Nanex ~ 16-Aug-2012 ~ Where is the Sub-penny Competition? Well this is unexpected. Chart 1 below shows total volume for stock trades by fraction of a penny. The top pink/red line represents total share volume for prices 1/100th of a cent from nearest whole cent. The cyan/blue line below that [...]
Nanex ~ 4-Feb-2015 ~ HFT Doesn't Harm Investors and Other Absurdities (note: this is an update to the original published 15-Aug-2012) From the 1990's through the end of 2006, electronic trading increased transparency which attracted liquidity, leading to narrower spreads and greater market stability. The graphic in this recent New York [...]
Updates to this Page Date Time (EDT) Update 03-Aug-2012 10:00pm The Knightmare Explained - why it took so long for them to detect the problem. 07-Aug-2012 11:15am We added 375 New Charts here. 08-Aug-2012 10:00am Video of a hot-list quote screen showing the Knight algo in action. 09-Aug-2012 18:30am Added table showing Impact [...]
Nanex ~ 26-Jul-2012 ~ Salami Slicing Sub-Penny Style A study of 41 billion trade reports since 2006 reveals a clear winner from retail price improvement. Hint: it's not the retail trader. Salami Slicing from Wikipedia: Salami slicing is a series of many minor actions, often performed by clandestine means, that together results [...]
Nanex ~ 07-Jun-2012 ~ TotalView and the Facebook IPO ..and other random musings while looking at Nasdaq's order book (TotalView) for FaceBook on May 18, 2012. 1. The Order Book was Crossed. You read that right. There were buy orders with prices higher than sell orders in the same [...]
Nanex ~ 18-May-2012 ~ Facebook IPO How HFT Caused the Opening Delay, and Later Benefited at the Retail Customer's Expense See also Nasdaq goes Radio Silent for 17 seconds before open, Facebook Fallout , 127 Miscellaneous Charts, Option repricing events, and other Nanex Research Update: Did a Stuck quote prevent an opening day pop? Update: We made a video of [...]
Nanex ~ 18-May-2012 ~ Facebook Fallout During the FaceBook's failed IPO pre-opening period and extending through the first 20 minutes or so of trading (11:00 through 11:50 Eastern), bad prices (spikes) appeared in other stocks such as AAPL, SPY, VXX, NFLX, INTU, and QCOM (see list below). Price spikes also occurred in [...]
12-Apr-2012 ~ Nanex ~ The SEC Redefines Liquidity (when it's convenient) Executive Summary The SEC conclusion that the cause of the flash crash was sale of 75,000 emini contracts, is based on faulty logic and a lack of understanding how the algorithm that executed those contracts works. Our detailed study of the [...]
HFT: A Clear and Present Danger Nanex Ongoing Research On April 24th, 2012 at 15:51:44, the number of quotes for a single second in one stock set a new record: 47,138. The stock, PSS World Medical (symbol PSSI), is not active: only 1,992 trades (317,127 shares) traded the entire day. This [...]
The Emperor Has No Clothes Even HFT Proponents are Clueless about Spreads More Nanex Research Updated 3/2/2012: We created an animated GIF showing the growth (2006 - 2012) of the NBBO Spread Ignition Events shown in two charts at the bottom of this page. Occasionally a new study comes out claiming HFT narrows [...]