Nanex ~ HFT Algoritm Test

Nanex ~ HFT Algoritm Test.

Another HFT algo test running during active trading similar to one we wrote about previously. This test involves quotes from 6 different exchanges!

This is just one of thousands that occur each day.

MIC on January 13, 2012 (500 millisecond intervals) Black shaded area is the NBBO. Triangles are bids and offers color coded by exchange (legend at bottom left).

MIC on January 13, 2012 (50 millisecond intervals) . Black shading is the NBBO. Triangles are bids and offers color coded by exchange (legend at bottom left). Note the regular spaced intervals between peaks.

MIC on January 13, 2012 (tick chart) . NBBO is black area between red and green dots.

MIC on January 13, 2012 (tick chart) . Zoom of chart above.