CTIC 6/26 EOD manipulation?

Discussion in 'Order Execution' started by fbell50, Jun 26, 2010.

  1. fbell50


    This is the last 20 minutes on 6/26:

    Time Volume Last
    3:40:00 6,619,853 .382
    3:59:36 14,422,123 .38
    4:00:00 17,072,121 .30
    Closing cross 47,077,305 .37

    From 3:40 to 3:59:36 total volume for the day more than doubled without any significant price movement. In the last 24 seconds, price declined from .38 to .30 on 2.6M, then 30M executed on the closing cross at .37. After hours trading ranged between .35-.37.

    I've always believed that price manipulation, at least on a large scale, is a good way to lose money. This seems to suggest that someone with a large moc buy order tried to push the price down.

    Am I missing something? I don't have imbalance info, so perhaps this was some sort of positioning in response to a large imbalance. If so, the logic escapes me. I'd expect a large buy imbalance to push the price up going into the closing cross, not down.

    I was pleasantly surprised to find my purchases at .3140 net were onside by 20% a few seconds after receiving the execution reports.