How Many HFT Quotes Does It Take To Execute 3 Trades? (Hint - Over 2 Million)

Tyler Durden's picture

The farce that is the so-called stock "market" gets more and more mindblowing every day. Following yesterday's record high volume in VIX futures and options, this morning saw one stock - the $4bn market cap WhiteWave Foods represent a stunning 27% of all quotes in this morning's pre-open. As Nanex notes in this great analysis, HFT algos generated 2.04 million quotes which created... drum roll please... 3 trades.

 

Via Nanex,

Between 8:00 and 9:20 on February 4, 2014, in the stock of The WhiteWave Foods Company (symbol WWAV, market cap $4 Billion), one or more High Frequency Trading (HFT) algos, generated 2.04 million top of book orders at Direct Edge. Most of these affected the NBBO (National Best Bid/Offer) hundreds of times per second. There were 3 trades - all occurring at the very beginning of this quote onslaught.

By 9:20, the number of quotes in this one stock represented 27% of all quotes from all NMS symbols up to that point in time. There are over 8,000 NMS symbols comprised of NYSE, NY-Arca, NY-Mkt and Nasdaq listed stocks and ETFs.

Read what an HFT Lobbyist thinks of high order cancellation rates, or an Exchange CEO on quote flickering.

1. WWAV - Bids and Asks color coded by exchange and NBBO (gray shading).
All 2.04 million quotes from EDGX - were generated between 8:00 and 9:20. There were 3 trades (right at 8:00 - impossible to see).



2. WWAV - Zooming in from 8:06 to 8:24 (18 minutes).



3. WWAV - Zooming in on price (same time scale as chart 2 above).



4. WWAV - Zooming it from 8:16 to 8:17:45 (just under 2 minutes).



5. WWAV - Best Bids and Asks, zoomed in to 1 second of time.



6. Short Video of a quote screen during this event.