Nanex Research

Nanex ~ 16-Dec-2013 ~ Extreme Futures Quoting

On December 16, 2013, between 3:00 and 6:36 AM ET, a high frequency trading (HFT) algo ran in a number of futures contracts causing extreme per second quote rates (>2500/second). Stock index, Treasury and Energy futures were affected. This algo was responsible for about 3.6 million order cancellations during the 723 individual seconds it ran. Less than 1 month ago, the CFTC fined a firm for "excessive order modifications" - and the number of quotes involved in those instances, were less than the number found on the morning of December 16 (below).

1. Showing Peak 1 second quote rates.

2. Another view, scaled by time.

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