Research

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 [...]

Overloading the U.S. Options Market Back to Main Research Page On August 10, 2011, at 9:50:16.467, someone sent 8,557 quotes for 522 option contracts on the stock BIDU (Baidu) in 1 millisecond. This is equivalent to 8.5 million quotes per second, about twice OPRA's current capacity. The quotes were sent from each of the 9 [...]

HFT is Out-of-Control The explosion in quote traffic rates obsoletes most research papers on HFT. Back to Main Research Page Lately, readers have sent in links to a few research papers extolling the virtues of HFT, namely, that they provide liquidity, reduce spreads, and probably cure cancer. At first, it [...]

Stub Quote Rule Violations - Letter to Mary Schapiro Back to Main Research Page Dear Mrs. Schapiro, We would like to thank the SEC for implementing the Stub Quote Rule in December of 2010. While stub quoting did not cause the Flash Crash of May 6th 2010, it was a [...]

New SEC Limit Up/Down Proposal Would Have Made Flash Crash Worse Bellwether stocks halted and frozen near the bottom! See charts below. Back to Main Research Page We have read the SEC Limit Up/Limit Down Plan to Address Extraordinary Market Volatility (LULD, or the plan). We have also read through the comments submitted to the SEC [...]

07/27/2011 - Direct Feed Slowdown (Latency) on Demand Back to Table Of Contents We have analyzed book level data, a direct feed from a prominent exchange, for May 6, 2010. The same data the SEC used for the October 2010 report on the flash crash. It took about 3 hours for us [...]

07/25/2011 - CQS Was Saturated and Delayed on May 6th, 2010 Back to Main Research Page The Consolidated Quotation System (CQS) is the Security Information Processor (SIP) for stocks listed on NYSE, AMEX, and NYSE Arca (home of many ETFs). CQS was widely believed to have been operating normally and within capacity on May 6, [...]

07/21/2011 - One Million Quotes per Second Is Not Enough Back to Main Research Page One million quotes/second is just not enough, apparently. On July 5th, CQS capacity was increased 33% to 1 million quotes/sec. On July 21, at 12:50:15, a sudden move in the market jammed it completely full [...]

Is the National Best Bid or Offer (NBBO) being Ignored? Back to Table Of Contents Executive Summary The NBBO lies at the heart of Regulation NMS (Reg. NMS) and is the key concept that assures investors are getting the best price when buying or selling stocks. However, due to the recent industry trend that [...]

The 'Preferred' Algos - Table of Contents Back to Main Research Page On May 23, 2011 we began seeing several "preferred" stocks appear on our high quote frequency and algo sequence monitors, such as the raw quote burst monitor shown here: Upon examination is was obvious to see the algo [...]

The Legal Limit Algo - Table of Contents Back to Main Research Page Update 04/06/2012: We have determined the quoting sequences identified in this article are generated by the BATS Market Maker Quoter, the BATS exchange's Automatic Market Maker. On June 28, 2011 while working on our algo monitoring application, we [...]