Predatory Prop Trading at work…
We are working a buy order for a customer of ours (it is not in the large cap top 100 names where HFT blesses us with their liquidity), and trying to float our bid in as the market is heavy.
Essentially, we are bobbing and weaving, changing our trading venues, and pegging at times off the bid side of the NBBO. Some predatory proprietary algorithm keeps trying to join us on the bid on the ISE, so as to stop our pegged bid from further floating down, so that they can short us stock at inflated prices in our destination (without hitting the stock in the ISE).
This is what we deal with every day. Our brethren on the buyside relates, as they deal with this too. We know this is par for the course. And we know that many of our saavy buyside friends protect against this with antigaming software and good old fashioned attention. But it does go to show you that if you aren’t watching your order flow closely, the pennies and nickels stolen from you can really add up.