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Reg NMS Has Been Rescinded!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. [...]
Coexisting without Colocating A proposal for improving the market for everyone More Nanex Research Our last paper ended with: We think we found a possible solution to the HFT/non-HFT divide that lets the market itself decide the value of an equity quote. The solution is incredibly simple and has virtually zero impact on the [...]
HFT is Insatiable - its Hidden Costs Requires expensive capacity increases, puts the market at risk every minute of every trading day Back to Main Research Page We have spent the last 24 years working with real-time market data on a tick-by-tick basis. We monitor our commercial datafeed in real-time to stay [...]
High Freak Volatility An example of HFT causing explosive volatility Back to Main Research Page Updated: 10/4/2011 On October 3, 2011 beginning at 11:10:00.450, in the stock CA Technologies (symbol CA), a bizarre interaction between multiple HFT algorithms caused a wild oscillation in the NBBO with over 1,000 trades executing [...]
Usually when algorithms go haywire in the markets, they execute trades at wild prices; many of which will later be canceled. 'Pretend it didn't happen' is the current mantra of our regulatory agencies. The regulators would also appreciate it if you didn't talk about these events as they could harm investor confidence. [...]
HFT Breaks Speed-of-Light Barrier, Sets Trading Speed World Record. Adds a new unit of time measurement to the lexicon: fantasecond. Back to Main Research Page On September 15, 2011, beginning at 12:48:54.600, there was a time warp in the trading of Yahoo! (YHOO) stock. HFT has reached speeds faster than the speed-of-light, [...]
Exhibit A Back to Main Research Page The chart below shows how many quotes it takes to get $10,000 worth of stock traded in the U.S. for any point in time during the trading day over the last 4.5 years. Higher numbers indicate a less efficient market: it takes [...]