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- Rubén Blades

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- Art Buchwald

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- Tyler Durden

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- Boondock Saints

Thursday, January 12, 2012

Gluttons for CARB's and GOOG's

No comment needed other than this is from today January 12, 2012 in the stocks CARB and GOOG and a similar event happened yesterday


From HFT Alert

Half 1 of the 13:00:00 time period - (9,327 Quotes, 0 Trades)

13:44:52 to 13:46:24 - (22,824 Quotes, 9 Trades)

Lets close out the 13:00:00 time period - (29, 853 Quotes, 5 Trades)

And the Raw Quote Bursts Table from HFT Alert Pro to highlight the exchanges

From NANEX:
Nanex ~ HFT Algoritms Running Wild.

We have found many more examples of HFT algos running out of control since our recent discovery of algo tests occurring during active regular trading hours. We now know that there are thousands of similar events every trading day: we missed many of these because our filter parameters were set too high. In the example below, you can see how much it affects prices investors receive. HFT proponents would like you to believe the spread of CARB is 5 cents or less (the quiet period between 13:25 and 13:40) And they are right! The spread is narrow.. when there isn't any trading activity. But once there is a hint of trading activity, the BBO oscillates to such a degree that it has no meaning. It might as well be infinite.

It is time to put an end to this outrageous and blatant price manipulation. 
CARB on January 12, 2012 (5 second intervals) Gray shaded area is the NBBO. Circles are trades. Color coded by Exchange (legend at bottom left).


CARB on January 12, 2012 (1 second intervals) Black shading is the NBBO. Triangles are bids and offers color coded by exchange (legend at bottom left)


CARB on January 12, 2012 (100 millisecond intervals)



CARB on January 12, 2012 (1 millisecond intervals, chart shows about 1 second of data)






Continuing on, here is the information on GOOG from the middle of the day


HFT Alert's High Quote Count Table - (18,013 Quotes, 12 Trades)


HFT Alert Pro's Raw Quote Burst Table - (16,563 Quotes, 9 Trades)



From NANEX:
Another example of HFT algos running wild causing price distortion in google.

It is time to put an end to this outrageous and blatant price manipulation.
GOOG on January 12, 2012 (1 second intervals) Black shaded area is the NBBO. Circles are trades. Color coded by Exchange (legend at bottom left).

GOOG on January 12, 2012 (250 millisecond intervals) Black shading is the NBBO. The red vertical line at 12:48:05 indicates the NBBO was crossed: note the instantaneous 30 cent drop in price shortly after the HFT attack algo.


GOOG on January 12, 2012 (25 millisecond intervals) . Black shading is the NBBO. Triangles are bids and offers color coded by exchange (legend at bottom left)

GOOG on January 12, 2012 (25 millisecond intervals) . Gray shading is the NBBO. Circles are trades and triangles are bids and offers: color coded by exchange (legend at bottom left)



GOOG on January 12, 2012 (20 millisecond interval chart)


Posted by Paul Revere at 1/12/2012 04:07:00 PM