Sun, Jul 5, 2015
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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner