Nanex Research

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

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