The Memorial Day Gold Massacre - When HFTs Forget The World's On Vacation

As the rest of America began to relax last Monday with a patriotic beer in their hand and a never-forget-hotdog stuffed in their mouth, the machines that run the gold manipulation market appeared to forget that the world was on vacation. The WTF moment that we described here, appears - thanks to Nanex detailed analysis - to have been the actions of yet another rogue HFT algorithm roller-coastering through an after-hours order book in gold futures. Un-rigged?

Via Nanex,

HFT Roller Coaster Algo Runs in After Hours Gold


1. June 2014 Gold (GC) Futures Top and Depth of Book. 
The cumulative size of orders in explodes from a normal 250 to over 2,500 contracts and most of this size is at the top of book (best bid/ask).




2. June 2014 Gold (GC) Futures quote spread.
Note the wild price oscillation between $1275 and $1320.




3. June 2014 Gold (GC) Futures trades.
Trading stops at 13:00




4. June 2014 Gold (GC) Futures quote spread - Zoom 1 of Chart 2.



5. June 2014 Gold (GC) Futures quote spread.  Zoom 2 of Chart 2.



6. June 2014 Gold (GC) Futures Depth of Book.



7. June 2014 Gold (GC) Futures Depth of Book.



8. June 2014 Gold (GC) Futures Depth of Book.



 

So while the world shrugged it off as yet another fat finger, it was real orders, not shitty data - from an HFT algo gone wild... welcome to the new unrigged markets...