Nanex Research

Nanex ~ 10-Sep-2012 ~ 1,262 Unique NBBO Spreads in 1 Second

On September 10, 2012, a new record for the number of unique NBBO spread values in one second was first set by the symbol UST with 1,027, and broken just 27 minutes later by TRSY which had 1,262 unqiue bid/ask spread values in 1 second. High quote spam is most damaging when it alters the NBBO, because this interferes with more exchange networks and order routers. Which is probably the point behind this non-sense, proving once again, that HFT is a clear and present danger.

1. TRSY ~ 1 millisecond interval chart showing the best bids and offers color coded by reporting exchange and the NBBO (gray shade).
22,881 quotes and 0 trades. 1,262 unique NBBO spreads during this one second. 
2. TRSY ~ 25 millisecond interval chart showing the best bids and offers color coded by reporting exchange and the NBBO (gray shade).
3. TRSY ~ 1 second interval chart showing the best bids and offers color coded by reporting exchange and the NBBO (gray shade).
4. UST ~ 1 millisecond interval chart showing the best bids and offers color coded by reporting exchange and the NBBO (gray shade).
8,093 quotes, 0 trades. 1,027 unique NBBO spreads during this one second.
5. UST ~ 25 millisecond interval chart showing the best bids and offers color coded by reporting exchange and the NBBO (gray shade).
6. UST ~ 1 second interval chart showing the best bids and offers color coded by reporting exchange and the NBBO (gray shade).

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