Step Right Up: It's HFT Whack-A-Mole Time

Tyler Durden's picture

For those who thought the crocodile algo or the fractal HFT patterns were crazy, you ain't seen nothing yet. Earlier today, Nanex caught arguably the most berserk HFT algorithm yet captured on film, or jpeg as the case may be, in the trading of Earthlink stock shortly after hours. What happened next is one for the ages... Because it certainly will not make it to the regulators. In essence, we had our first spotted appearance of the Whack-A-Mole algorithm, which allowed one, if one is fast enough, and incidentally one isn't, as all the bids would be cancelled at the same time as they were sent out, to make free money on a 10% trading spread between the bid and ask. Gone is any pretense of an NBBO, gone is any pretense of an orderly market: it is the wild, electronic, and nanosecond west out there.

Per Nanex:

It's wack-a-mole, if you can hit the bid and offer fast enough, it's instant money!

On August 2nd, right after regular trading closed at 16:00, ELNK perfectly illustrates the illusion of modern trading. Gone are luddite meanings of bids and offers, where a bid really meant someone wanted to buy and an offer was a legitimate offer of stock. Today's bids and offers are beautiful to behold. And boy they are fast! How fast? Faster than you could ever hope to hit them. So shut up, sit back, and leave it to the professionals.

ELNK - EARTHLINK

Price Only:

Price and Size:

Scatter plot of trades only (Price and Size):

Zoom in of price activity:

Zoom in of early price activity:


The charts below are spaced evenly with time. The first is in 100ms intervals, the second in 200ms intervals.

shading: red=NBBO crossed, yellow=crossed, gray=normal