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The Three HFT Horsemen


July, 2009

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.

2 Responses to “The Three HFT Horsemen”

  1. Penny Stock Picks

    Penny Stock Picks…

    Great job with the info. How did you find it? Please let me know….

  2. HenryS

    So in round numberes –

    On the .005 /share – that is 4.3 Million $$

    and on the .01/share that is 8.6 Million $$

    But let us say that on the buy/sell they broke even – so they did not really make anything since they had a total wash out of their trades – so profit on the Trades – a big fat zero —

    But on their Trading Volume – they still made 4.3 Million $$$ – –

    How is that fair to anyone other than the Exchance that then gets to seel the trading history to others and since this is 10% more volume . . .

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