Nanex Research

Nanex ~ 23-Oct-2012 ~ Blasting 1.5 Million Quotes in Fed Fund Futures

On October 23, 2012, between 4:48:08 and 5:00:46 EDT, approximately 1.25 million quotes were blasted in 3 futures contracts and 2 spreads in 30-Day Fed Fund Futures. This was repeated between 6:14:35 and 6:19:08 with a blast of 250,000 quotes in a different set of 3 futures contracts and 2 spreads. Here's why this is a major concern: There are nearly 50,000 futures contracts and futures spreads in U.S. Futures Exchanges alone. Due to bandwidth considerations, this type of event is clearly not possible in even a small fraction of these contracts at the same time or no one will have accurate pricing information. And we know what happens when algorithms don't have accurate prices.


Set 1: Between 4:48:08 and 5:00:46 EDT, 1.25 Million Quotes. Charts shown below.
  1. ZQ.Q13 (Aug 2013)
  2. ZQ.Z13 (Dec 2013)
  3. ZQ.G14 (Feb 2014)
  4. ZQ.Q13 - ZQ.Z14
  5. ZQ.Z13 - ZQ.G14
Set 2: Between 6:14:35 and 6:19:08 EDT, 0.25 Million Quotes.
  1. ZQ.N13 (July 2013)
  2. ZQ.V13 (Oct 2013)
  3. ZQ.F14 (Jan 2014)
  4. ZQ.N13 - ZQ.V13
  5. ZQ.V13 - ZQ.F14

Charts from Set 1

1. ZQ.Q13
2. ZQ.Z13
3. ZQ.G14
4. ZQ.Q13 - ZQ.Z14
5. ZQ.Z13 - ZQ.G14

Nanex Research

Inquiries: pr@nanex.net