07/27/2011 - Direct Feed Slowdown (Latency) on Demand Back to Table Of Contents We have analyzed book level data, a direct feed from a prominent exchange, for May 6, 2010. The same data the SEC used for the October 2010 report on the flash crash. It took about 3 hours for us [...]
07/25/2011 - CQS Was Saturated and Delayed on May 6th, 2010 Back to Main Research Page The Consolidated Quotation System (CQS) is the Security Information Processor (SIP) for stocks listed on NYSE, AMEX, and NYSE Arca (home of many ETFs). CQS was widely believed to have been operating normally and within capacity on May 6, [...]
07/21/2011 - One Million Quotes per Second Is Not Enough Back to Main Research Page One million quotes/second is just not enough, apparently. On July 5th, CQS capacity was increased 33% to 1 million quotes/sec. On July 21, at 12:50:15, a sudden move in the market jammed it completely full [...]
Is the National Best Bid or Offer (NBBO) being Ignored? Back to Table Of Contents Executive Summary The NBBO lies at the heart of Regulation NMS (Reg. NMS) and is the key concept that assures investors are getting the best price when buying or selling stocks. However, due to the recent industry trend that [...]
The 'Preferred' Algos - Table of Contents Back to Main Research Page On May 23, 2011 we began seeing several "preferred" stocks appear on our high quote frequency and algo sequence monitors, such as the raw quote burst monitor shown here: Upon examination is was obvious to see the algo [...]
The Legal Limit Algo - Table of Contents Back to Main Research Page Update 04/06/2012: We have determined the quoting sequences identified in this article are generated by the BATS Market Maker Quoter, the BATS exchange's Automatic Market Maker. On June 28, 2011 while working on our algo monitoring application, we [...]
Equity Quote Saturation Back to Table Of Contents CQS transmits on 12 multicast lines in order to distribute the processing load. The capacity guidelines, expressed in quotes per second, are as follows: Capacity (Quotes per Second) per multicast line all 12 multicast lines Before July 5, 2011 75,000 750,000 Starting [...]
Equity Quote Saturation Back to Table Of Contents CQS transmits on 12 multicast lines in order to distribute the processing load. The capacity guidelines, expressed in quotes per second, are as follows: Before July 5, 2011 75,000 per Multicast line and 750,000 for all 12 multicast lines Beginning July 5, [...]
Chicago's PMI News Release uncovers significant delays in OPRA 06/30/2011 Back to Table Of Contents Approximately 1/2 second before the 9:42 release of the Chicago PMI report, the option market exploded setting new records in quote rates, saturation, and delays. We have not yet determined why the equity market did [...]
The RETF Algo - Table of Contents Back to Main Research Page On May 2, 2011 we began noticing a strange algo phenomena that would begin immediately after the official market close. It started with one issue, affecting only the ask price. It soon progressed into more stocks and soon [...]