Nanex ~ 12-Feb-2013 ~ Are Algos This Stupid (or is it
On February 12, 2013, just after market close, we spotted a crazy manipulation pattern
in ADP. Someone figured out how to fool another algorithm into buying high and selling
low. We've spotted this before and the
regulators have stated that this is illegal.
The light gray shading is the NBBO (National Best Bid/Offer) and the dots are trades
color coded by exchange. Some charts show bids and asks as triangles, color coded by
exchange. Note how the NBBO swings over a 50 cent range a few times per second. The
first chart shows about 10 seconds of data (16:00:51 and 16:01:02).