|The 'Preferred' Algos - Table of Contents
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On May 23, 2011 we began seeing several "preferred" stocks appear on
our high quote frequency and algo sequence monitors, such as the raw quote
burst monitor shown here:
Upon examination is was obvious to see the algo sequences present:
Previous to 05/23/2011 it was extremely rare to see a preferred stock appear in
our algo monitors. We have now been observing these extremely curious sequences
for seven consecutive weeks (as of 07/12/2011).
What we know about the algos to date:
- The algos are varied although many exhibit similar behavior.
- The algos run in dozens of preferred stocks.
- The algos run at excessively high quote rates.
- Quotes from multiple exchanges follow/interact with the price.
- In the majority of cases the algos also move the NBBO rapidly.
- While rare, we have recorded trades occurring while the algos are running
(some are shown in the examples). As it runs in fairly illiquid issues this
would be expected (few trades).
- As of this writing (July 12'th, 2011) the algos have ran every trading day
since May 23'rd, 2011. They run on several issues each trading day and dozens
of issues each trading week.
The following pages provide further analysis of the algos and their behavior:
Publication Date: 07/12/2011
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