"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, December 20, 2011

HFT Activity Recap for December 20th, 2011

Here are two HFT examples of SPY and 1 of LULU from this morning.  This was the time period where HFT Alert Pro picked up the largest quote lots.  To appear on this list in HFT Alert Pro, an algorithm must send 1000 quotes inside of 1 second.  The quotes you will see are what appear on other exchanges and the 1000 we referred to are sent on the identified exchange (NQEX = Nasdaq, PHIL = Philidelphia, etc).  So remember that the levels we report are the IQTS column plus the hidden column of 1000.  Example A shows IQTS of 15567 and to even show up it had to have sent 1000 therefore the total quotes are 16567.  For for more information on how to read the HFT lay out, scroll down on this page and you will see a description.  Sadly for 1:30 gap down we don't have anything, yet.  Perhaps a kind work to the guys at Nanex will yield some results and if it does, we'll update you. 

Example A


Example B

 

Example C


SPY 1 Minute Chart for Today



Read here for more on Quote Stuffing







Posted by Paul Revere at 12/20/2011 08:50:00 PM