Nanex Research
Nanex ~ 27-Apr-2012 ~ DWRE
On April 27, 2012 between approximately 9:37 and 9:45, stock tickers were spitting
out about 1000
quotes per second in the stock DWRE. There were no trades during this
period.
What is interesting about this event, is that the high rate of canceled quotes was
evenly distributed among 7 exchanges. This is troubling because we know each exchange
is monitoring for excessive quote rates, and this is how the HFTs can get around this
limit. This event was too sophisticated to attribute to stupidity. And it's not likely
from HFT algos tripping off each other (because we would see it far more often). We
think this might be a trial test of a method to get around the high quote limit. Because
nobody really watches the quote counts in aggregate. At least no one that can do anything
about it.
DWRE Price Chart.
How to read this chart.
DWRE 1 second interval chart showing Best Bids and Offers color coded by exchange.
DWRE 20 millisecond interval chart showing Best Bids and Offers color coded
by exchange
DWRE 1 millisecond interval chart showing Best Bids and Offers
color coded by exchange
Nanex Research