Nanex Research

Nanex ~ 08-May-2012 ~ Algo Testing or Quote Stuffing

The symbol FPP exhibited strange non-economically linked quote activity. No trades occur during any of the periods in the charts. We think groups of these symbols are used to ensure processor activity across exchange networks can be controlled or randomized. The quote activity appears to be coming from one firm connected to multiple exchanges and not algos reacting to other algos.

FPP 2 second interval chart showing best bids and offers color coded by exchange.
Note the pulsing (spikes) of quote traffic that occur every 35 seconds or so.

FPP 250 millisecond interval chart showing best bids and offers color coded by exchange.
This is just a zoom of the first chart.

The next set of images are all 1 millisecond interval charts that zoom in on a few of the active areas of the above charts.

FPP 2 second interval chart showing all bids and offers color coded by exchange.
This is the same chart as the first chart but includes all exchange bids and offers (not just those that set the NBBO).

Nanex Research