HFT Tractor Beam in Facebook (FB)
For a five minute period shortly after the open, FB traded in a 5 cent range, which is incredible considering it had just fallen 4 straight points in the previous 5 minutes. It got stuck in the HFT tractor beam, between 38 and 38.05, as underwriters and HFTs battled it out. Here is a detailed analysis of this battle:
* For more information on the HFT tractor beam, see CFA magazine – The HFT Tractor Beam.
This entry was posted by Dennis Dick on May 18, 2012 at 2:20 pm, and is filed under Trading Education. Follow any responses to this post through RSS 2.0. You can skip to the end and leave a response. Pinging is currently not allowed.
solid synopsis
i think you miss a point in your analysis, namely that with a level 2 feed, one usually sees the next nine levels above and below the current best bid/ask.
as a result, on such a feed, one sees a large support, which results in a huge side imbalance … which also explains why it could fall so deep.
Very interesting analysis, though.
Good post.
I sent you an e-mail to your info address. Let’s talk.
GL
What is also taking place, under the high latency radar is low latency order flow by hyper active co-located HFT robots. These HFT robots see the orders before most of us and execute flash orders before we even know they sent the order. So all we see is time and sales, never seeing the robot orders at all. It’s like an invisible robot market able see and react before the data ever reaches our computer screen. This practice also front runs the large visible orders that you’ve displayed the depth of. The robots search out large orders like this, so there’s no question they were all over FB. Almost 80% of volume today is automated (robot generated) bringing the average hold time of a stock today below 22 seconds.
Nice Post
John