Nanex Research Presentation on Google Docs Recently, Nanex founder, Eric Hunsader, gave a the presentation Coexisting without Colocation at the New York office of Susquehanna International Group. You are welcome to view the Google Docs Presentation material used. Be sure to open the "Speaker Notes" panel for information on each slide. This is an [...]
Quote Stuffing Event of April 26, 2010 CQS Overloaded at Market Open More Nanex Research The charts below shows message traffic for each of the 12 multicast lines plus the total for CQS. Each multicast line carries quotes for a certain range of symbols alphabetically. For example, symbols beginning with [...]
The Other Flash Crash No, not the May 6th event, the one on September 29, 2008, when the Dow Jones Industrials fell 500 points in about 4 minutes, only to recover 5 minutes later. This time, the fall was likely caused from traders betting that the House vote on TARP would fail, which it [...]
Nanex ~ The Liquidity Illusion ~ NBBO Flutter We have found significant evidence that the stability of NBBO spreads has 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 the changes in NBBO spread [...]
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) [...]