Rogues, Targeting the VWAP by "slice and dice" orders is the...

Rogues,

Targeting the VWAP by "slice and dice" orders is the excuse the ASX use to justify bot/DMA trading but in fact we and blind freddy see it all in a very different light.

In real life we only have to look at the course of trade action to see countless bots programmed to either push a price down or keep a price up.

What is worse is the fact that the ASX endorse this action.

Here's there first reply to my querie:-

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Thank you for your email.

Having reviewed the course of sales data for MPO, MBP and TMR it appears the trades you are referring to, are the result of DMA (Direct Market Access) or algorithmic trading.

You may be aware that DMA trading allows a client to send orders directly onto a trading platform without human intervention. One form of DMA trading involves a strategy to match the volume weighted average price (VWAP) for a stock over a day. As a means of capturing the VWAP, a single order might be split up into several smaller orders which are submitted periodically (every 3 minutes for example).

This type of DMA trading is normally unremarkable and has no impact on the price or volume of a stock. However, occasionally market observers may see small volume orders being submitted to a trading platform in a less liquid stock which result in small volume trades.

Surveillance monitors DMA trading and expects brokers to have in place appropriate mechanisms to ensure that such trading is not manipulative. DMA trading is an increasingly popular means of trading, particularly when a participant seeks to track VWAP or ‘slice and dice’ an order for other purposes. Further details and articles regarding DMA trading can be found be searching under "DMA Trading" on the ASX website. Please refer to the link below.

http://bureau.panopticsearch.com/search/search.cgi?query=DMA+Trading&collection=asx&form=simple&num_ranks=10

Please be advised that ASX surveillance has been notified of your concerns and will continue to monitor the trading in MPO, MBP and TMR.

I hope this is of some assistance to you and I appreciate you raising your concerns with ASX.

Kind Regards,

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I have followed the links, studied the explanations and even tried to give them the benefit of the doubt. My conclusion is "RUBBISH", it is such an obvious manipulation of the share price that it should indeed be banned.

Follow up emails:-

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Once again I am forced to ask for yet another investigation into the so called “DMA trading” currently taking place on MPO.
I have read your explanation and I have followed through with web research via the links provided.
Everything I have read does not explain the trading patterns currently being executed with MPO.
Regular parcels of 848 shares are being bought up the list and then sold down the list.
This is not consistent with your explanation of DMA trading and looks a lot more like manipulation to me.
Your analysis of this current action would be greatly appreciated in helping me to better understand the process.

I am looking forward to your reply.

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Further to my email of yesterday, identical action is once again taking place with MPO but now with 814 share parcels.

Your prompt explanation would be greatly appreciated.

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And of course I am still waiting for their response.

The minimum entry to an intial position in a stock is $500.00.
After the intial entry you can buy or sell any quantity of shares you wish keeping in mind your brokerage fees which are attached to every transaction.
There are brokers around that allow you to take several trades on the same stock on the same day and within 5 price points for a single brokerage fee by accumulating and summarising the total of the trades at days end.

Hope it all helps but in the mean time, I'm waiting for a decent explanation from ASX.

cheers kse3137