Nanex Research
Nanex ~ 21-May-2013 ~ Microsoft DoS
On May 21, 2013, there were 3 separate instances of a Denial of Service attack (DoS
- not the Disk Operating System from the 80s) in the stock of Microsoft (symbol: MSFT,
market cap $290 billion): at 13:01:18, 15:47:48 and 15:51:42.
It appears some high frequency trader (HFT) placed and canceled 324,507 orders in MSFT at very high rates over 21 seconds of time as shown in the table below. Note,
the total number of quotes during regular trading hours in MSFT on the same day was
1,672,336 - which means this one HFT was responsible for at least 19.4% of all quotes
in MSFT for that day. Note: no trades were executed from these orders. These HFT quotes
all came from the NQ-Phil exchange.
1. MSFT - showing bids and asks color coded by exchange, gray shading is NBBO.
Bottom panel shows quote rate (scaled to quotes/second).
This is the first attack.
2. MSFT - showing bids and asks color coded by exchange, gray shading is NBBO.
Bottom panel shows quote rate (scaled to quotes/second).
Showing the second and third attacks.
3. MSFT - showing bids and asks color coded by exchange, gray shading is NBBO.
Bottom panel shows quote rate (scaled to quotes/second).
Zoom of Chart 2.
4. MSFT - showing bids and asks color coded by exchange. Bottom panel shows quote rate (scaled to quotes/second).
Zoom 2 of Chart 2.
5. MSFT - showing bids and asks color coded by exchange. Bottom panel shows quote rate (scaled to quotes/second).
Zoom 3 of Chart 2. This chart shows 1 second of time. Note, that on a per millisecond
basis, the quote rate spikes to about 100,000/second - which appears to be the network
limit from this exchange (NQ-Phil) in this stock.
Nanex Research
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