Beautiful collapse yesterday in the equity complex. Oddly, as I monitored the market from my portable device, I couldn't help but notice the patterned trading in SPY given the plots on the 1 minute chart. Today, that price movement makes sense as Nanex has just released an updated Quote/Trade chart which highlights the material growth in activity at precisely 10:35.
Nanex states the
"charts below plot the ratio of quotes to trade value (similar to Quotes/Trades but in way to better compare the shifting lower transaction size since 2006). Each line shows the one-minute average value for all NMS stocks (about 8,000) for each minute of one trading day (9:30 to 16:00 ET), color coded by age: older dates towards the violet end of the spectrum, while recent days are colored towards the red end. The thick red line is Feb 25, 2013..."
1. Quotes per $10K of stock traded. One-minute average from Jan
2013 through Feb 25, 2013 for every minute of the trading day. Red line
is Feb 25, 2013. Things are normal until about 10:35am, when quote spamming surging.
764,962,237,673 quotes & 43,688,052,096 trades were processed to create the next chart
3 Day, 15 Minute SPY Chart:
