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Any insights into following algo?
20-09-2018, 03:11 PM. (This post was last modified: 20-09-2018, 03:12 PM by AQ..)
Post: #1
Any insights into following algo?
Noticed something recently when i did transactions.

Suppose something is trading at X-Y (X is the bid and Y is the offer).

No trading for the majority of the day, and I decide to buy e.g. 10000 @ Y.
Immediately (right down to the second), algos kick in and thru times&sales, I see multiple sell orders of 100 shares at X right after i bot 10000 @ Y. Let's say 7 orders of 100 sells for illustration.

Originally i thought this is part of algo to create an illusion of selling pressure since the EOD stats will show up as 10000+7*100=10700 @ X.
But if this is so, then why will the algo sell 7 orders of 100 @ X when 1 sell of 100 is enough?  i.e. why is volume of 10700 @ X preferable to 10100 @ X?

Anyone with insights into what the algo is really trying to achieve?

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21-09-2018, 05:16 PM.
Post: #2
RE: Any insights into following algo?
Hi AQ

Some Algo are volume restricted which can be quite dumb. So a stock with 1m bid and offer you may have no trasaction even if you want to sell only 10k algo because there's no volume. When you buy 10k at Y it could also be the algo sold at Y certain quantitty and trying to catch up with quantity by selling more.

So one has to know the characteristic of the stock before putting in algo. And in your example it may also be more than 1 broker is running algo
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26-09-2018, 05:55 PM.
Post: #3
RE: Any insights into following algo?
I am not a algo trader and am not familiar with high frequency algorithms.
Just hazard a guess using the point of view of a low frequency trader.

Say the sell queue consist of 9,300 units from various sellers followed by 1,000 units from a algo seller. When a buyer grab 10,000 units from the sell queue, the algo seller ended up with 700 units of unfulfilled sell. So it has no choice but to quickly sell the 700 to the buy queue. The advantage is that all it's sell trades will be amalgamated and it pay a combined brokerage fees. At least that is what I will do if I ended up with partial done trades.  Big Grin

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