Wild Algos in AAPL
HFT still alive and enjoying this no volume melt up market, although we are sold they help increase volume, liquidity and efficiency. AAPL catching the disease.
From Nanex; HFT algorithms have been running wild in Apple (AAPL), causing massive quote message traffic and wreaking havoc on exchange routing software. Today we drilled down into this mountain of data and found clear examples of manipulation. It appears this algorithm sends a flood of orders from multiple exchanges in an effort to overwhelm or confuse other algorithms or human traders. Sometimes this results in crossed quotes from one of the 9 exchanges which then triggers a cascade of trade executions
The NYSE and NYSE-Arca have recently proposed rule changes that would formally make this activity illegal.
A recent article in Reuters indicates the SEC is finally acknowledging the negative impact of this behaviour.
AAPL on January 18, 2012 (1 second intervals). This chart shows 18 minutes of data. The NBBO is the shaded area and colored black to indicate a
normal market (bid < ask), yellow for a locked market (bid = ask), or red for a crossed market (bid > ask). The quote traffic is shown in the bottom panel.
Note the absurdly high rate marked “Not Normal”.
European Charts (and what to use as a hedge)
Majority of the European Indices are within the down trend. The down momentum has eased slightly, and we could be retesting some of the resistance levels a little higher. Market is in a buy the news mood, whatever the news is, until people realize reality.
Dax testing down trend channel.
Stoxx 50 getting “trapped” here.
AAPL up up and away
And the “always” winner, AAPL. Moving higher on speculation to replace HP in DOW. But that is probably wishful thinking as the stock would get a disproportionately big weighting in the DOW.
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