Nanex Research
Nanex ~ 11-May-2012 ~ New Level of Quote Insanity
Update. We knew something was different about today. The following
graphic neatly captures it. It shows the 15 minute average percentage of quotes considered
extremely excessive each minute (over 500 quotes per second per stock) between January
2010 and 11-May-2012 (plotted as a thick red line). Note how this line was persistently
high the entire day relative to trading days in the past. This probably explains the
crazy high quote rates and prices shown in the charts at the bottom of this page.
Update 14-May-2012. The chart on the right includes data through
14-May-2012 and this day is plotted as a thick red line. This makes 2 days in a row
with this new behavior.
Extremely Excessive Quote (Percent)
Right before market open, 4 symbols had quote rates over 12,000 per second. We have
recently warned about looking out for this
behavior. Here is a list of those events showing symbol and number of quotes it has
in that one second:
Random images showing unusual quote activity involving multiple exchanges. Some
of this activity was right before release of Consumer Confidence news (more on that
here).
Nanex Research
