Nanex Research

Nanex ~ 18-Sep-2013 ~ FOMC Market Impact

Charts showing market anticipation and reaction to the June 19, 2013 FOMC Meeting which occurred at 2 pm EST. Each chart shows 1 second data for each minute of time between market open (9:30) and close (16:00).

1. The HFT Machines will Take Over
This is a count of the number of symbols with high rates of fake quotes - something that could only be placed by High Frequency Trading machines. See this video.

2. Quote Spreads will widen.
Lower is better. Percentage of stocks with NBBO spread at or above different amounts - from 2 cents to over 25 cents.

3. Quote Spreads will become unstable.
Lower is better. Percentage of stocks with NBBO spreads that change by 1 to over 25 cents each second.

4. The number of stocks with NBBO quotes that are locked (bid = ask) or crossed (bid > ask) will sky rocket.
This is a prime indication of data feed latency and prohibited by Reg NMS.

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