Nanex Research
Nanex ~ 5-Feb-2013 ~ 2% Quote Spammer Disappears
A quote spamming algo that sent approximately 520 quotes/sec per symbol from Nasdaq disappeared on February 5, 2013: it was first spotted November 26, 2012.
Over the course of a trading day, approximately 8 million worthless quotes were sent
from this one algo - each quote is basically an order that is canceled before it can
be executed. A typical trading day during this time will have approximately 400 million quotes
from about 8,000 NMS stocks. Which means this one algo accounted for about 2% of all
NMS quotes in a trading day.
1. Animation showing October 15, 2013 through February 5, 2013. The red spike near 500 is our quote spammer.
2. November 26, 2012. The red spike near 500 is our quote spammer.
3. February 4, 2013. The day before the spammer disappeared.
4. February 5, 2013. No more quote spammer.