June 15, 2017
Category: Market Activity
While running a normal scan, Vertex Analytics employee Ryan noticed something highly unusual; 45 seconds before the Federal Reserve Announcement on June 14th, an algo started to flood the Euro Futures market with add and delete quotes. These quotes were off-market and usually between levels 15 and 30 on both sides of the book. The quantity being added and removed from the market each time was 24, and often represented most of the liquidity at that book level.
Over the next 55 seconds, 4,817 market events occurred in 6EU7; 93 of those events were trades and 4,724 were quote events. Of those 4,724 quote events, 3,957 of them were the algo adding and deleting a 24 lot. Over this period of time, the algo accounted for over 82% of all market activity in 6EU7.
The following screen captures from V3 show exactly what happened:
1. Hundreds of Add and Delete orders are placed in just 700 milliseconds
2. These quote orders are significantly off-market
3. The size of the quote orders relative to what is at each level is significant i.e. orders that are +/-24
4. The amount of market activity this algo took up was MASSIVE. In this 2-second shot, almost all quotes are from the algo:
Time Frame is 12:59:15 to 1:00:10 (55 Seconds)
Total Market Events: 4,817
Total Quote Events: 4,724
Events from Algo: 3,957, or 82% of market events