Nanex Research

Nanex ~ 24-Sep-2013 ~ HFT, Nasdark and TwitterFall

Comparing NBBO metrics on the day of the infamous White House Down Tweet (23-Apr-2013) vs The Day the Nasdaq Died (22-Aug-2013). Basically, when the scary tweet came out, High Frequency Traders (HFT) tucked tail and got out as fast as they could - and what remained, had quote spam turned up to 11.

When Nasdaq went dark, the behavior was subdued - other than the huge number of locked and crossed NBBO quotes. Also, quote spam was way down (which is interesting, because most quote spam is in non-Nasdaq listed stocks).

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