Wonder whether what we saw was a result of ITG's Smart Limit Algorithm. They describe it like this:
ITG announced the launch of ITG Smart Limit Algorithm, or "SLimit". ITG Smart Limit Algorithm employs logic to determine optimal order pricing, sizing and routing in order to balance spread capture opportunities and adverse selection risk. "ITG Smart Limit Algorithm enables institutional traders to compete effectively with high frequency traders when supplying liquidity since it uses similar trading technology and techniques," said Jeff Bacidore, head of algorithmic trading at ITG. He added, "Clients can use SLimit directly when working orders manually or indirectly when using an existing ITG algorithm." (Source: ITG website)
Andrea ("Powered by POET")
