Why do algos buy in pieces????

So I have 10,000 shares on the bid

.10/.11

I'm wanted to get the whole order filled and let myself get rolled over. Rather than the algos buying all 10,000 at once they buy
2200
1800
3100
2900


Why not just hit all 10k at once.

 

You need to be more specific. All I can say right now is separate orders were executed opposite your 10,000 share order. Maybe even different counter parties.

 

My first guess is that the algo just isn't very good and is simply doing what it's programmed to do, which doesn't make sense in this case. But are you sure they're all different people hitting your bid or ask?

 

They are all executed at the same time. I have to imagine its one along that's interested in taking the whole price out.

Anytime I have say a large order on the bid it's normally taken out in pieces all at the same time

 

Because you want them to.

 

You're assuming the whole 10k went to the same seller.

 

I know what whiteout's saying. If you watch TAS all day, you'll frequently see that particpants break up their orders. 5000 might be 1100 1200 1300 1400. When a computer program wants to do a large print that might take out a level, it does four smaller prints at the exact same instance. One almost never sees large prints.

As a simplistic example for how we "know" it has to be "one" participant, imagine a stock that is trading very slowly. It's now gone thirty seconds without a print. Suddenly, at the exact same millisecond, six orders come in for similar or equal sized blocks. It's pretty obviously one person (algo). Yes, yes, on a given instance I can't "prove" it's one person but it happens too frequently to be simultaneous participants acting together.

I assume it's done to make the TAS illegible to humans, especially on a big level rollover, and to make it so that one participant's large orders aren't noticed. Since everybody else does it, for one algo not to do it would make him noticeable, I suppose. It's a "herd" thing.

 

If they print 10,000 shares then people using filters, screeners & tickers set to a certain size will see the print pop up... while if they print on small lots they fly under the radar.

 

yeah, it would be almost impossible to program a scanner to look for x shares traded in lets say a 5 second window.

those algos are too smart 4 me.


some of these programs do very weird things.

 

keep in mind that many algo's are tied to options, other stock, indexes etc. They may sell 38 calls, then execute 3800 shares, almost simultaneously to lock in the 3 way conversion or other strategy.

FWIW,

Don