No one knows where it came from, or what it was meant to do, but 4 percent of all trading in the U.S. stock market last week was executed by one algorithm, CNBC reports.

Nanex, a market data firm, told CNBC that the algorithm was placing orders once every 25 milliseconds and then canceling them. The orders went out in bursts of 200, then 400, and then 1,000 orders.

Then suddenly, around 10:30 AM on Friday, the algorithm stopped entirely.

Nanex has the animation that helped them zoom in to the mysterious algorithm posted here.

So why would someone put out fake orders like this?

A trader explained to us that this is a high frequency trading firm's way of baiting buyers interested in purchasing a specific stock and forcing them to reveal their positions. Once the potential buyer has put out their bid, the HFT cancels the order and the buyer is left out in the open. Usually, its a set-up for another trading strategy the HFT is about to execute.

Tricky.