Nanex Research

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Animation of Momentum Ignition Event growth for every 30-second period of the trading day (9:30 to 16:00) between January 2006 and March 2012.

An close-up animation of these events during the normally quiet 12:00 - 13:00 period can be found here.

Momentum Ignition Events are caused by some HFT strategies which seek to cause short term market disruptions. We have discovered that these events are associated with a sudden widening of the NBBO in a large number of stocks. Each line shows the maximum number of symbols that experienced a sudden (within 1 second) increase in NBBO spreads during each 30-second period. See this page for an example of one of these events. Note the frequency of these events: before the birth of HFT in late 2006, they were very rare, yet today these events occur in almost every 30-second period of the trading day!