What a fragmented mess in Kraft (KRFT) this morning.  The stock opened for trading at $45.55, but then 18 seconds after the open, the stock starts to run up.  It trades sporadically between $48 and $58.54 for the next 12 seconds, and then comes right back down.

Check out the tape:

Look at the size of the trades.  It is all 100-500 share lots (note trade size is quoted in hundreds in the pic above).  This was not a fat finger.  There was not a huge buyer in the market.  This was simply a lack of liquidity.

This is a stock that normally trades in a one point daily range.  We have been saying this for the past year, there is very little liquidity in the first 2-3 minutes of trade.  HFT participants do not provide liquidity when there is risk and uncertainty, and there is always uncertainty in the first 2-3 minutes, especially on issues with recent restructuring.  Traditional market makers no longer exist.  We are dependant on HFT liquidity, and that type of liquidity is unstable.

We need to incentivize other participants to provide liquidity during times of uncertainty, because HFT participants do not provide liquidity during these times.