"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

Wednesday, January 25, 2012

How The Computers Handled The FOMC Minutes, FED's Interest Rate Forecast, and Bernanke's Conference

Being a FED day today it was interesting to see the computers reaction when the easily readable text of the FOMC meeting was released in contrast to their reaction to the Fed's first interest rate forecast.  The computers have been easily prepared for the FOMC meeting minutes as the format is the same as usual.  The biggest algo readings on HFT Alert came after the Chairsatan finished his conference.

The FOMC minutes came out at 12:30.  The computers registered 600 stocks with HFT quotes at 12:09:37.  Keeping with the posts streamed to Twitter we saw the iShares Russell 2000 Index Fund (IWM) be the first in line.  This is typical activity for the computers to spike just prior to the release then run wild after.  They've been designed this way but this is isn't what we witnessed later when the newly formatted interest rate forecast was released

Raw Quote Burst table from HFT Alert Pro
 
Number of Stock With HFT Quotes chart (TOP)

Zoom and separated by reporting exchange

After this and before the interest rate forecast release Amazon (AMZN) was hit with 2 blasts exceeding 12,000 quotes.  The first time the cycle ran (13:13:31) for 2 seconds and completed 4 trades on the BATS "Y" exchange.  The second blast (13:13:36) ran in 5 seconds and executed 2 trades on the same BATS "Y" exchange.


Then at 2:00 the Fed released their interest rate forecast.  A few computers pushed 400 spikes leading up to 2:00PM but it wasn't until 14:47:08 when they registered the highest algo reading of 690.  Notice on the top chart in the first image that the EDGE background algo's started to pick up just after Bernanke started to speak (look close, you can see the sudden jump in dark purple at 14:15:00)


Zoom of the 690 blast at 14:47:08


Here are some highlight quote bursts from today.  Remember 1,000 quotes are needed to register on the program so add that to the IQTS column number to come to the total quotes in the elapsed (ELPS) time on the given exchange (Exg.).  Also note:
BBO - Best Bid Offer, 
CBBO - Change Best Bid Offer, 
TRD - Trades on Exchange shown, and 
ETRD - Trades made on other exchanges:

AAPL - 10:37:22 - 18,230 Quotes, 68 Trades


AAPL - 10:50:39 - 13,773 Quotes, 31 Trades


RIMM - 11:33:15 - 11,800 Quotes, 129 Trades


RRTS - 14:55:44 - 22,671 Quotes, 7 Trades


IWM - 14:23:43 - 11,327 Quotes, 923 Trades


SFLY - 15:33:16 - 11,049 Quotes, 2 Trades

The computers will be ready for the interest rate forecast next time around and we will be sure to highlight the differences.  The next focus will be GDP on Friday and how messages will be interpreted by the machines. 

And before we forget, here is the Netflix attack from this morning (h/t @BadAlgo)

NFLX - 3 Minutes 675 Milliseconds - 29,091 Quotes, 397 Trades

Zoom 2 Seconds 700 Milliseconds - 3,996 Quotes, 4 Trades

Posted by Paul Revere at 1/25/2012 10:08:00 PM