Sun, Mar 29, 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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. M&A - Hedge funds no longer attractive targets for banks, reinsurers, Blackstone buys stake in Christopher Pucillo’s Solus event-driven hedge fund[more]

    Hedge funds no longer attractive targets for banks, reinsurers From Institutionalinvestor.com: Swiss RE, the world’s second-largest reinsurer, is looking to sell its 15 percent stake in Jersey, Channel Islands–based hedge fund firm Brevan Howard Asset Management. Morgan Stanley reported

  4. Opalesque Radio: Threadneedle expects continuing equity volatility this year[more]

    Benedicte Gravrand, Opalesque Geneva: Investors should expect more volatility, which is signaling a "slow moving" top to the market, KKM Financial’s founder and CEO Jeff Kilburg told CNBC on Monday. And this volatility is going

  5. Hedge funds show strong performance of 2.52% so far in 2015[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry got off to a strong start in 2015 "completely unmindful" of the poor performance last year, according to data provider Preqin. According to Preqin, following a year which saw the average he

 

banner