Nanex Research

Nanex ~ 26-Jun-2013 ~ What Really Happened In Kraft

See also this page.

1. KRFT - Showing trades color coded by reporting exchange and NBBO (gray shading) from 9:30:10 to 9:30:37 on October 3, 2012
An algo saw buying interest, immediately goes to work widening the spread.

2. Zooming in on 9:30:19 to 9:30:29
Once the spread is wide, it periodically buys 100 shares at the best ask price from multiple exchanges. This induces other algos into believing the price rise is valid and that it is worth bidding $8 below the best ask price. After all, if people are paying $58, then an $8 spread is a worthwhile risk. So the algo buys a few shares at the higher price and simultaneously sells many shares at the lower price.
Note that:

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