Nanex ~ The Tighter Spreads Lie We have found significant evidence that overall NBBO spreads have not decreased since the implementation of Reg NMS in March 2007. Combing through over 0.7 trillion quote and trade records, we sorted stocks into bins by NBBO spread every second of the trading day. [...]
Nanex ~ The Rise of the HFT Machines See also The Tighter Spreads Lie and The Liquidity Illusion We created a high definition video of the animation below and posted it to youtube. The following animated GIF chronicles the rise of the HFT Algo Machines from January 2007 through January 2012. > It's [...]
Norwegian Interview E24 Interview with Eric Scott Hunsader on January 27, 2012 More Nanex Research 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. Tick chart with 10 [...]
NBBO Instability Recent algo that starts at 9:45 coincides with NBBO Instability More Nanex Research There is a new phenomenon that began on January 10, 2012 (first reported here). It started with about 80 stocks and has grown. This algo turns on at 9:45, then off at 9:58, and back on again [...]
Flash Crash Revisited Previously unpublished order book depth charts Back to Main Research Page We came across a few images showing order book depth for individual stocks during the flash crash that were never published. We constructed the data from order book data from direct exchange feeds. Important times to [...]
Quote Stuffing Banned! Rule change proposed by the NYSE marks the beginning of the end of quote manipulation More Nanex Research Update: See Is The SEC Finally Waking Up. This week, the NYSE and NYSE/Arca have individually filed proposed rule changes that adopt the text of FINRA's (Financial Industry Regulatory Authority) [...]
Flash Crash Revisited Our Feed Saturation Ratio makes May 6th stand out Back to Main Research Page One metric we use to measure severe feed saturation is the ratio of the number of messages in one second to the number of messages in 2 milliseconds (ms). The exchange feeds shown [...]
UQDF Clock Drift Poor timestamping makes it hard to find problems Back to Main Research Page We took a look at the timestamp differences between the 6 multicast lines that distribute UQDF, which is the SIP for Nasdaq listed stocks. We were surprised to see differences and time jumps of 16,000 [...]
The 15:50:00 UQDF Event Excessive quotes causes large delays in all Nasdaq stocks. Back to Main Research Page 12/5/2011: Updated: The consumer confidence number release on Nov 29, 2011 at 10:00 triggered the UQDF emergency mode event (see chart below). Related report at Seeking Alpha. Almost every trading day at exactly 15:50:00, [...]
Reg NMS Has Been Rescinded! HFT no longer bound by Trade Through Rules Back to Main Research Page Update (May 21, 2014) The SEC actually rubber-stamped Nasdaq's proposal (below) which, for all practical purposes, destroys the core concept that holds Reg NMS together - but only for the Nasdaq exchange. [...]