How one algorithm accounted for 4% of trading in one day on Wall Street

This is a problem of which I was totally unaware - and probably many of you are in the dark about it as well. CNBC: A single mysterious computer program that placed orders - and then subsequently canceled them - made up 4 percent of all quote traffic in the U.S. stock market last week, according to the top tracker of high-frequency trading activity. The motive of the algorithm is still unclear. The program placed orders in 25-millisecond bursts involving about 500 stocks, according to Nanex, a market data firm. The algorithm never executed a single trade, and it abruptly ended at about 10:30 a.m. ET Friday. "Just goes to show you how just one person can have such an outsized impact on the market," said Eric Hunsader, head of Nanex and the No. 1 detector of trading anomalies watching Wall Street today. "Exchanges are just not monitoring it." Hunsader's sonar picked up that this was a single high-frequency trader after seeing the program's pattern (200 fake quotes, then 400,...(Read Full Post)

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