Wed, Apr 25, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Nanex: More high frequency trading events in the U.S. last week

Friday, October 12, 2012

Benedicte Gravrand, Opalesque Geneva – Last Wednesday (October 3rd), shares of Kraft Food spiked by $13. When the market opened, Kraft shares went from $45.55 to a high of $58.54 before the Nasdaq cancelled trades above $47.82. This was another episode created by high frequency traders (HFT).

Eric Hunsader, the founder of Nanex, a market data firm, told CNBC that the pattern was seen in five separate events. "It was something that was stopping at the liquidity, then waiting about three quarters of a second for the book to build, and then taking that liquidity out, and repeat," he explained. "It just did not seem to have any sanity check on how high it was willing to go." This algorithm, either alone or with another trader getting involved, caused the price of the Kraft share to go up sharply.

"Just yesterday, a brand-new algo showed up that accounted for 4% of all the quotes in the market yesterday — and this is one person," he said on "Fast Money."

It would be difficult to prevent this, he said. Exchanges only focus on their own trades, not on the bigger picture, so they do not see the outside repercussions of such trades. One solution should be allowing the trades go through and make the bidder pay the inflated price, he suggested.

In a separate article this Monday, Nanex’ founder talked about the mysterious computer program that placed order......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Sequoia takes Facebook stake as shares slide in data controversy, $1.4b hedge fund sees intact fundamentals for Facebook, Jim Cramer reveals some 'suggested hedge fund trades' amid the Trump tariffs[more]

    Sequoia takes Facebook stake as shares slide in data controversy From Bloomberg.com: The $4.2 billion Sequoia Fund bought a small position in Facebook Inc. as the stock slid late in the first quarter, investment manager Ruane, Cunniff & Goldfarb told clients. "The recent controversy enab

  2. Activist Investors - Blue Sky-owned Wild Breads faces uncertain future[more]

    From AFR.com: A Blue Sky private equity investment in artisan-style baker Wild Breads enjoyed multiple valuation upgrades despite losing millions and breaching its lending covenants, accounts lodged with the regulator last week show. Wild Breads lost $2.4 million in 2017, but Blue Sky ascribed a hig

  3. Opalesque Exclusive: Barnegat to close hedge fund to outside investors on weak opportunities[more]

    Komfie Manalo, Opalesque Asia: Bob Treue's Barnegat Fund Management said it is closing its $666m fixed income relative value hedge fund to outside investors. "The negative side to gains in Fixed Income Arbitrage is that unless we find new opportunit

  4. Investing - Hedge fund makes a big bet on malls, British hedge fund manager Odey short UK government bonds on QE bet[more]

    Hedge fund makes a big bet on malls From Barrons.com: The dominant narrative on American shopping malls is that they're dead. Crushed by Amazon.com, many brick-and-mortar retail stores are destined for bankruptcy. And where is the most retail, clustered all together? Malls. From a

  5. Performance - Hedge funds suffer first back-to-back loss in two years, Netflix performance burns hedge fund short sellers, Macro hedge fund up 14.5% in first quarter sees dollar falling, Renaissance Technologies rebounds across hedge funds in March[more]

    Hedge funds suffer first back-to-back loss in two years From Bloomberg.com: Hedge Fund returns sank for a second straight month in March, the first back-to-back loss since the first two months of 2016, as trade wars, tech-sector woes and a Fed rate hike dragged down the S&P 500 from its