8 Behemoths get creamed in a split second. What used to look like a bad price or tick, now looks like a bad dream. Back to Table Of Contents Every week we hear of a new pro-HFT study that claims HFT reduces volatility, tightens spreads and provides liquidity. While HFT operates in time frames of microseconds, every study we have seen is based on data at least 2 years old and never looks to see what happened within 1 second (some have even averaged data over 1 year intervals!). Take a look at what goes on inside of 1 second. Presented below is the behavior of 8 major stocks on October 17, 2011, shown with both a pre-event/event/post-event chart and an additional chart showing the event in under 1 second. This is the type of behavior we see every day and shows that at any given second, HFT algo's are the first ones to withdraw liquidity in the face of real buyers or sellers. This is why any study that doesn't include recent data (within 3 months) isn't worth reading. PG- PROCTOR & GAMBLE ( 1-min bar chart for reference ) PG- PROCTOR & GAMBLE ( pre-event, event, post-event ) PG- PROCTOR & GAMBLE ( 150 millisecond zoom of event ) PFE- PFIZER ( pre-event, event, post-event ) PFE- PFIZER ( 350 millisecond zoom of event ) PEP - PEPSICO ( pre-event, event, post-event ) PEP - PEPSICO ( 150 millisecond zoom of event ) T- AT&T ( pre-event, event, post-event ) T- AT&T ( 475 millisecond zoom of event ) VZ- VERIZON ( pre-event, event, post-event ) VZ- VERIZON ( 125 millisecond zoom of event ) PM- PHILIP MORRIS ( pre-event, event, post-event ) PM- PHILIP MORRIS ( 150 millisecond zoom of event ) JNJ- JOHNSON & JOHNSON ( pre-event, event, post-event ) JNJ- JOHNSON & JOHNSON (725 millisecond zoom of event ) MRK- MERCK ( pre-event, event, post-event ) MRK- MERCK ( 150 millisecond zoom of event ) Inquiries: pr@nanex.net Publication Date: 10/17/2011 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.