Nanex Research

Nanex ~ 08-Aug-2013 ~ Pre Market Fun in Drew Industries (DW)

On August 08, 2013 between 8:36 and 9:10 EST, Drew Industries (DW) a supplier of RV components, was quoted between $0.00 and $438 every minute in a regular pattern as depicted in the images below:

1. DW - Starting at 8:00 ET, the pink triangles indicate quotes from the BATS and BATY exchanges and are within the normal trading range.
Starting at 8:36 ET however, you can see that the Ask raises up to $438 and the Bid starts to get driven down towards $0.00.

2. DW - Zooming in to the 2sec resolution, we see a much more regular pattern happening once a second.
Notice that the BATS and BATY quotes stay inside the normal range, but the NQEX quotes(grey)are the key movers.

3. DW - At 100ms resolution, we are viewing about 1.5 min so you can get a good look at what is going on between pulses.
Note that the NQES quote keeps the Ask up at $438 for most of the minute.

4. DW - Here at 5ms resolution, it gets a bit more interesting as there is a "break" over the actual minute barrier.
It's interesting to note that the pattern appears to "pause" slightly before the 750ms mark of the incoming minute and then resume slightly before the 250ms into the next minute.

5. DW - Down to 1ms, the majority of the algo is revealed in it's simplicity.
At this resolution, it wasn't possible to fit in the full ramp up and the "break" because the "pause" was too long.

6. DW - Lastly, also at 1ms, we show the "break" between 675ms of the incoming minute and the $438 Ask order at 175ms of the next minute
At this time scale, 500ms is an eternity for these algos.

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