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"OH WATERS, TEEM WITH MEDICINE TO KEEP MY BODY SAFE FROM HARM, SO THAT I MAY LONG SEE THE SUN." - Rig Veda
Mysterious and possibly nefarious trading algorithms are operating every minute of every day in the nation's stock exchanges.
What they do doesn't show up in Google Finance, let alone in the pages of the Wall Street Journal. No one really knows how they operate or why. But over the past few weeks, Nanex, a data services firm has dragged some of the odder algorithm specimens into the light.
The trading bots visualized in the stock charts in this story aren't doing anything that could be construed to help the market. Unknown entities for unknown reasons are sending thousands of orders a second through the electronic stock exchanges with no intent to actually trade. Often, the buy or sell prices that they are offering are so far from the market price that there's no way they'd ever be part of a trade. The bots sketch out odd patterns with their orders, leaving patterns in the data that are largely invisible to market participants.
In fact, it's hard to figure out exactly what they're up to or gauge their impact. Are they doing something illicit? If so, what? Or do the patterns emerge spontaneously, a kind of mechanical accident? If so, why? No matter what the answers to these questions turn out to be, we're witnessing a market phenomenon that is not easily explained. And it's really bizarre."
"For now, Donovan plans to keep putting out the charts, which he calls "crop circles," of the odd trading algorithms at work. That's an apt name for the visualizations we see of this alien world of bot trading. And it certainly gets at a central mystery surrounding them: if trading firms aren't sending out these orders, how are they getting into the market?
On the quantitative trading forum, Nuclear Phynance, the consensus on the patterns seemed to be that they simply just emerged. They were the result of "a dynamical system that can enter oscillatory/unstable modes of behaviour," as one member put it. If so, what you see here really is just the afterscent of robot traders gliding through the green-on-black darkness of the financial system on their way from one real trade to another.
No matter why the bots end up executing these behaviors, the Nanex charts offer a window onto a kind of market behavior that's fascinating and oddly beautiful. And we may never have seen them, if not for the mildly obsessive behavior of one dedicated nerd.