"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, February 26, 2013

Expanded Quote to Trade-Value Data Yesterday

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: