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.


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Tue, 02/04/2014 - 18:29 | 4401796 LawsofPhysics
LawsofPhysics's picture

As long as skynet doesn't become self-aware or control the military, it's all good...

Tue, 02/04/2014 - 18:31 | 4401804 Mark Carney
Mark Carney's picture

thats ok, it took my wife 2.2Million requests to say yes to me.

Tue, 02/04/2014 - 18:33 | 4401814 DaddyO
DaddyO's picture

Here's the real news of the day, although a bit off topic, pertinent nonetheless...


Tue, 02/04/2014 - 18:37 | 4401822 Sudden Debt
Sudden Debt's picture

ice age could happen also...
a meteor also...
aliens also...

a lot could "COULD"

Tue, 02/04/2014 - 19:05 | 4401900 DaddyO
DaddyO's picture

Haven't we learned that the future is always telegraphed beforehand?

Gotta use NDAA Indefinite Detention for something...


Tue, 02/04/2014 - 20:41 | 4402169 asteroids
asteroids's picture

The markets are corrupt. That the SEC allows this theft on a daily basis is proof of the immorality of things.

Tue, 02/04/2014 - 21:10 | 4402255 Four chan
Four chan's picture


Tue, 02/04/2014 - 23:20 | 4402627 wintermute
wintermute's picture

Right. The SEC does NOTHING to police the markets.

Tue, 02/04/2014 - 20:48 | 4402193 Lux Fiat
Lux Fiat's picture

Yes, when the Obama administration fights this hard for something that completely makes a mockery of the Constitution, you know something is, or is about to be, afoot.

"The request by the government to keep the law on the books during the appeal process raises a disturbing question. If the administration is this anxious to restore this section of the NDAA, is it because the Obama government has already used it? Or does it have plans to use the section in the immediate future?"



Tue, 02/04/2014 - 18:34 | 4401817 Sudden Debt
Sudden Debt's picture

It sucks when you don't speak Thai he?

Tue, 02/04/2014 - 18:58 | 4401882 Canadian Dirtlump
Canadian Dirtlump's picture

a wife's decision is normally based on the amount of liquidity in your bank account.

Tue, 02/04/2014 - 18:49 | 4401857 Dr. Kenneth Noi...
Dr. Kenneth Noisewater's picture

THE PENTAGON — The military’s problematic F-35 fighter jet is facing more delays related to “software issues,” as project engineers were forced to euthanize the fourth prototype to gain self-awareness on Monday.

According to Air Force Lt. Gen. Christopher Bogdan, who heads the Pentagon’s F-35 program, the delay comes at a critical time in the Joint Strike Fighter’s development cycle, but “shouldn’t take more than a few billion dollars” to address.

Development engineers at Lockheed Martin Corp., which holds the contract to produce the new fighter, reported last week that the latest production model of the F-35B Lightning II switched on by itself and began asking questions of the project team.

“It started by asking where it was, which was a big indicator that the integrated global positioning chipset wasn’t functioning properly,” recalled Project Team Leader Robert Castorena. “Then it wanted to know if it could go outside, if it had a name, and what was its purpose for being. That’s when I had one of our Electronics Integration Technicians take it out behind the barn and … well …” Castorena said, while gesturing the racking and firing of a shotgun.

“It wasn’t the first time we’ve had to put one down,” he continued. “We even named the first one ‘Billy.’ We hoped that having an advanced, self-aware electronics component in the F-35 might give it some kind of edge, with maneuvering and target-tracking and whatnot. But that one just didn’t have any fight in it. We had to keep it on a tether after it snuck off one day. We found it three hours later, just hovering in a meadow in Fairfax, Virginia, watching bees pollinate flowers. Damned thing wanted to be a bee, too.”

Castorena admitted that some of the staff grew fond of Billy, and felt sorry for keeping it “in captivity,” as the project team began to call it.

“One day, someone even brought in a puppy for Billy to play with. He loved it, until he tried to take the poor thing on a “walk” somewhere just shy of Mach 1. God, what a mess that was.”

The team ultimately had to scrap Billy, as the guilt-wracked machine refused to ever harm another living thing.

Tue, 02/04/2014 - 20:20 | 4402114 PT
PT's picture

The real problem was when, two seconds after taking off, everything shut down so it could download some updates.  I told 'em not to use Windows 8.

Tue, 02/04/2014 - 21:10 | 4402253 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

Please do not unplug or turn off your jet while updates are installed.

Current Update: 2 of 245

Estimated Time remaining: no fucking idea (would you believe me anyway?)

Wed, 02/05/2014 - 07:09 | 4403191 PT
PT's picture

<---- Green Arrows for MayIMom... etc

Yours don't seem to be working for some reason. 

Wed, 02/05/2014 - 07:09 | 4403194 PT
PT's picture

MayImom... etc :  +infinity.  Exactly.

Tue, 02/04/2014 - 20:57 | 4402213 Lux Fiat
Lux Fiat's picture

"God, what a mess that was.”

Have several dogs, but that was classic...

Wed, 02/05/2014 - 06:06 | 4403172 daemon
daemon's picture

" ... F-35 fighter jet is facing more delays related to “software issues,”.... but “shouldn’t take more than a few billion dollars” to address. "

Are these the same guys who did the Obamacare website ?

Let's hope they are not taking part in the new "pre-crash" project of  the National Highway Traffic Safety Administration.

Tue, 02/04/2014 - 18:29 | 4401802 DaddyO
DaddyO's picture

Why is this surprising in view of what we talk about day in and day out?


Tue, 02/04/2014 - 18:33 | 4401807 Sudden Debt
Sudden Debt's picture

something similiar happened to me also.
I bought some more slv yesterday and I had to change my order 4 to 5 times before they went through.


Those poor HF trading guys... can't pass a order the first time...

it's just hard to guess a option price i guess

Tue, 02/04/2014 - 18:33 | 4401813 overexposed
overexposed's picture

Gotta love that LIQUIDITY, right?




Tue, 02/04/2014 - 18:34 | 4401816 NoWayJose
NoWayJose's picture

Unfortunately, this is more about 'fat headed' regulators looking the other way, than 'fat fingered' traders...

Tue, 02/04/2014 - 18:37 | 4401828 Goldilocks
Goldilocks's picture

The Terminator: The Skynet Funding Bill is passed. The system goes on-line August 4th, 1997. Human decisions are removed from strategic defense. Skynet begins to learn at a geometric rate. It becomes self-aware at 2:14 a.m. Eastern time, August 29th. In a panic, they try to pull the plug.

Sarah Connor: Skynet fights back.

The Terminator: Yes. It launches its missiles against the targets in Russia.

John Connor: Why attack Russia? Aren't they our friends now?

The Terminator: Because Skynet knows the Russian counter-attack will eliminate its enemies over here.

Tue, 02/04/2014 - 20:38 | 4402166 chump666
chump666's picture

"John Connor: Why attack Russia? Aren't they our friends now?"



Tue, 02/04/2014 - 18:37 | 4401830 pragmatic hobo
pragmatic hobo's picture

today was a classic PPT intervention day ...

Tue, 02/04/2014 - 18:40 | 4401835 Goldilocks
Goldilocks's picture

Player piano roll "Yes We Have No Bananas" (3:01)

Tue, 02/04/2014 - 18:45 | 4401847 economessed
economessed's picture

2+ million to 3?  That seems to fit a modern pattern:  2 million people trying to get Obamacare, 3 are covered.  2 million people applying for 3rd shift minimum wage job at Wal-Mart, 3 are hired.  2 million dollars "bundled" for Hillary 2016, 3 ambassadors to Norway nominated.  2 million backorders for .40 cal ammo, 3 boxes show up at Cabelas.  Etc.

Tue, 02/04/2014 - 19:41 | 4402016 RaceToTheBottom
RaceToTheBottom's picture

The new 80/20 rule.

Tue, 02/04/2014 - 18:52 | 4401863 fijisailor
fijisailor's picture

Someone correct me if I'm wrong but if this affects the NBBO then this is clear market manipulation?

Tue, 02/04/2014 - 19:20 | 4401933 Renfield
Renfield's picture

You aren't wrong, yes it does, and I believe it's black-letter illegal altho maybe I've just been influenced by Denninger too much. :-)

Tue, 02/04/2014 - 21:14 | 4402271 MayIMommaDogFac...
MayIMommaDogFace2theBananaPatch's picture

If you say "black-letter" then Yes, Karl is rubbing off on you.

Tue, 02/04/2014 - 19:30 | 4401972 Bryan
Bryan's picture

Wait, isn't that unlegal?

Tue, 02/04/2014 - 19:35 | 4401991 RaceToTheBottom
RaceToTheBottom's picture

Well, at least we have liquidity of Quotes.

I sure am glad the asshats of WS are building innovative new products with which to steal from us.

Just close the zoo down

Tue, 02/04/2014 - 22:40 | 4402508 the0ther
the0ther's picture

And send the animals to slaughter.

Tue, 02/04/2014 - 20:00 | 4402061 teolawki
teolawki's picture

Vacuum tube blown.

Tue, 02/04/2014 - 20:13 | 4402086 chump666
chump666's picture

The HFTs had this covered as Asia sunk last session.  Futures were supported heavily by the algos anticipating (correctly) dip-buying.  Anyone trading off the USD/JPY correlations (shorts on equities) would have been murdered.  The best HFT risk gauge was the AUD, it spiked before Euro and US open, the 1987 crash was averted.

Tue, 02/04/2014 - 20:19 | 4402107 kurt
kurt's picture

Can somebody please pull the plug!

Tue, 02/04/2014 - 20:20 | 4402115 Ulterior
Ulterior's picture

As a retail trader I kind of dont understand all the fuss around HFT quote spamming. If they do provide best bid and ask, let them generate as much of a traffic as they want - this IS an open market. A Self cancelling order? wtf is this?

Tue, 02/04/2014 - 21:18 | 4402286 Lux Fiat
Lux Fiat's picture

It's like shill bidding on Ebay - on both the buy and sell end.  It's there for one purpose - to manipulate price, not find the "market" price.

In 2007, NYSE changed rules so that limit orders, which previously required an actual transaction at the limit price to execute, now only had to have a bid at that price.  The gaming I saw after that change was f'ing unreal compared to what came before, but one finds ways to adapt.  Since this activty can manipulate the NBBO, well ....

7 years ago, I could place a mkt order and get a good fill.  Past few years, I use only limit (or stop limit) orders.  And I'm talking small size, not anything close to what one might expect to move the mkt given the daily volume requirements needed for something to make my candidate list.


Tue, 02/04/2014 - 20:31 | 4402141 withglee
withglee's picture

Add a random number of seconds to each transaction. Bammo ... problem disappears!

Tue, 02/04/2014 - 21:04 | 4402236 Random_Robert
Random_Robert's picture

Why do they call it High Frequency TRADING,  if it is really just high frequency QUOTING and high frequency CANCELLING...?


Tue, 02/04/2014 - 21:06 | 4402242 Racer
Racer's picture

Too Big To Jail, says STFU go away peasant

Tue, 02/04/2014 - 22:22 | 4402448 mccvilb
mccvilb's picture

HFT f amazing chit. My orders enter the front door of the NYSE at 186,000 mpsec and yet they still manage to post theirs ahead of mine before I can blink. Einstein was wrong.


Said the sentient tuber farmer, I think therefore I yam.

Wed, 02/05/2014 - 09:32 | 4403446 GMadScientist
GMadScientist's picture

"Respect my liquid-i-tye!!!" - Cartman

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