On November 2, 2012, we received an email asking us to look at the quotes in the stock
of America's Car-Mart, Inc. (Symbol CRMT). When
we pulled up the charts, we weren't sure what we were looking for - our eyes completely
glazed over the manipulative mass of fake quotes that flutter like locusts in a plague,
because that happens at least a dozen, times, in every minute of
every, trading,
day.
Some HFT even
blatantly run tests in
pre, post,
and during market
hours.
So
we wrote back asking for clarification:
Nanex:
"You mean the fluttering?"
Writer:
"Yes…I’m trying to buy stock."
Nanex:
"Do people still do that?"
Writer:
"Exactly….and this stock is difficult to trade….for obvious reasons."
Charts to commemorate the experience below.
1. CRMT 500 millisecond interval showing bids and asks color coded by exchange.
That mass of color is the bid price rotating through 1 cent increments between $42.60
and $42.83.
2. CRMT 25 millisecond interval showing bids and asks color coded by exchange.
Zoom of chart 1 by time. If you look closely, you can see the bid alternates first between
Nasdaq (black) and BATS (purple), then between BATS and PACF (red, NY-ARCA)
3. CRMT 10 millisecond interval showing bids and asks color coded by exchange.
Zooming of chart 2 by time.
4. CRMT 500 millisecond interval showing bids and asks color coded by exchange.
This is chart 1 zoomed out by price and shifted a minute left. Now we see there is a
lot more fluttering from other exchanges at prices far away from the market.
It's likely this activity suddenly turned on when genuine buying interest was detected.
5. CRMT 100 millisecond interval showing bids and asks color coded by exchange.
Zoom of chart 4 by time.
6. CRMT 25 millisecond interval showing bids and asks color coded by exchange.
Zoom of chart 5 by time.
Nanex Research
