"We risk becoming the best informed society that has ever died of ignorance"
- Rubén Blades

"You can't make up anything anymore. The world itself is a satire. All you're doing is recording it"
- Art Buchwald

"It's getting exciting now, two and one-half. Think of everything we've accomplished, man. Out these windows, we will view the collapse of financial history. One step closer to economic equilibrium"
- Tyler Durden

"It is your corrupt we claim. It is your evil that will be sought by us. With every breath, we shall hunt them down."
- Boondock Saints

Tuesday, November 15, 2011

What Is Considered Enough Money? Just A Little Bit More

The High Frequency Traders were making an impact today.  All through the day traders were being caught off guard as the computers managed to trick many.  During the day we witnessed 7 distinct spikes which exceeded 650 stocks, signaling a massive and simultaneous blast of quotes.  Here is a recap of what HFT Alert Pro captured...

For those unfamiliar with the set, here is an explanation of the columns:

Time:  Time of occurrence in HH:MM:SS
Symbol:  Symbol of stock.
Exg:  Exchange quotes are reported from in the sequence.
Elps:  The elapsed time of the sequence in MM:SS format.
STRG:  # Quotes recorded in the sequence from the specific exchange.
IQTS:  # Quotes from other reporting exchanges in the sequence.
BBO:  # Of times quotes were the BBO.
CBBO:  # Of times quotes were the BBO and changed the BBO.
TRD:  # Trades recorded in the sequence.
ETRD:  # Trades recorded in the sequence from the specific exchange.

For each row, we add 1,000 trades because that is the per minute threshold to have the data appear.

9:37:20 SPY PHIL 9,019 Quotes and 932 Trades
9:37:21 SPY BATS 10,061 Quotes and 1,049 Trades
9:37:22 SPY PACF 11,539 Quotes and 1,272 Trades

Next Round:

11:59:09 SPY PHIL 7,693 Quotes and 1,768 Trades
11:59:10 SPY PACF 9,810 Quotes and 1,462 Trades
11:59:10 SPY BATS 8,622 Quotes and 1,179 Trades

If you're wondering why SPY is what we chose to highlight, we ask you to skip to 20:46 in the following VPRO video Money & Speed