HFT Run Amok: FITB, Gold Futures, FX Manipulation first appeared on Floating Path.

Every week Floating Path looks to highlight some of the crazier examples of HFT running amok in the markets. We typically do so with the help of Nanex which monitors, analyzes, and visualizes high frequency trading market data.

FITB

Just after the close of regular trading on Tuesday, an HFT algorithm turned on in the stock of Fifth Third Bancorp (NASDAQ:FITB) and took price and quotes on a wild ride. During a quick 10 second burst starting at 4:00:37 over 330,000 shares traded (5% of average daily volume) and the price dipped from about $20.20 to $19.10. There was no news or earnings release during this time.

HFT Shenanigans FITB 600x400 HFT Shenanigans: FITB, Gold Futures And FX Manipulation

Zooming in to 5 seconds of the biggest price and NBBO swings..

HFT Shenanigans FITB zoom 600x400 HFT Shenanigans: FITB, Gold Futures And FX Manipulation

Gold Futures

Early on Wednesday morning and again that afternoon fairly large sell orders cratered the price of gold by $10 and $16 respectively and both halted trading for 20 seconds. Surprisingly this is the third such event in as many months and has rumors abound regardingmanipulation and central bank conspiracy. It’s worth noting, as far as the conspiracies are concerned, that since Wednesday afternoon gold has remained around or below the level reached during this drop.

The AM decline..

HFT Shenanigans gold 11.20.13 AM 600x400 HFT Shenanigans: FITB, Gold Futures And FX Manipulation

The PM decline..

HFT Shenanigans gold 11.20.13 PM 600x400 HFT Shenanigans: FITB, Gold Futures And FX Manipulation

In a display of how interconnected and highly sensitive markets are, the chart below shows quoting in the ETF which tracks gold prices, the GLD. When the price dropped and markets halted for gold futures, HFT market makers did not know what to do and likely sensed danger. In these situations, high frequency computers withdraw their bids and offers from the markets, thereby widening spreads and lowering liquidity.

HFT Shenanigans GLD 11.20.13 AM 600x400 HFT Shenanigans: FITB, Gold Futures And FX Manipulation

FX Manipulation

Around three months ago news surfaced about the possibility of big banks manipulating currency prices. Curious spikes were found in some of the more popular trading pairs during a time of day when the WM/Reuters benchmark was set. The image below is from our post at that time.

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Now Nanex has also released a slew of charts showing similarly curious price movements all centered around 11:00 AM in New York or 4:00 PM in London when most European trading comes to an end.

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This video runs through every day of currency trading around the 11 o’clock hour from December of 2012 through the end of October.