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

Discussion in 'Trading' started by guest2, Oct 18, 2012.

  1. guest2



    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 ?

  2. vicirek


    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.