Research

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 [...]

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 [...]