3

I see this on a share tracking site (JSE:COH)

Time    Price   VWAP*   Volume
10:23   43.40   42.91   4
10:20   43.40   42.91   90
10:13   43.45   42.91   116
10:13   43.45   42.90   884
10:09   43.62   42.85   340
10:06   43.98   42.83   4
10:06   43.98   42.83   4
10:06   43.64   42.83   4
10:06   43.98   42.83   4
10:05   43.43   42.83   4
10:04   42.87   42.83   573
10:04   42.87   42.82   518

Someone appears to be testing the share at different levels just buying or selling 4 shares at a time with fairly wild price point swings. Are they trying to probe for any "hidden limit orders" so that they can buy/sell close to the hidden order price? Or are they trying to trigger some automated trading engine into action? Thanks Peter

  • 1
    I've always thought it was the work of HFT Trading systems for these types of volumes etc; not people trying to trigger ones =) – MackieeE Nov 4 '15 at 13:50
5

Or it could be a Robinhood user just messing around with their free commissions.

I've seen "people that work for organizations" and other analysts go crazy over some completely benign activity.

It is like playing poker with a newbie, unpredictable.

  • Someone experimenting with high-frequency trading, or as high as their hadware can handle... yeah, I do consider that plausible. Personally, my reaction is that if you're looking at this level of detail you're more likely to hurt yourself than help yourself unless this is essentially your full-time job, but others, obviously, may disagree. – keshlam Nov 4 '15 at 13:53
4

Probing for hidden limit orders usually involves sending the orders and then cancelling them before they get filled if they don't get filled. With trades actually going through multiple times for small amounts it looks more like a VWAP strategy where the trader is feeding small volumes into the market as part of a larger trade trying to minimize average cost. It could be probing but without seeing the orders and any cancels it would be difficult to tell.

edit: I just had another thought; it could possibly be a market maker unwinding a bad position caused by other trading. Sometimes they drip trades into the market to prevent themselves from hitting big orders etc. that might move back against them. This is probably not right but is just another thought.

source: I work for an organization that provides monitoring for these things to many large trading organizations.

  • selling puts is a more profitable way to minimize average cost – CQM Nov 4 '15 at 11:12
  • I'm sure that's not true for long/short only funds or where derivatives on an instrument would be OTC. – MD-Tech Nov 4 '15 at 11:14
  • long/short only fund, you think they limit themselves completely to the share market? Just because their fund manager only knows how to buy the S&P 500 and collect management fees doesn't change the fact that selling naked puts would be more profitable. if the instrument is not optionable, then you can't sell naked puts, doesn't negate the fact that it would be more profitable. – CQM Nov 4 '15 at 11:38
  • long/short funds are only allowed to take unleveraged positions due to either compliance rules set at the creation of the fund (i.e. they are sold as unleveraged funds) or by law in some jurisdictions. They cannot use any derivative instruments at all ever and so, to minimize average cost they have to spread out large volume trades. We are talking about actual trades here not what is more profitable IF you can do it – MD-Tech Nov 4 '15 at 11:47
  • you just described the opposite of a long/short fund. they can use derivatives, and naked puts do not have to be leveraged. – CQM Nov 4 '15 at 11:59
1

It looks more like someone is trying to pocket the spread. The trades are going off at the bid then the ask (from what I can tell without any L1 and L2 data, but the spread could be bigger than what the prices show, since the stock looks pretty volatile given the difference between current price and VWAP...). Looking through the JSE rule books I didn't find any special provisions on how they handle odd lots in their Central Order Book, but the usual practice in other markets is to display only round lot orders. So these 4 share orders would remain hidden from book participants and could be set there to trigger executions from those who are probing for limit orders. Or to make a market with very limited risk.

Time    Price      Volume
10:23   43.40      4
10:06   43.98      4
10:06   43.98      4
10:06   43.64      4
10:06   43.98      4
10:05   43.43      4

protected by Chris W. Rea Nov 16 at 19:13

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