Research

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Flash Crash Revisited Previously unpublished order book depth charts Back to Main Research Page  We came across a few images showing order book depth for individual stocks during the flash crash that were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) [...]

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Reg NMS Has Been Rescinded!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. [...]