Nanex Research
Nanex ~ 31-Oct-2012 ~ All the Quotes in Altera
A minute before market open on October 31, 2012, over 100,000 meaningless quotes in
Altera Corp were blasted through the Nasdaq exchange. Note the market was closed the
previous 2 trading days from Hurricane Sandy. Which means traders were sensitive potential
problems when the market opened up. Good timing HFT, whoever you are.
1. ALTR 1 second interval showing bids and asks color coded by exchange.
2. ALTR 1 second interval showing bids and asks color coded by exchange.
Zooming in by price. That zebra looking vertical stripe is actually about 100,000 canceled
orders from Nasdaq.
3. ALTR 1 second interval showing trades color coded by exchange.
4. ALTR 100 millisecond interval showing bids and asks color coded by exchange.
5. ALTR 25 millisecond interval showing bids and asks color coded by exchange.
Almost 100,000 quotes in just over 20 seconds. Each order was immediately canceled and
replaced with a new price.
6. ALTR 1 millisecond interval showing bids and asks color coded by exchange.
This is one second of data.
7. ALTR 1 millisecond interval showing bids and asks color coded by exchange.
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