Nanex Research
Nanex ~ 02-Jan-2013 ~ Odd Oscillations, or How to Spot Manipulation
On December 31, 2012, when analyzing quote traffic from CQS, we stumbled upon an odd
50 millisecond oscillation in quote traffic. CQS is the consolidated quote feed which
transmits quotations for NYSE, NYSE-ARCA, and NYSE-AMEX listed securities. CQS
uses 12 multicast lines to distribute message load. Symbols are assigned to one of these
lines using the following tables. Tape A consists of NYSE listed stocks, Tape
B is all other stocks (NYSE-ARCA, NYSE-AMEX, but not Nasdaq listed - quotes for Nasdaq
listed stocks are transmitted on UQDF, a completely separate system).
| Tape A |
Tape B |
| # |
Start |
End |
|
Start |
End |
| 1 | A | AW |
|
A | DO |
| 2 | AX | CA |
|
DP | EFP |
| 3 | CB | CZ |
|
EFQ | EW |
| 4 | D | FD |
|
EX | ID |
| 5 | FE | HK |
|
IE | IWC |
| 6 | HL | KD |
|
IWD | K |
| 7 | KE | MJ |
|
L | QL |
| 8 | MK | OM |
|
QM | SPX |
| 9 | ON | RP |
|
SPY | SRZ |
| 10 | RQ | SX |
|
SS | USD |
| 11 | SY | UY |
|
USE | XLB |
| 12 | UZ | Z |
|
XLC | Z |
To find this oscillation, we summed up quotes according to the millisecond portion of
their time stamp. So a quote at 12:30:00.431 would go in the 431 bin, and a quote at
12:45:27.931 would go in the 931 bin. There are 1000 bins. With a large enough sample,
you should get a smooth line - as there is no economic reason that any one millisecond
bin would
have more quotes than another (except for bin 0, which is the "top of the second").
However, we discovered a clear pattern of traffic spikes separated by about 50 milliseconds
(and not on a 50 millisecond interval) from a significant sample size:
a 140 million quotes over a 5.4 million millisecond (90 minute) period between 12:30pm and 2pm
on December 31, 2012 .
What is going on here?
1. CQS message rate for each of the 12 multicast lines plus total, accumulated
by millisecond of second between 12:30 and 14:00 on December 31, 2012
Note the spikes - occur at 50 millisecond intervals, and at the same times across all
symbols. Note the spikes do not occur on 50ms boundaries.
2. CQS message rate total, accumulated by millisecond of second between 12:30
and 14:00 on December 31, 2012
This is the same black line in Chart 1 (above).
Nanex Research
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