05 | Link to Comment wiseindian
wiseindian's picture

Looking at the graph, perhaps the machines are trying to spell HFT or BTFATH visually. Maybe it is a secret coded message telling us to continue our delusional existence.

Tue, 11/19/2013 - 21:00 | Link to Comment infinity8
infinity8's picture

lol. bad etch-a-sketch skills.

Tue, 11/19/2013 - 20:11 | Link to Comment Running On Bing...
Running On Bingo Fuel's picture

Has Nanex recorded any signatures from the 100 or so bitCon algo's?

Over.

Tue, 11/19/2013 - 22:11 | Link to Comment ToNYC
ToNYC's picture

Protective stops captured in their virtual bucket shops that would make Livermore, the boy plunger, gasp.

Tue, 11/19/2013 - 21:02 | Link to Comment Whatta
Whatta's picture

Was it drawing the Manhatan skyline? That's a pretty smart artistic algo. Shoulda "faded" it into the sunset.

Tue, 11/19/2013 - 21:02 | Link to Comment Racer
Racer's picture

Thinking about algos and stuff,

anyone notice a dramatic drop in emails received recently?  I am not talking about spam stuff, just across the board things you normally get?

Wed, 11/20/2013 - 01:37 | Link to Comment JackAz
JackAz's picture

Funny you should say that. The answer is "yes". Dramatic drop in incoming the last 3-4 weeks.

Wed, 11/20/2013 - 03:44 | Link to Comment The Abstraction...
The Abstraction of Justice's picture

Maybe the NSA have stopped sending them out.

Tue, 11/19/2013 - 23:21 | Link to Comment nanex
nanex's picture

Forgot to mention - 388,000 shares of $FITB were involved in the oscillations. Not exactly chump change.

 

-nanex

Wed, 11/20/2013 - 09:52 | Link to Comment Exponere Mendaces
Exponere Mendaces's picture

Appreciate what you do, shining a light on the sordid underbelly of millisecond transactions. One day historians will look back and wonder how people couldn't realize the damage being done.

Great work!

 

Wed, 11/20/2013 - 00:46 | Link to Comment thisandthat
Wed, 11/20/2013 - 03:46 | Link to Comment The Abstraction...
The Abstraction of Justice's picture

10,000 Ph.Ds and 20 years of algorithmic design, and the best we can come up with is 'buy if number of nice words > number of nasty words in news. sell if < than.' The programmers forgot the case when the number of nice words matches the number of nasty words.

Wed, 11/20/2013 - 10:44 | Link to Comment tedstr
tedstr's picture

I am currently short this stock.  It spiked for one tick this moring as well and probably took out a bunch of stops.  Sccumbags.

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