trading spikes at every 15 or 30 mins

J

jedwards

I've been looking at trades on some securities, and I see regular trading spikes every 15 minutes or 30 minutes.

What could this be, could this be program trading?

Is this phenomenon well known?
 
Quote from jedwards:

I've been looking at trades on some securities, and I see regular trading spikes every 15 minutes or 30 minutes.

What could this be, could this be program trading?

Is this phenomenon well known?
More...

Who knows - maybe someone out there's got a robot seeking to start an auction every now and then. If you're comfortable giving an example, I'd be interested in following it.

But, if you think it's tradeable, well, if it were me, I'd keep it to myself.
 
Certain computerized trading algorithms have a quota, e.g., trade a minimum of 1000 shares every 15 minutes. If the algorithm has not reached its quota as the end of the 15 minute time frame nears, it accelerates its trades.
 
Check out the ES over the course of the year and you'll easily see the spikes at a regular 15 min basis.

jbusse, do you know the names of those algorithms, or know what I can search for in order to get more info on them? What would the motivation be for wanting to trade a certain number of shares every 15 mins? I'm curious about what strategy behind the behavior is.
 
Quote from jedwards:

What would the motivation be for wanting to trade a certain number of shares every 15 mins? I'm curious about what strategy behind the behavior is.
More...

use what's behind your eyes...
 
Suppose a fund wishes to sell a large number of shares of a particular stock. If they can afford to be patient, they would want to sell it gradually to minimize price impact. That is an ideal situation for a computer algorithm, as it can be programmed to transact the order over whatever time frame is desired. The algorithm might wait for liquidity in the order book, but end up selling large amounts periodically to keep up the pace necessary to complete the transaction in the allotted time.
 
Thanks for the insight, jbusse! Just to pick your brain, are there books or resources that teach about the various algorithms that funds or other companies use, or is this just stuff one picks up by working in the industry?
 
Quote from jedwards:

Thanks for the insight, jbusse! Just to pick your brain, are there books or resources that teach about the various algorithms that funds or other companies use, or is this just stuff one picks up by working in the industry?
More...

If there is a book on it then the odds are it doesn't apply anymore.
 
Well, I'm not looking for a particular strategy that works, I'm trying to understand the basis for how these funds/people trade, and having examples of past strategies would be educational. For example, in the explanation that jbusse gave, the idea that a fund would need to trade slowly out of a position is something I wouldn't have thought of, and I would never have thought it would manifest itself so visibly. For more seasoned traders its probably obvious, but I'm still a relative newbie far away from Wall Street, and getting that type of knowledge is hard to come by except for places like this. Since I don't know any traders, a book, etc, would really help bridge that gap.

Once I understand how and why they trade a certain way, then it could either help me understand the markets and trading a bit better.
 
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