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Crop Circle of the Day - Quote Stuffing and Strange Sequences

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09-29-2010 - The Crop Circle of the Day Page will no longer be updated.

For new Nanex reports, please refer to the Nanex Ongoing Research page.


In our original Flash Crash Analysis report, we dedicated a section to an observed phenomena we termed "Quote Stuffing", in which bursts of quotes (at very high rates) with extremely unusual characteristics were observed.

As we continue to monitor the markets for evidence of Quote Stuffing and Strange Sequences (Crop Circles), we find that there are dozens if not hundreds of examples to choose from on any given day. As such, this page will be updated often with charts demonstrating this activity.

The common theme with the charts shown on this page is they are obviously all generated in code and are algorithmic. Some demonstrate bizarre price or size cycling, some demonstrate large burst of quotes in extremely short time frames and some will demonstrate both. In most cases these sequences are from a single exchange with no other exchange quoting in the same time frame.

All of the data is from the top of the book for each exchange, which we take from either UQDF or CQS.


09-29-10
NSDQ "Seen Too Much". 4,000 quotes in 2 seconds from this NSDQ size repeater, effecting the BBO as it runs.



09-29-10
BOST "You Don't Know Jack". The Boston Zapper roams JACK at 1,500 quotes per second.



09-29-10
"Broken Zanti". BATS and PACF price climbers have at in a pre-market showdown.



09-29-10
EDGX "Living On The Edge". EDGE runs 4,000 quotes in 1 second through SCHB. See below for a zoom



Zoom of the "Living On The Edge" sequence.


09-29-10
NSDQ "Wild Thing". Wild price/size repeater from NSDQ running at 1,000 quotes per second, effecting the BBO along the way. See below for a zoom.



Zoom of the "Wild Thing Edge" sequence.



09-28-10
NASDAQ "The Click". 7,500 quotes in 2 seconds from this NSDQ size/price repeater, effecting the BBO as it runs. See below for a zoom



Zoom of "The Click" sequence.


09-28-10
"Zapata". Multiple repeaters (including the Boston Zapper) interacting with each other.



09-28-10
NASDAQ "Blue Zinger". Interesting price cycler from NSDQ running between 500 and 1,500 quotes per second. See below for a zoom.



Zoom of "Blue Zinger" sequence.


09-28-10
NASDAQ "Petting Zoo". 10,000 quotes in 4 seconds in this NSDQ bidsize repeater, effecting the BBO as it runs.



09-28-10
NASDAQ "Red Tide". 8,000 quotes in 2 seconds in this NSDQ size repeater, effecting the BBO as it runs.



09-28-10
"Rollerball". Multiple repeaters make for quite a scene.



09-28-10
NASDAQ "Single Track". 10,000 quotes in 10 seconds from this price/size repeater, effecting the BBO as it runs.




09-27-10
NASDAQ "Plate Shift". 4,700 quotes in 1 second from this NSDQ size repeater, effecting the BBO as it runs.



09-27-10
PACF "Morning Zanti". Another pre-market Zanti Misfit from PACF running in TZI.



09-27-10
NASDAQ "Bid Stuffer". 6,000 quotes in 2 seconds from the NSDQ bidsize repeater, effecting the BBO as it runs.



09-27-10
BATS "Early Discovery". Interesting $10+ pre-market bid price ramp from BATS.



09-24-10
NASDAQ "4-Wheel Drive". 21,000 quotes in 4 seconds! NSDQ size repeater running at incredible rates.



09-24-10
BOST "Fred". The Boston Zapper roams FRED.



09-24-10
NASDAQ "Wading Pool". 10,500 quotes in 3 seconds from this NSDSQ bidsize repeater, effecting the BBO as it runs.



09-24-10
"The Search". Very low grade price climbers running GOOG make for an interesting scene.



09-24-10
NASDAQ "The Blue Bidder". 10,000 quotes in 7 seconds. NSDQ price repeater cycling the price in an approx. 0.75 range, effecting the BBO as it runs. See below for a zoom.



Zoom of "The Blue Bidder" sequence.



09-23-10
NASDAQ "From Above". Spectacular askprice climber from NSDQ, running at rates from 800 to 1,500 quotes per second. See below for a zoom.



Zoom of the "From Above" sequence.


09-23-10
NASDAQ "From Below". Another spectacular price climber from NSDQ, this time effecting the bid price and running at 500 quotes per second. See below for a zoom.



Zoom of the "From Below" sequence.


09-23-10
NASDAQ "The Beach". 10,000 quotes in 4 seconds from this NSDQ price/size repeater, effecting the BBO as it runs. See below for a zoom.



Zoom of "The Beach" sequence.


09-23-10
PACF "Zanti Mahem I". The Zanti (which was shown yesterday originating from BATS) is a pre-market beast which cycles both the bid and ask price in a $1.00 range, taking the BBO with it as it runs. Today seen running in several issues on PACF.



09-23-10
PACF "Zanti Mahem II". The Zanti again, this time running in TZG. See below for a zoom.



Zoom of "Zanti Mahem II" sequence.


09-23-10
NASDAQ "Zanti Mahem III". The Zanti again, this time running in ALT and on NSDQ.



09-23-10
NASDAQ "The Abyss". 6,000 quotes in 2 seconds from this unusual NSDQ price/size repeater. See below for a zoom.



Zoom of "The Abyss" sequence.


09-23-10
BATS "Junior". CancelBot Jr. makes an appearence in HYGS. Quote, stub to zero, quote, stub to zero, etc etc....700 times a second.



09-23-10
NASDAQ "Detox". Another interesting price repeater from NSDQ (similar to The Abyss shown above) running at 4,500 quotes in 2 seconds. See below for a zoom.



Zoom of the "Detox" sequence.



09-22-10
NASDAQ "Low Tide". 7,000 quotes in 2 seconds from this NSDQ size repeater, effecting the BBO along the way.



09-22-10
"The Zanti Misfit". Crazy pre-market price cycler from BATS pinging off NSDQ quotes. See below for 2 additional views of the sequence.



With NSDQ stripped out showing only the BATS price climber in "The Zanti Misfit" sequence.


Zoom of the BATS price climber in "The Zanti Misfit" sequence.


09-22-10
BOST "Ground Strike". The Boston Zapper roaming NSTC at 1,500 quotes per second.



09-22-10
NASDAQ "The Green Hornet". 3,000 quotes in one second from this NSDQ bidsize repeater effecting the BBO as it runs.




09-21-10
NASDAQ "One Ping Only". 4,400 quotes in 1 second from this NSDQ price/size repeater, effecting the BBO along the way. See below for a zoom of the sequence.



09-21-10
Zoomed in view of the "One Ping Only" sequence.


09-21-10
BATS "The Morphing". The BATS Zapper looks more like the Boston Zapper every day (See below for a zoom). Seen here roaming EWL.



Zoomed in view of the "The Morphing" sequence.


09-21-10
BATS "Early Riser". 20,000 quotes in 5 seconds from this BATS pre-market price/size repeater.



09-21-10
NSDQ "The Deep". 10,000 quotes in 2 seconds from this NSDQ size repeater.



09-21-10
"The Circus Comes to Town". Low grade size repeaters (multiple exchanges) always make for an interesting showing.




09-20-10
NASDAQ "Back to School". 7,000 quotes in 2 seconds from this NSDQ bidsize repeater, effecting the BBO as it runs. See below for a zoom of the sequence.



Zoomed in view of the "Back To School" sequence.


09-20-10
NASDAQ "The Bagman". Pre-market price climber catches 3 trades. See below for a zoom.



Zoomed in view of "The Bagman" sequence.


09-20-10
BATS "Batastic". 13,000 quotes in 4 seconds from this BATS size repeater, effecting the BBO as it runs. See below for a zoom



Zoomed in view of the "Batastic" sequence.


09-20-10
BOST "Faster Zapper". The Boston Zapper roaming ZIOP at 2,000 quotes per second.




09-17-10
NASDAQ "Warp 15". 15,000 quotes in 1 second! Blaster from NSDQ quoting at absurd rates.



09-17-10
"Spastic BAT". Wild look at this BATS price climber/repeater interacting with other participants. See below for a zoom of the sequence.



Zoomed in view of "Spastic BAT" sequence.


09-17-10
NASDAQ "The Spartan". 10,000 quotes in 4 seconds from this NSDQ size repeater, effecting the BBO as it runs. See below for a zoom of the sequence.



Zoomed in view of "The Spartan" sequence.


09-17-10
"Cherokee Nation". Very low grade repeaters interacting with each other make for a very interesting scene.



09-17-10
NASDAQ "Apollo". Blast off 6,000 quotes in 2 seconds in this asksize repeater, effecting the BBO as it runs.



09-17-10
"Things that make you go 'hmmmm'". Another multi repeater sequence with a BATS price climber putting on a show.



09-17-10
NASDAQ "Orange Marmalade". 47,000 quotes in 11 seconds in this ask size repeater from NSDQ.



09-17-10
NASDAQ "The Rover". Unique low grade bidprice repeater from NSDQ. See below for a zoom.



Zoomed in view of "The Rover" sequence.



09-16-10
NASDAQ "Fuzzy Orange". 11,000 quotes in 2 seconds! Simple asksize repeater from NSDQ running at incredible rates.



09-16-10
"Marco Polo". Interesting sequence showing a price climber from BOST interacting.



09-16-10
NASDAQ "Blue Ice". Bidsize repeater running at 3,200 quotes per second and effecting the BBO as it runs.



09-16-10
"Gone Fishing". Interesting price bot action from EDGX.



09-16-10
NASDAQ "Beyond the Blue Wall". 10 second slice of this NSDQ bidsize/asksize repeater running at 1,000 quotes per second, effecting the BBO along the way.



09-16-10
BOST "Take Two". Large range BOST price climber running at 1,000 quotes per second.



09-16-10
NASDAQ "Changing Tide". 3,200 quotes in 1 second. Bidsize/assize repeater effecting the BBO each quote.




09-15-10
"Yellow Snow". 52,000 quotes in 5 seconds! Multiple repeaters run the quote rate to a sustained 10,000+ quotes per second.



09-15-10
BATS "Zapper Clone". The Boston Zapper has moved into BAT territory with a slightly different variation (See below).



Zoomed in view of the "Zapper Clone" sequence.


09-15-10
"Bristles". 20,000 quotes in 2 seconds! Yet another multi-exchange repeater war running the quote rates to amazing levels.



09-15-10
"Market Share". Once again multiple price/size repeaters in GOOG give a remarkable show.



NASDAQ 09-15-10
"Blue Stubble". 5,000 quotes in 1 second from this NSDQ bidsize repeater.



09-15-10
"Street Lamps". 8,700 quote from NSDQ and a 8 from NYSE in 2 seconds, effecting the BBO as they run.




09-14-10
NASDAQ "Blue Flicker". 35,000 quotes in 10 seconds (3,500 per second) in this price/size repeater from NSDQ.



09-14-10
"Double Pole, Double Throw". Interesting pre-market repeater war between BATS and NSDQ. Note the range of rising/falling BBO prices.



09-14-10
NASDAQ "Clogged Artery". 29,000 quotes in 8 seconds! Bidsize repeater from NSDQ effecting the BBO as it runs.



09-14-10
BOST "Zappa Street". The Boston Zapper roaming HAUP.



09-14-10
NASDAQ "I'm A PC". 3,500 quotes in 2 seconds from this bidsize/asksize repeater, effecting the BBO each quote.




09-13-10
"T1 Killer". 26,000 quotes in 3 seconds! Multiple exchanges in this size repeater war run the quote rates to incredible levels.



09-13-10
"Search Bots". NSDQ and BATS price cyclers go at each other in GOOG.



09-13-10
NASDAQ "Pinger". 5,500 quotes in 2 seconds from this NSDQ price/size repeater effecting the BBO as it runs.



09-13-10
BATS "BAT Fence". Interesting size repeater from BATS running at 1,250 quotes per second.



09-13-10
"The Seekers". Fascinating price repeater sequence from multiple exchanges. Note the NSDQ repeater cycling the price in a full 0.50 range.




Zoomed in view of the NSDQ price cycler in "The Seekers" sequence.


09-13-10
NASDAQ "The Drowning". 10,000 quotes in 3 seconds from this NSDQ size repeater.



09-13-10
BATS "Wake Up Call". Interesting pre-market ramp up cycle from BATS.



09-13-10
NASDAQ "No Joy". 3,000 quotes in 1 seconds from this NSDQ bidsize/asksize repeater, effecting the BBO each quote.




09-10-10
"Zero to Sixty". Multiple repeaters in this sequence ran the quote count to 60,000 quotes in 6 seconds (10,000 per second)!



09-10-10
PACF "Crazy Eyes". Fascinating bidprice/size repeater from PACF.



09-10-10
NSDQ "Shades of Blue". Price size repeater from NSDQ running at 1,750 quotes a second, effecting the BBO along the way.



09-10-10
"When the Levee Breaks". 20,000 quotes in 3 seconds! Multiple repeaters run the quote rate to incredible levels.




09-09-10
BATS "Cancelled Check". CancelBot Jr. roaming HYGS. See below for a zoom of the sequence.



Zoomed in view of the "Cancelled Check" sequence. Quote, Stub-Cancel, Quote, Stub-Cancel, Quote, Stub-Cancel....750 times a second.


09-09-10
NASDAQ "Quota Machine". 3,000 quotes in 1 second. Double bidsize/askize repeater from NSDQ effecting the BBO along the way.



09-09-10
BOST "Just Ask". The Boston Zapper roaming SLGN.



09-09-10
NASDAQ "Platform Drilling". 8,000 quotes in 6 seconds, NSDQ price/size repeater effecting the BBO as it runs.



09-09-10
"Dinosaur Hunt". Interesting repeaters running in C. See below for the EDGE repeater.



EDGE sliced out of the mix in the "Dinosaur Hunt" sequence.


09-09-10
"The Green Flash". 4,000 quotes in 2 seconds in this simple size repeater from NSDQ, effecting the BBO along the way.




09-08-10
NASDAQ "Banker's Ball". Bidsize/asksize repeater from NSDQ running 4,500 quotes in 2 seconds, effecting the BBO along the way.



09-08-10
"Asimov's Nightmare". Multiple price climbing algo's do battle in CASY. See below for a zoom of the sequence.



Zoomed in view of the "Asimov's Nightmare" sequence. Note the BBO when it follows the BATS climber.


09-08-10
NASDAQ "Rougue Wave". 3,500 quotes in 1 second! Bidsize/asksize repeater from NSDQ effecting the BBO as it runs.



09-08-10
"Frog Pond". Fascinating look at multiple repeaters running in EMC.



09-08-10
NASDAQ "Power Tower". Bidsize/asksize repeater from NSDQ running at 2,500 quotes per second, effecting the BBO along the way.



Zoomed in view of the "Power Tower" sequence.


09-08-10
BATS "BAT Discovery". Asksize/bidsize repeater from BATS running at 500 quotes per second, effecting the BBO as it runs.




09-07-10
NASDAQ "S.O.S.". 3,000 quotes in 1 second from this bidsize repeater, effecting the BBO along the way.



09-07-10
BATS "BAT Hats". 2,200 quotes in 2 seconds from this interesting asksize repeater, effecting the BBO along the way.



Zoomed in view of the "BAT Hats" sequence.


09-07-10
"Boston Buck'r". Interesting price climber from BOST running in PG, cycling the ask and bid price $1.00 away from the market.



09-07-10
BATS "The Shredder". 3,700 quotes in 1 second from this simple asksize repeater from BATS.



09-07-10
"Deer vs. Bat". Small repeater war in NSDQ, BATS and PACF taking the quote count to 6,000 in 4 seconds.




09-03-10
NASDAQ "Obstructus Maximus". 7,500 Quotes in ONE Second! Bidsize/asksize repeater from NSDQ running at incredible rates. See below for a zoom of the sequence.



Zoomed in view of the "Obstructus Maximus" sequence.


09-03-10
NASDAQ "Obstructus Maximus II". Following the first second, Obstructus Maximus kicked out another 17,000 quotes in the next 3 seconds!



Zoomed in view of the "Obstructus Maximus II" sequence.


09-03-10
"Robot Fight". Interesting repeater war between NSDQ and PACF.



09-03-10
BATS "BAT Horizon". Conical size repreater from BATS running at 1,000 quotes per second.



09-03-10
NSDQ "Railway". 3,000 quotes in 1 second from this NSDQ bidsize/asksize repeater effecting the BBO as it runs.



09-03-10
BOST "Red Sky at Night". Price climber from BOST running the ask price in a $1.00 range. See below for a zoom in of the sequence.



Zoomed in view of the "Red Sky at Night" sequence.


09-03-10
"Bot Town". Multiple repeaters from multiple exchanges reacting to each other.



09-03-10
BATS "Broken SKY". Another form of the BATS CancelBot. This variation does not climb the price it simply quotes,cancels,quotes,cancels all at the same price level.



Zoomed in view of the "Broken SKY" sequence.




09-02-10
NASDAQ "Life and Death". This pre-market blaster ran 60,000 quotes in 15 seconds! Price size repeater from NSDQ averaging 4,000 quotes a second and effecting the BBO as it runs.



09-02-10
BATS "Sea of BATS". Bid size repeater from BATS running 12,000 quotes in 11 seconds. See below for a zoom of the sequence.




Zoomed in view of the "Sea of BATS Star" sequence.


09-02-10
NASDAQ "Buckaroo Banzai". Another fascinating pre-market price/size climber/repeater from NASDAQ, cycling both the bid and ask quickly in a $1.00 range and effecting the BBO along the way.



Zoomed in view of the "Buckaroo Banzai" sequence.


09-02-10
"Enchanted Forest". Multiple repeaters from multiple exhanges running the quote count to 14,000 in 1 second!



09-02-10
NASDAQ "Blockhead". 27,000 quotes in 16 seconds from this price/size repeater. See below for a zoom of the sequence.



Zoomed in view of the "Blockhead" sequence.

09-02-10

"Botastic". Multiple repeaters reacting to each other.
"I love the smell of Bots in the morning."


09-02-10
"Blue Blind". 4,000 quotes in 1 second! Conical bidsize repeater from NSDQ.




09-01-10
NASDAQ "The Bunker". 5,000 quotes in 2 seconds from this NSDQ bidsize/asksize repeater, effecting the BBO as it goes.



09-01-10
PACF "Rock Star". Very interesting low grade price repeater from PACF running at 250 quote per second. See below for a zoom out of the sequence.



Zoomed out view of the "Rock Star" sequence.


09-01-10
BOST "The Outer Limits". The Boston Zapper crawls WINN.



09-01-10
NASDAQ "The Tickler". 4,000 quotes in 1 second! Conical asksize/bidsize repeater from NSDQ. See below for a zoom in of the sequence.



Zoomed in view of "The Tickler" sequence.


09-01-10
BATS "Meteors". CancelBot roaming PKX.



09-01-10
NASDAQ "Don't Tread On Me". Interesting conical size repeater from NSDQ running at 600 quotes a second and effecting the BBO.



09-01-10
NASDAQ "The Palace". 3,500 quotes in 1 second from this bidsize/asksize repeater, effecting the BBO on every quote.




08-31-10
NASDAQ "Full Moon Rising". 4,600 quotes in 1 second from this NSDQ bidsize/asksize repeater.



08-31-10
NASDAQ "Quota Catcher". 4,000 quotes in 2 seconds from this asksize/bidsize repeater, effecting the BBO every quote.



08-31-10
"Good Luck Human". Multiple exchanges running multiple repeaters at a rate of 10,000 quotes per second (20,000 in 2 seconds shown).



08-31-10
BOST "To The Moon, Alice!". Ask price climber from BOST taking the ask price from 26.00 tp 36.00 in 2.5 seconds.



08-31-10
BATS "Simple BAT". Simple up/down/up/down size repeater from BATS running at 3,500 quotes per second.



08-31-10
NSDQ "Solar Flare". 2,500 quote per second price/size repeater from NSDQ.



08-31-10
"Pacific Rim". Interesting repeater war between PACF and NSDQ.



08-31-10
NASDAQ "Blue Blaster". 4,500 quotes in 1 second! Simple bidsize repeater from NSDQ.




08-30-10
NASDAQ "Mainframe". 3,200 quotes in 1 second from NSDQ in this bidsize/asksize repeater. See below for a zoomed in view of the sequence.



08-30-10
BATS "BAT Code". Price ramp repeater from BATS running at 600 to 1,000 quotes per second.



Zoomed in view of the "BAT Code" sequence.


08-30-10
NASDAQ "Made in America". 3,000 quotes in 2 seconds from this NSDQ size repeater, effecting the BBO though 1/2 of the sequence.



08-30-10
NASDAQ "The Thin Blue Line". 6,500 Quotes in 4 seconds from this NSDQ price/size repeater. See below for the zoomed in view of the sequence.



Zoomed in view of the "Thin Blue Line" sequence.


08-30-10
NASDAQ "Blast This". NSDQ Blasts a 1,000 quote per second size repeater through OIH, effecting the BBO as it runs.



08-30-10
NASDAQ "Test Pattern". Very interesting price repeater from NSDQ. See below for the zoomed in view of the sequence.



Zoomed in view of the "Test Pattern" sequence.


08-30-10
BATS "Scofflaw". BATS CancelBot roaming SCHF.



08-30-10
NASDAQ "The Quota". 3,000 quotes in one second from this NSDQ size repeater, effecting the BBO as it goes.




08-27-10
NASDAQ "The Bird". Zoomed in slice of this 4,000 quote per second repeater from NSDQ. See below for the zoomed out sequence.



Zoomed out view of the "The Bird" the full sequence, 8,000 quotes in 2 seconds effecting the BBO along the way.


08-27-10
BATS "BAT Dribble". Nice $1.00+ price cycler from BATS running at 1000 quotes per second.



08-27-10
NASDAQ "The Port". 7,000 quotes in 5 seconds from this NSDQ price/size repeater, often effecting the BBO.



08-27-10
BOST "Day Trippin". Boston price climber roaming TRP.




08-26-10
NASDAQ "Master Blaster". 5,000 quotes in 1 second! This 4 step ask size repeater from NSDQ effected the BBO on each quote. See below for a detailed zoom of the sequence.



Zoomed in view of the "Master Blaster" sequence.


08-26-10
"-TILT-". Multiple repeaters from multiple exchanges reacting to each other.



08-26-10
NASDAQ "Mannie, Moe and Jack". 9,000 quotes in 4 seconds from this 3 step asksize repeater from NSDQ, effecting the BBO on each quote.



08-26-10
BOST "EPIC Zapper". The Boston Zapper roams EPIC.



08-26-10
NASDAQ "The Dead Pool". 3,250 quotes in one second from this simple size repeater.



08-26-10
NYSE "Penny Pincher". A very interesting new algo species from NYSE which runs at about 350 quotes per second. The pincher was seen roaming dozens of NYSE stocks today. Shown is the Penny Pincher reacting with other exchanges, see below for a detail zoom of the sequence.




Zoomed in view of the "Penny Pincher" sequence.


08-26-10
BATS "Broken BAT". Another curious price repeater from BATS. This sequence shows 17,000 quotes in 12 seconds. See below for a zoom of the sequence.




Zoomed in view of the "Broken BAT" sequence.


08-26-10
NASDAQ "Gold Finger". 2,300 quotes per second in this price repeater from NSDQ, effecting the BBO along the way.




08-25-10
NASDAQ "The Raceway". 4,500 quotes in 1 second! Double asksize/bidsize repeater from NSDQ, effecting the BBO on every quote.



08-25-10
"Danger Will Robinson". Multiple repeaters from multiple exchanges reacting to each other in this sequence.



08-25-10
NASDAQ "Blue Blocker". 3,100 quotes in 1 second from this bidsize/asksize repeater, effecting the BBO as it goes.



08-25-10
BATS "City Of BATS". CancelBot crawls LOCM.



08-25-10
NASDAQ "Jump Shot". 2,000 quotes in 1 second in this asksize/price repeater from NSDQ, effecting the BBO along the way.



08-25-10
BOST "Maxy-Zapper". The Boston Zapper crawls MAXY at 1,000 quotes per second in this 10 second sequence.



08-25-10
NASDAQ "High Tide". 3,000 quotes in 1 second! Simple bidsize repeater from NSDQ effecting the BBO throughout the sequence.




08-24-10
BATS "Inner Chart". Unique price repeater from BATS with running at approx. 750 quotes per second.



08-24-10
NASDAQ "No Reason". 3,500 quotes in 1 second from this price/size repeater.



08-24-10
NASDAQ "Wild Thing". Fascinating price repeater from NSDQ running at 800 quotes per second.



08-24-10
NASDAQ "Sea Level". 2000 quotes in 1 second, each effecting the BBO in this asksize/bidsize repeater.




08-23-10
NASDAQ "The Deer Hunter". 6,000 quotes in 1 second! See below for a detailed zoom of this size repeater sequence.



Zoomed in view of "The Deer Hunter" sequence.


08-23-10
NASDAQ "The Pepsi Challenge". 5,500 quotes in 2 seconds from this NSDQ bid/ask size repeater, effecting the BBO along the way. See below for a detailed zoom of this size repeater sequence.



Zoomed in view of "The Pepsi Challenge" sequence.


08-23-10
BOST "Seizure". The Boston Zapper roaming AHL.



08-23-10
NASDAQ "Local Dump". 4,000 quotes in one second from this NSDQ price/size repeater, effecting the BBO along the way.



08-23-10
NASDAQ "Repeater Wars". Multiple exchanges running size repeaters taking the rate to 9,800 quotes per second.



08-23-10
BATS "CancelBot Jr.". Simple variation of the original BATS Cancel Bot. Quote, Stub(Cancel), Quote, Stub(Cancel), etc. etc..



08-23-10
NASDAQ "Control Tower". 3,000 quotes a second in this NSDQ size/price repeater, effecting the BBO each quote.




08-20-10
BATS "BAT Lego". 86,000 quotes in 26 seconds! This size/price repeater ran at an average of 3,300 quotes per second!



08-20-10
NASDAQ "Lightning Strike". 15,000 quotes in 5 seconds (3,000 quotes per second) effecting the BBO in each cycle of this size/price repeater from NSDQ



08-20-10
NASDAQ "Them". Unique price sequencer from NSDQ running at 1,200 quotes per second.



08-20-10
NASDAQ "Continental Crust II". 3,500 quotes in 1 second! 3 step asksize repeater from NSDQ, effecting the BBO along the way.




08-19-10
NSDQ "Heart Attack". 20,000 quote sequence (in a 17 second period) of this NSDQ askprice/asksize/bidsize repeater which ran all day, effecting the BBO along the way. Rates varied from 500 quotes per second to 2500 quotes per second.



08-19-10
NSDQ "Almost Human". Very unusual 1100 quote per second bid price repeater from NSDQ.



Zoomed in view of the "Almost Human" repeater.


08-19-10
"The Follower". Not a high rate of quotes but a very interesting doubles sequence from BATS/BOST. Note the BOST repeater tracking to the BATS ask run up which started the sequence.



08-19-10
"Social Butterfly". BATS CancelBot interacting with other quoting exchanges.



08-19-10
NASADQ &quotHigh EQ". 4500 quotes in 1 second! NSDQ bidsize/asksize repeater effecting the BBO as it goes.



Zoomed in view of the "High EQ" repeater.




08-18-10
CBOE "The Ramp". 2000 quotes in 1 second in this bid size run down, each effecting the BBO.



08-18-10
BATS "Focus". 10 second view of this BATS bid price run up repeater, running at 500 quotes per second.



08-18-10
NASDAQ "Hairline". 4000 quotes in 2 seconds in this ask size repeater, each quote effecting the BBO.




08-17-10
NYSE "Algo Mountains". Complex NYSE bidsize/asksize repeater. This algo sequence was running with multiple exchanges quoting (see below).



View of all exchanges quoting in the Algo Mountain sequence.


08-17-10
"Bot Wars". 10,600 quotes from 4 exchanges in 1 second, each running repeaters. NDSQ does over 6,000 quotes, BATS over 3,000 and the remainder split between PACF and NYSE. See the charts below for a look at each.



08-17-10
"Bot Wars - NSDQ". Close up slice of the NASDAQ repeater from Bot Wars.



08-17-10
"Bot Wars - BATS". Close up slice of the BATS repeater from Bot Wars.



08-17-10
"Bot Wars - PACF". Close up slice of the PACF repeater from Bot Wars.



08-17-10
"Bot Wars - NYSE". Close up slice of the NYSE repeater from Bot Wars.



08-17-10
NASDAQ "Orange Crush". 9,000 quotes in 2 seconds! 4,500 quotes per second in this bid/ask size repeater from NSDQ, effecting the BBO along the way.



08-17-10
"The Carnival". While not a large number of quotes, a fascinating look at multiple bots reacting to each other in AMJ.




08-16-10
BATS "Bat Pig". 3500 quotes in 1 second! Blasting repeater alternating the bid/ask size by 2 and effecting the BBO along the way.



08-16-10
NASDAQ "Bankers Blitz". 1500 quote per second 4 step ask size repeater, effecting the BBO every 4'th step.



08-16-10
BATS "Soylent Blue". CancelBot crawling NCMI.



08-16-10
NASDAQ "Cannons". 250 Quote Slice (from 2,500 in 1 second) of this Bidsize repeater from NSDQ.



08-16-10
NASDAQ "Cannons 2". Zoomed out view of the full 2500 quote 'Cannons' sequence (1 second).




08-13-10
NASDAQ "Clockwork Orange". 3000 Quotes in this one second bid/ask size repeater, effecting the BBO along the way.



08-13-10
NASDAQ "Clockwork Orange 2". 80 Quote close up view of the Clockwork Orange repeater.



08-13-10
BATS "Yellow Picket Fence". 10,000 Quotes in 10 seconds in this slightly unusual bid/ask size repeater.



08-13-10
NASDAQ "2200 BTU's". 2200 Quotes in one second from NSDQ, cycling the ask and bid size in a 3-step, effecting the BBO each quote.



08-13-10
BATS "The Awakening". CancelBot is learning.



08-13-10
"Robot Hunting". Searching for Bots.



08-13-10
BOST "NARA Zapper". The Boston Zapper crawling NARA. 12,000 quotes in 6 seconds.




08-12-10
NASDAQ "The Blue Pig". 6000 Quotes in 2 seconds, alternating the bid size and effecting the BBO along the way.



08-12-10
NASDAQ "Tesla's Cathedral - OFF". Absolutely fascinating bid size repeater from NSDQ.



08-12-10
NASDAQ "Tesla's Cathedral - ON". Showing the BBO hit's of Tesla's Cathedral.



08-12-10
NASDAQ "Tesla's Cathedral - Full View". Showing both price and size of Tesla's Cathedral.




08-11-10
BATS "CancelBot". The now familiar BATS CancelBot on ACL.



08-11-10
NYSE "Monster Mash". The Monster (see below) running with multiple exchanges quoting.



08-11-10
NYSE "The Monster 2". The full view of this size sequencer.



08-11-10
NYSE "The Monster". The quote rates are not relevant in this case (although substantial), the monster algo was running with multiple exchanges quoting.



08-11-10
NASDAQ "Tank Tracks". A slice of 800 quotes from a 10,000 quote sequence. Price and size cycling (price cycling in an approx. $7 range) effecting the BBO. See below for a zoom out of the sequence.



Zoomed out view of "Tank Tracks". 10,000 quotes in 5 seconds.


08-11-10
NASDAQ "Runaway". 4,500 quotes in 1 second!




08-11-10
BOST "Eraser Head". Very interesting Boston Sequence running at 500 quotes per second.




08-11-10
NASDAQ "The Bridge". 25,000 quotes in 14 seconds from NSDQ, effecting the best ask along the way (from a total sequence of 75,000 quotes in 43 seconds).




08-10-10
NASDAQ "Continental Crust". 2000 quotes in 1 second, alternating the AskSize in a 4 step up-up-down-down sequence, effecting the BBO along the way.



08-10-10
NASDAQ "Power Line". Another nice 4 step repeater, this time from NASDAQ running at approx. 400 quotes per second and effecting the BBO along the way. See below for a zoom out of the sequence.



Zoomed out view of the 4-step sequence in "Power Line".


08-10-10
NASDAQ "Blue Thicket". A nice 4 step repeater from BATS running at 1,000 quotes per second. See below for a close up of the sequence.



Zoomed in view of the 4-step sequence in the "Blue Thicket".




08-09-10
NASDAQ "Broken Highway". 20,000 Quotes in 8.5 seconds, cycling the sizes, effecting the best bid and best ask through the entire sequence.



08-09-10
BATS "Dirty Glaciers". Not a lot of quotes in this sequence but another interesting quote-cancel price repeater from BATS.



08-09-10
"Boston Zapper III". The return of the Boston Zapper with a slightly different pattern than other Zapper occurrences.



08-09-10
NASDAQ "Landmine". 9000 quotes in 3 seconds from NASDAQ, each effecting the Best Ask. Although you can't see it in this block of 9000 quotes, bid and ask sizes were cycling during the block.



08-09-10
NASDAQ "BBOBomber". Close-up of 100 quotes from a 50,000 quote sequence (see below). Quote action causes the BBO Price to jump from 29.46 to 30.19 a approx. 1600 times a second.



08-09-10
NASDAQ "BBOBomber-2". 50,000 quotes in 30 seconds of the sequence shown above.




08-06-10
NASDAQ "Redline". 5000 quotes in 2 seconds, alternating the ask size by 1 every other quote and effecting the BBO each cycle.



08-06-10
BATS "Twilight". 250 quote slice from a sequence rate of 1000 quotes per second. See below for the full 1 second burst rate.



Zoomed out view of "Twilight" showing the full 1000 quote per second rate.


08-06-10
"Boston Zapper II". Strangely similar to the original Boston Zapper. 10,000 quotes in 10 seconds.



08-06-10
NASDAQ "2-step". Alternate the bid size/ask size/ask price every 2 quotes, effecting the Best Bid each time. 250 quotes are shown from a 1000 per second quote rate.



08-06-10
"Boston Zapper". One of the more unusual bid/ask price sequences.



08-06-10
NASDAQ "Blue Wave". Very interesting Bid price/size repeater. 30,000 quotes at approx. 480 quotes per second. See below for a detailed zoom of the cycle.



Zoomed in view of the "Blue Wave" bid price/size cycling:



08-05-10
PACF "Castle Wall". Nice bidsize block algo running at 500 quotes per second.



08-05-10
NASDAQ "The Waste Pool". Over 5500 quotes in 2 seconds, alternating the bid size up for 2 quotes, down for 2 quotes, etc., effecting the BBO along the way (you cannot see the cycling in this chart as there are so many quotes it flattens into a huge block), see below.



Zoomed in view of the "Waste Pool" bidsize cycling:


08-05-10
NASDAQ "The Bug". Interesting bidprice/size repeater. 1700 quotes in 2 seconds from NASDAQ (each effecting the BBO) and 3 quotes from PACF.



08-05-10
NASDAQ "Depth Ping". Another Interesting bidprice/size repeater from NASDAQ (with pings from PACF). 5000 quotes in 6 seconds and effecting the BBO.



08-05-10
"City Under Siege". Example of how a BATS price repeater (from the price to 0.0) reacts to other exchanges quoting.




08-04-10
NASDAQ "Bluegrass". The simplest repeater. Raise/Lower the bid size each quote, each one effecting the BBO. Do it 1500 times a second (with no other exchange quoting).



08-04-10
"Sunshowers". Another BATS classic.



08-04-10
NASDAQ "The Flood". 5000 quotes in 2 seconds.




08-03-10
BATS "Scissors". Classic example of BATS quoting, intermitting a stub quote, quoting 1 penny above or below the last valid quote (up on the ask side, down on the bid side) then another stub quote, etc.



08-03-10
"Boston Shuffle". 1250 quotes in 2 seconds, cycling the ask price up 1 penny a quote for a 1.0 rise, then back down again in a single quote (and drop the bid size at that time for a few cycles).




07-30-10
"BAT Cave". 9,000 quotes (in a .45 range) in 6 seconds from BATS.



07-29-10
"BOTvsBOT". One of the most unusual asksize wars we've seen (multiple exchanges - NASDAQ, BOST, PACF and BATS).



07-29-10
BATS "Flag Repeater". 15,000 quotes in 11 seconds, dropping the ASK price 1 penny each quote from $9.36 to $8.58 and back up again.



07-29-10
"The Crown". While not a large number of quotes, this NASDAQ/BATS Bidsize sequence was just too unusual to bypass.



07-28-10
BATS "Batsicles". BATS price cycling through a large price range, each intermittent with a stub quote, drop it down and start over.



07-27-10
NASDAQ "Blotter". One of the more unusual repeating Asksize cycles.



07-23-10
BATS "Stubby Triangles". Drop the quote from a valid price to 0.001 and then back up to a lower price level. When the new price level hits 0.001 as well, do it all over again at approx. 380 times a second.



07-23-10
NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid price/size in 3 increments and effecting the Best Bid along the way.



07-23-10
BATS "Periscopes". 8000 quotes in 3 seconds, alternating the bid price each quote. Pop the size up 1 every second or so.



07-22-10
NASDAQ "Double Dip". Symbol SH. 10,000 Quotes in 4 seconds, each affecting the Best Bid.



07-19-10
NASDAQ "Racing Stripe". Symbol WYNN. 2000 Quotes in one second, each affecting the Best Ask.




07-19-10
PACIFIC "Puzzle Pieces". Symbol IIC.




07-14-10
NASDAQ "Blue Bandsaw". Symbol SHG. (760 quotes in 1 second, taken from a total sampling of 10,000 quotes in 12 seconds).




07-13-10
BATS "60-Step". Symbol SAH. Take sixty steps up (a penny at a time) and one step down (0.60), reset and do it all over again (at approx. 700 times per second).




07-12-10
NASDAQ "Ask Mountain". Symbol IAU. Over 56,000 quotes in 10 seconds, all with same Ask Price and the Ask Size increasing or decreasing by 1 (to almost 40,000!).



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Publication Date: July 08, 2010
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