Nanex Research
Nanex ~ HFT Algoritms Running Wild.
Another HFT algo running wild involving quotes from 6 exchanges. We saw similar behavior
on January 12.
The NYSE and NYSE-Arca have
recently proposed rule changes that would formally make this activity illegal.
A
recent article in Reuters indicates the SEC is finally acknowledging the negative
impact of this behaviour.
CARB on January 17, 2012 (1 second intervals). This chart shows 18 minutes
of data. Black shaded area is
the NBBO. Note the wild jumps in NBBO spread (height
of black shading) from 1 cent to 50 cents. HFT proponents claim they narrow the spread.
CARB on January 17, 2012 (25 millisecond intervals). This chart shows
26 seconds of data. Black shading
is the NBBO. Triangles are bids and offers color coded by exchange (legend at bottom left). Note the wild oscillations in both the Best Bid (bottom of black shade) and
Best Offer (top of black shade).
CARB on January 17, 2012 (1 millisecond intervals) . This chart shows
1 second of data. Note how the wild jumps in the NBBO. Some jumps are actually obscurred
because they occur in less than 1 millisecond. Black shading is the NBBO. Triangles
are bids and offers color coded by exchange (legend at bottom left).
Nanex Research
