Friday, April 13, 2007

LTM, the Freaky Hybrid Trade of the day!

I haven't done this post in a few weeks, but today, I couldn't resist. Just look at this crap...

I'm focusing on the trading between 9:50 and 10:35.

At 953:35, the stock trades 100 shares at 50.44. 1300 shares and less than a minute later, the stock is trading 50.13. Almost all of the trading was 100 share prints smacking bids and lifting offers... there was no price correcting by specialists and their "algorithms" to stop the low volume dip in price.

I'm all for fast fills, but back in the day, 1300 shares was a print... a single trade. If a stock was going to drop 30 cents in 30 seconds, it wasn't pushed down by 13, 100 share orders.

Anyway, at 10:00 the stock is back to trading 50.20, but then get this... 2600 shares and 13 seconds later the stock trades 50. WTF?

For the next 25 minutes, the stock calmed down. It traded in a 27 cent range and traded about 14,000 shares. Decent activity. But of course, that couldn't last.

At 10:30:36, 100 shares trades at 49.92 followed by a 100 share trade up at 50.16. 100 shares pushing a stock 24 cents? You have to love a system that allows that to happen.

8 minutes and 14,000 shares later, the stock was up over 50.50. This would be fine if there was some type of "order" to the trade. It's the "airpockets" that exist with the Hybrid Market that make it very difficult to trade. Like the 2 minutes between 10:37 and 10:39 where 2000 shares spiked the stock up 30 cents.

I don't know. I guess you can ask Ray over at Hybridtalk how this type of trade benefits anyone. I can't figure it out myself. The Hybrid Market creates "airpockets" where there is no liquidity. When you hit one of these "airpockets" you get some unpredictable volatilty.

And unpredictable volatility does not breed confidence in a market, that's for sure.

No comments: