Nanex ~ Algo Testing During Trading Hours

Nanex ~ Algo Testing during trading hours.

We have detected what looks like algo testing in individual stocks and ETFs. A tell-tale symptom is rapid fire quotes coming from multiple exchanges which flutter the NBBO hundreds and sometimes thousands of times each second. Often, there are few or zero trades during the event, and in several cases, trades occur shortly before and/or after the test event. These tests can occur at anytime and are frequently found during regular trading hours. Several of the exchanges involved did not previously show a significant level of HFT infestation. This behavior previously involved Nasdaq, Arca and sometimes BATS. This example shows a high rate of nonsense quotes from no less than 5 exchanges. There were no trades during this event. A few small trades did occur near the end of the event at prices outside the range shown here. The black area is the NBBO. Note how the NBBO of this inactive stock goes from a few cents (and stable), to 25 cents (and wildly unstable).

IMPV on January 10, 2012

About 43 seconds after starting, it pauses a few times.

Zoom of IMPV on January 10, 2012 Note that this chart shows about 1/2 second of data.

Zoom 2 of IMPV on January 10, 2012. Note that this chart shows about 1/2 second of data.

Here is another example. GRPN on January 11, 2012. Note that this chart shows about 26 seconds of data.

Zoom of GRPN on January 11, 2012 Note that this chart shows about 1 second of data.