algo action analysed

So instead of our 250k seller we've had an algo seller going all day today with a limit at 0.715 chomping away till he runs out of 0.715 to sell into.

They didnt exclusively sell though, a little bit of weirdness in alternately crossing the spread in both directions on what appeared to be single orders.

Here is a little bit of basic analysis of the algo behaviour through the day. The trades have been annotated labeled with letters by myself
(a) = order a
(a) Sell XXXX = I believe the order (a) was a sell of XXXX shares
(d-iii) = a step in a more complex order. When several trades have the same number of i's this means they are part of the same step
[xxxx] = an annotation indicating an intermediate trade aggregation.

To begin with - the obvious pattern: Exponentially decaying sell
Rules:
- Have a target sell volume
- Initial sell volume of 66-80% of target sale volume
- Sell 1/5th of previous sell volume every 10-20 seconds
until target sell volume is reached or unable to fill at limit price

Examples:
02:17:02 PM 0.715 1 (f)
02:16:41 PM 0.715 3 (f)
02:16:21 PM 0.715 16 (f)
02:16:00 PM 0.715 79 (f)
02:15:40 PM 0.715 396 (f)
02:15:19 PM 0.715 1,979 (f)
02:15:19 PM 0.715 9,897 (f) Sell (12371)

02:15:07 PM 0.715 1 (e)
02:14:57 PM 0.715 3 (e)
02:14:46 PM 0.715 17 (e)
02:14:46 PM 0.715 82 (e) Sell (102)

01:59:15 PM 0.720 1 (b)
01:58:57 PM 0.720 3 (b)
01:58:46 PM 0.720 16 (b)
01:58:36 PM 0.720 80 (b)
01:58:25 PM 0.720 400 (b)
01:58:15 PM 0.720 2,000 (b)
01:58:15 PM 0.715 10,000 (b) Sell (16100)

01:55:17 PM 0.720 1 (a)
01:54:57 PM 0.720 3 (a)
01:54:39 PM 0.720 18 (a)
01:54:28 PM 0.720 88 (a)
01:54:18 PM 0.720 438 (a)
01:54:07 PM 0.720 2,191 (a) Sell (2739)


There were a couple of instances where this behavior was slightly different - e.g. when it ran out of depth to sell into - after running out of depth to sell into it bought a little back.

02:32:09 PM 0.715 3 (h)
02:31:59 PM 0.715 15 (h)
02:31:49 PM 0.715 75 (h)
02:31:38 PM 0.715 373 (h)
02:31:28 PM 0.715 1,866 (h) <- buying @ 0.715??
02:21:27 PM 0.715 1,700 (g) <- no more 0.715 left
02:21:27 PM 0.715 7,629 (g)

Second pattern: Exponential decaying sell with a twist
This one initially confused me until I realised that it is essentially the same as the first.
- The first and second sell follow the above pattern.
- The 3rd, 4th and 5th are sometimes added up with the 2nd to an aggregate number. This aggregate is then used in the same decaying pattern as above.

02:07:56 PM 0.715 3 (d-i)
02:07:36 PM 0.715 13 (d-ii)
02:07:15 PM 0.715 68 (d-iii)
02:06:55 PM 0.715 336 (d-iiii)
02:06:34 PM 0.715 603 (d-iiiii) [1680]
02:06:34 PM 0.715 1,077 (d-iiiii-a) [1680]
02:06:34 PM 0.715 8,401 (d-iiiiii-a)

02:03:31 PM 0.715 1 (c-i)
02:03:11 PM 0.720 5 (c-ii)
02:02:52 PM 0.715 26 (c-iii)
02:02:44 PM 0.720 129 (c-iiii)
02:02:34 PM 0.720 645 (c-iiiii)
02:02:32 PM 0.715 524 (c-iiiiii) [3225]
02:02:32 PM 0.715 1,247 (c-iiiiii) [3225]
02:02:31 PM 0.715 1,454 (c-iiiiii-a) [3225] <- 1454 is a 1/5 of 7270, but 3225 is 5x 645 so I think the depth must have upset the algo a touch, or this is a different "feature"
02:02:31 PM 0.715 7,270 (c-iiiiiii-a) Sell (11301)

Third Pattern: The indecisive order, with exponential decay
This one is an odd one. The algo appears to buy and sell crossing either side of the spread in an alternating fashion. This might be a sub routine aimed at bringing it towards some target price e.g. VWAP or TWAP. It again follows the above 1/5th of previous trade exponential decay.

03:19:48 PM 0.720 2 <- buying (b)
03:19:28 PM 0.715 7 <- selling (b)
03:19:09 PM 0.720 36 <- buying (b)
03:18:58 PM 0.720 180 <- buying (b)
03:18:50 PM 0.715 901 <- selling (b)

Summing up:
Todays action was dominated by a single algo seller using 2 or 3 strategies. I would not be at all surprised to see the Global X Uranium ETF having sold several hundred thousand BMN shares when they update their holdings between yesterday and today. If it wasnt the ETF, it was some similar investor who had a limit sale of 0.715 for around 2-500 thousand shares. All of its trading was done before the days closing auction.