Friday HFT Algo
As Europe is approaching the end of Q3 in a rather “dull” afternoon session, here is some interesting HFT Material from Nanex. We wonder when the market will collapse yet again, due to stupidity of HFT.
On September 29, 2011, beginning at 14:08:25, quote rates from one stock, AMD, accounted for nearly half of all equity quotes. The pattern of data is similar towhat we found in Dell a month earlier. There were 6 seconds that each had over 20,000 AMD quotes.
We are having trouble finding the appropriate superlative to describe the level of lunacy that generated this event, and the incompetence of regulators to allow it to continue. And continue it does: both in frequency and magnitude. Soon 20,000 quotes/second per stock will be the new normal.
This problem will only continue to grow until one day, when there is real market impacting news, there simply won’t be enough bandwidth or computing power to process legitimate equity prices. And everyone will wonder what happened. The last time this occurred was May 6, 2010.
| Time | #Quotes |
| 14:08:25 | 4,126 |
| 14:08:26 | 15,390 |
| 14:08:27 | 13,260 |
| 14:08:28 | 20,517 |
| 14:08:29 | 25,687 |
| 14:08:30 | 27,089 |
| 14:08:31 | 24,702 |
| 14:08:33 | 11,279 |
| 14:08:34 | 2,696 |
| 14:08:35 | 16,619 |
| 14:08:36 | 13,351 |
| 14:08:39 | 20,871 |
| 14:08:40 | 23,563 |
| 14:08:41 | 5,171 |
| 14:08:49 | 1,233 |
AMD – ADVANCED MICRO DEVICES, Price and Sizes for 2 second period of 14:08:29, 14:08:30
Zoom in of previous chart showing the sequence:
The impact on CQS Line # 1 (Red). AMD quotes make up the majority of quotes on that line. Chart shows quotes/second on a 1 second interval.
Zoom in of previous chart showing quote traffic rates on a 50 ms interval.
