"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

Monday, April 16, 2012

RIMM Jump On "'Bank Discussion" News

At 15:58:46 RIMM began a heavy quoting order.  TheStreet.com reported Rim is having "discussions" with banks.  See the last time something of this nature happened here.  Must be nice having access to that "enhanced" data feed.

The following is a list of sequences where quotes exceed 10,000.  The only sequence with 0 trades turned out to be the sequence which ran the shortest in the particular set, taking 2 seconds.  Add 1,000 to the number in the IDTS column as that is the number of quote required for HFT Alert Pro to pick up the algorithmic sequence

15:58:47 PHIL 11,098 Quotes, 1,956 Trades.
15:58:47 EDGX 13,292 Quotes, 0 Trades
15:58:48 EDGX 13,292 Quotes, 2,201 Trades
15:58:50 BATY 17,015 Quotes, 2,847 Trades
15:58:51 BOST 13,977 Quotes, 2,324 Trades
15:58:53 PHIL 11,062 Quotes, 1,738 Trades
15:58:54 EDGE 14,737 Quotes, 2,273 Trades

15:58:58 EDGE 13,179 Quotes, 2,072 Trades
15:59:00 PHIL 11,187 Quotes, 1,544 Trades
15:59:00 BATY 13,847 Quotes, 1,935 Trades
15:59:02 BOST 15,160 Quotes, 2,254 Trades

Here's the finishing image.  nothing special but it maintains the continuity up the EOD.

Here is the chart from HFT Alert: showing high levels of quotes.  The blast on this chart at 15:58:47, where 7,140 quotes were sent and 1,067 trades were executed on quotes which changed the BBO 1,156 times coincide with the orders from the first Quote Table above where the fastest sequence executed 0 trades on 13,292 quotes.