Nanex Research
Nanex ~ 14-Feb-2013 ~ More Quotes Please
On February 14, 2013, it was business as usual with HFT busy discovering prices. More quotes
are better than a few, right? Just a few randomly chosen examples (out of hundreds/thousands).
It's interesting that just a few months ago, a firm
was fined for putting in a dozen fake quotes. A dozen.
1. FXB showing best bids and asks color coded by exchange and NBBO (gray shading).
Perfecting an algo to give the appearance of real quotes, but withdraw in milliseconds
requires testing.
2. SMN showing bids and asks color coded by exchange and NBBO (gray shading)
In the 18 second period of time shown below, there are zero trades, and 43,386 quotes.
That's 3,615 and 1/2 dozen quotes - most of which are fake.
3. SMN showing bids and asks color coded by exchange and NBBO (gray shading). Zoom of above.
4. CFBK showing bids and asks color coded by exchange and NBBO (gray shading).
Those solid colored lines are actually 420,411 individual bids and asks. Only 10 trades
executed during this period (and all just before the quote madness starts).
5. BZQ showing bids and asks color coded by exchange and NBBO (gray shading).
In 9 seconds, HFT discovers 30,000 prices. Not enough though, as no trades execute.
6. WXS showing bids and asks color coded by exchange and NBBO (gray shading).
Only 9,107 quotes, yet miraculously, there are 114 trade executions.
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