There is an algo in the final matchup that pays money by my reckoning to have the auction close on the lower side of the spread. I call it Roger. Poor Roger always loses money by selling enough stock to ensure that the top two units (yes only two) from buyers market depth are sold to in the closing auction. Can't be anything wrong with losing money on the ASX surely!
I think the objective is to set the markets expectations lower, and so by losing money it tries to assist the stock to trend downwards. I think it is plugged into the ASX directly, as it is very fast, and if you try to slip in some buy orders to take advantage of it, it will shake the buy and sell depth to possibly try to make you think you will not get set at the lower side of the spread. If too many buy orders are slipped in, it gives up - obviously too expensive to be worth affecting the outcome. I first met Roger in FKP on about twenty occasions.
Isn't great that the regulators will be all over this (snigger).
- Forums
- ASX - By Stock
- GBG
- "roger" the always losing auction algo is here
"roger" the always losing auction algo is here
-
-
- There are more pages in this discussion • 20 more messages in this thread...
You’re viewing a single post only. To view the entire thread just sign in or Join Now (FREE)