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Berserk HFT Algo Du Jour
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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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
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!!
One day these algos will break the market for good. Until then, silver and gold are on sale...
Is this the future of warfare? Algo versus algo?
Reminds me of the old Atari game.. long time ago.
FUCKING WADDELL AND REID!!!!!!!
I wonder who's algo that was. Does/can Nanex find out? And publish the perp?
LOL...
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.
lol. bad etch-a-sketch skills.
Has Nanex recorded any signatures from the 100 or so bitCon algo's?
Over.
Protective stops captured in their virtual bucket shops that would make Livermore, the boy plunger, gasp.
Was it drawing the Manhatan skyline? That's a pretty smart artistic algo. Shoulda "faded" it into the sunset.
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?
Funny you should say that. The answer is "yes". Dramatic drop in incoming the last 3-4 weeks.
Maybe the NSA have stopped sending them out.
Forgot to mention - 388,000 shares of $FITB were involved in the oscillations. Not exactly chump change.
-nanex
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!
Speaking of Algos...
Here's another interesting story: http://falkvinge.net/2013/09/13/bitcoins-vast-overvaluation-seems-to-be-... (posted by KingFiat, here: http://www.zerohedge.com/news/2013-11-19/guest-post-future-bitcoin-asia#...)?
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.
I am currently short this stock. It spiked for one tick this moring as well and probably took out a bunch of stops. Sccumbags.