Nanex ~ 10-May-2012 ~ More Coincidence or Algo Test?
Every day during pre-market and after-hours trading we see high quote traffic without any trades that looks a lot like algo testing. Yesterday, we
showed an example from pre-market trading morning. Below, we show charts captured
after hours on 10-May-2012
of 4 ETFs that are closely related. Each 50 millisecond interval chart shows the best
bids and offers color coded by exchange, and the NBBO shown in gray shading. The charts
all show the same 50 second slice of time so you can easily compare them.
DIA SPDR Dow Jones Industrial Average
DDM ProShares Ultra Dow30
DOG ProShares Short Dow30
DXD ProShares UltraShort Dow30