[2008-09-04][RJA] Front-running algo ?

[guest2]

Hello

I`ve found some of my old blotters from time when I was trading in SwiftTrade. One of them is very curious for me now cos in 2007-2008 I had not any knowledge about algos, front-running, HFT etc.

In 2008-09-04 I made a keystroke @RJA after setting up new keyboard layout in ProsperPro. Instead of sending buy(limit order) I send short sell(with limit)

Please, see printscreen in attachment.

Today, I downloaded TAS history for that day:

Price Size Mkt Time TRDI
9.97 990 P 08:29:16.780 FT
9.54 990 T 08:29:16.870 FT
10.3 6540 T 09:30:02.560 O X
10.3 6540 T 09:30:02.560 Q
10.38 1000 T 09:31:55.973 @
10.39 2100 A 09:33:11.783 O
.....
F= Intermarket Sweep Order
T= Extended Hours Trade

1000@10.38 = I closed my short position.

In Swift`s execution history I`ve:

2008/09/04 08:29:16.640 RJA 9.5400 990
2008/09/04 08:29:16.640 RJA 10.0100 10
2008/09/04 09:31:55.747 RJA 10.3800 1000


Now I`ve question: Was it an algo that 1ms before my order was executed, took 990 shares @9.97 and then filled my order @9.54 ?

How would you comment this situation ?

thx
guest

 

[vicirek]

Quote from guest2:


Now I`ve question: Was it an algo

How would you comment this situation ?

thx
guest

Algo is big word for low volume ETN/ETF like RJA. There is not enough market depth and liquidity for big algo to go in. If anything it would be market maker/specialist order matching software but most probably it is lack of true market depth and interest.