Nanex Research
Nanex ~ 09-May-2012 ~ Coincidence or Algo Test?
Every morning we see high quote traffic without any trades that looks a lot like algo
tests preparing for their day. We captured two symbols over a 50 second period showing
eerily similar quote message rates and patterns.
MDY 50 millisecond interval chart showing best bids and offers color coded by exchange. The gray area is the NBBO quote spread.
MVV 50 millisecond interval chart showing best bids and offers color coded by exchange. The gray area is the NBBO quote spread.
Nanex Research