Norwegian InterviewE24 Interview with Eric Scott Hunsader on January 27, 2012 |
More Nanex Research 
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| On Friday, January 27, 2012, Sverre Rørvik Nilsen, a journalist from E24, Norway’s largest financial and business newspaper, interviewed Eric Scott Hunsader of Nanex on the topic of HFT anomalies in Norwegian market data. |
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Tick chart with 10 order book levels of Store Brand on November 23, 2011 Trade executions are drawn as blue circles and sized according to the number of shares traded. The 10 best bid and 10 best offer prices are drawn below and above respectively. Each order book level is color coded from Red to Violet by the number of shares at that level. Red represents a large number of shares, and violet represents a small number. This allows us to quickly and easily see the amount and direction of activity in the order book. In this first chart, note the high rate of trades executing at 26.89. In every case there is first a buy order for 2 shares at a limit price of 26.89 immediately followed by a sell order for 100 shares at a limit price of 26.89, resulting in a trade execution of 2 shares at 26.89. The remaining 98 shares of the sell order is immediately canceled. Note there are many other changes to the order book that do not result in trades. This chart shows about 4 seconds of data. The buyer id for every trade on this chart is CAR and seller id for every trade is MLI. Download Trades for chart below (click charts for higher resolution) |
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Tick chart with 10 order book levels of FrontLine on November 22, 2011 The areas marked by black circles are the trade executions to focus on. In each case, better prices were available either the same millisecond or shortly before but were canceled before the trade execution. Either the buy/sell algo wasn’t fast enough, or some other non-economic gaming of the system is occurring. Download Trades for charts below |
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Tick chart with 10 order book levels of FrontLine on November 22, 2011 This chart is a continuation in time from the chart above. |
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Tick chart with 10 order book levels of FrontLine on November 22, 2011 This chart is a continuation in time from the chart above. |
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