Research

Equity Quote Saturation Back to Table Of Contents CQS transmits on 12 multicast lines in order to distribute the processing load. The capacity guidelines, expressed in quotes per second, are as follows: Capacity (Quotes per Second) per multicast line all 12 multicast lines Before July 5, 2011 75,000 750,000 Starting [...]

Equity Quote Saturation Back to Table Of Contents CQS transmits on 12 multicast lines in order to distribute the processing load. The capacity guidelines, expressed in quotes per second, are as follows: Before July 5, 2011 75,000 per Multicast line and 750,000 for all 12 multicast lines Beginning July 5, [...]

Chicago's PMI News Release uncovers significant delays in OPRA 06/30/2011 Back to Table Of Contents Approximately 1/2 second before the 9:42 release of the Chicago PMI report, the option market exploded setting new records in quote rates, saturation, and delays. We have not yet determined why the equity market did [...]

The RETF Algo - Table of Contents Back to Main Research Page On May 2, 2011 we began noticing a strange algo phenomena that would begin immediately after the official market close. It started with one issue, affecting only the ask price. It soon progressed into more stocks and soon [...]

Equity Quote Saturation Back to Table Of Contents CQS transmits on 12 multicast lines, which distributes the symbols for faster processing. The current capacity is 75,000 quotes/second for each multicast line, and 750,000 quotes/second for all 12 in total. The total line is plotted in black and was divided by [...]

CQS Delays Back to Table Of Contents We have been monitoring CQS traffic on a 1-ms interval for the past few months. There is overwhelming evidence that significant saturation is frequently occurring (hundreds of times each trading day). We have never found more than about 750-800 quotes with the same [...]

Flash Crash Analysis Continuing Developments Flash Equity Failures in 2006, 2007, 2008, 2009, 2010, and 2011 Publication Date: November 29, 2010 Updated: February 4, 2011 Back to Table Of Contents We have analyzed all listed equities for 2006, 2007, 2008, 2009 and 2010 for potential "mini crashes" in individual stocks. [...]

May 6'th 2010 Flash Crash Analysis Final Conclusion Publication Date: October 14, 2010 Back to Table Of Contents Our analysis of the Waddell & Reed e-Mini trades led us to an unexpected break-through. By process of elimination, and with the SEC report for context, we finally have a crystal clear understanding what [...]

May 6'th 2010 Flash Crash Analysis Continuing Developments SEC Report Response An inspection of several key items included or omitted from the SEC's Final Flash Crash Report. Publication Date: 10/13/2010 Back to Table Of Contents I. Waddell & Reed Sell Algorithm The SEC report identified a Sell Algorithm selling 75,000 [...]

May 6'th 2010 Flash Crash Analysis Continuing Developments Sell Algo Trades Publication Date: October 8, 2010 Back to Table Of Contents Back to Flash Crash Summary Update: April 11, 2012 We received answers to the questions below: read the email exchange. Watch a video of the emini depth of book and an equity [...]

May 6'th 2010 Flash Crash Analysis Continuing Developments The Mini Flash Crash of 04-28-2010 Publication Date: 09/20/2010 Back to Table Of Contents While scanning historical data searching for previous days which exhibit similar behavior to that of 05/06/2010, we found a time on 04/28/2010 with quote bursts very similar to [...]

Complete Text I. Causes II. Effects III. Further Research IV. Recommendations Nanex Flash Crash Summary Report Publication Date: September 27, 2010 Update: Larger charts: 1920x1150, 1800x1000, 1600x800, 1280x1024, 1200x800, poster size. We present this Flash Crash Summary Report using a time-line graph to distinguish the events that caused the crash from those that were effects of the crash. The main chart [...]