This post first appeared on FloatingPath 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.

HFT Employment Data

Yesterday was the first Friday of the month, and with that comes the much coveted employment situation report. This month’s, like many past, didn’t disappoint with some seemingly well placed trades directly ahead of the 8:30 release. In the following charts, price is indicated by the white. Colors above price indicate sell orders and below represent buy orders. Red would show the extreme (large) end of the spectrum in size of orders.

Large sellers in gold…

HFT Shenanigans Gold 8.8.13 600x774 HFT Shenanigans: Employment Data, TWTR, And USD Futures

Large sellers in crude oil…

HFT Shenanigans Crude 8.8.13 600x753 HFT Shenanigans: Employment Data, TWTR, And USD Futures

Large sellers in S&P futures, though they didn’t stay in the order book for long…

HFT Shenanigans ES 8.8.13 600x772 HFT Shenanigans: Employment Data, TWTR, And USD Futures

TWTR

Yes! The Twitter Inc (TWTR) IPO finally arrived! If you used the flowchart, and still decided to buy TWTR, you were subjected to some wild swings on that first day. It was a high frequency trading field day that at one point reached 2,200 trades in one second.  Here’s day one of trading, but notice odd spikes at 11:10 and 11:15.

HFT Shenanigans TWTR 600x400 HFT Shenanigans: Employment Data, TWTR, And USD Futures

Zooming in here, you can see that some traders executing on BATS and EDGE paid a bit too much for their shares. On the bright side, some algorithms were able to sell very high.

HFT Shenanigans TWTR BATS and EDGE 600x400 HFT Shenanigans: Employment Data, TWTR, And USD Futures

USD Futures

The two charts from U.S. dollar futures from Thursday show odd and sudden contractions in liquidity. The events seem to have no reason behind them, but certainly show again that HFT doesn’t really provide liquidity like their proponents claim.

HFT Shenanigans USD liquidity 2 600x686 HFT Shenanigans: Employment Data, TWTR, And USD Futures

HFT Shenanigans USD liquidity 600x686 HFT Shenanigans: Employment Data, TWTR, And USD Futures