Market Data Firm Spots the Tracks of Bizarre Robot Traders
Mysterious and possibly nefarious trading algorithms are operating every minute of every day in the nation's stock exchanges.
"When I pulled up that first chart, we saw 'the knife,' we said, that's certainly algorithmic and that is weird. We continued to refine our software, honing the algorithms we use to find this stuff," Donovan told me. Now that he knows where and how to look, he could spend all day for weeks just picking out these patterns in the market data. The examples that he posts online are just the ones that look the most interesting, but at any given moment, some kind of bot is making moves like this in the stock exchange.
Here are a few more bots at work with explanations of what's going on.
Here we see a "flag repeater" being executed on the BATS Exchange, the third-largest equity market after the NYSE and NASDAQ.
15,000 quote requests were made in 11 seconds in a repeating pattern. Each iteration upped the quote a penny until $9.36, and then the algorithm went down the same way, a penny at a time.
