The Three HFT Horsemen

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The three HFT horsemen are C, BAC and CIT.  These three stocks traded 860 million shares today which is 10% of all US Equity volume.  Think about that – 3 stocks in a universe of over 5000 U.S. stocks represented 10% of the volume.  How could this be?  Look at the intraday chart of all three of these stocks and you will see a something in common: an early morning move followed by a flatline with a very tight range (around .05).  Meanwhile, while these stocks were flatlining the market was heading higher.  The S&P 500 gained around 10 points in the afternoon (or 1%) but these 3 stocks did not move.  There was a constant bid to these stocks yet anytime they wanted to lift there seemed to be a constant offer just a few pennies higher.  This is what HFT looks like.  The HFT’s made a killing in these 3 names today – in addition to the .01-.02 spread, they collected about .005/share in liquidity rebates.  Not a bad day for a supercomputer.