Nanex ~ 05-Jun-2010 ~ DBV

Overheard at the HFT water-cooler one day:

This is how we get around the quote/trade ratio limits. We just stuff more symbols from multiple exchanges, with a lower rate from each exchange. The SEC are staffed by @@@%%$% [nice people] who will never figure this out.

They must not have heard: academia is closing in on their manipulitive ways.

Chart 1. DBV 1 second interval showing NBBO quotes color coded by exchange. Only 2 trades over this 15 minute period of madness. Note the constant, steady quote rate from each exchange (looks like colored ribbons in lower panel)

Chart 2. Zooming in closer.

Chart 3. And closer.

Here's a video simulating order routing at the time.

We slow down time for a while after a few seconds so you can see patterns.

We mapped the quotes to sound notes and this came out:

Chart 4. Tick Chart

Chart 5. Hiccups or sudden liquidity drop-outs

Update: The charts below show the same symbol, DBV on the next day, 06-Jun-2012

Chart 6. DBV 1 second interval showing NBBO quotes color coded by exchange. The Best Ask rapidly oscillates between $40 and $240. Note EDGX is absent from participation.

Chart 7. Zooming in closer.

Chart 8. And closer.

Chart 9. And closer.

Chart 10. Tick Chart

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