Nanex Research

Nanex ~ 26-Feb-2013 ~ Quote Spamming Futures Spreads

On February 26, 2013, starting at 7:57:59 and lasting for 3 seconds, some algo placed and canceled 4,639 buy orders in the T-Bond Futures Spread (March 2013-June 2013) contract. There were 2,242 in the one second period of time at 7:58:00. No trades executed. Only the Bid Size changed during this event. With over 20,000 spread contracts, the exchange could easily get overwhelmed from worthless messages like the one during this event.

1. Each dot is a change in the bid size - which ranged from 79502 to 80659 contracts. Chart shows 1 second of time.

2. Zooming in on the first 100 quote changes.

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