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What Happened At The Last Big Fed Announcement

Tyler Durden's picture




 

Judging by the market's reaction to the June FOMC statement and press-conference, Nanex shows the four things that US market participants can expect to happen over the next few hours:

  1. The HFT Machines Will Take Over (fake quotes will soar)
  2. Quote Spreads will Widen (but all that liquidity provision?)
  3. Quote Spreads will Become Unstable
  4. The Number of Stocks Locked (Bid=Ask) or crossed (Bid>Ask) Will Soar

But apart from that - do as you're told and BTFATH as every commission-taking muppet will tell you the Taper is priced in.

Via Nanex,

Charts showing market anticipation and reaction to the June 19, 2013 FOMC Meeting which occurred at 2 pm EST. Each chart shows 1 second data for each minute of time between market open (9:30) and close (16:00).

1. The HFT Machines will Take Over
This is a count of fake quotes that could only be placed by High Frequency Trading machines. See this video.



2. Quote Spreads will widen.
Lower is better. Percentage of stocks with NBBO spread at or above different amounts - from 2 cents to over 25 cents.



3. Quote Spreads will become unstable.
Lower is better. Percentage of stocks with NBBO spreads that change by 1 to over 25 cents each second.



4. The number of stocks with NBBO quotes that are locked (bid = ask) or crossed (bid > ask) will sky rocket.
This is a prime indication of data feed latency and prohibited by Reg NMS.


 

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