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How Many HFT Quotes Does It Take To Execute 3 Trades? (Hint - Over 2 Million)
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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As long as skynet doesn't become self-aware or control the military, it's all good...
thats ok, it took my wife 2.2Million requests to say yes to me.
Here's the real news of the day, although a bit off topic, pertinent nonetheless...
http://washingtonexaminer.com/justice-antonin-scalia-says-world-war-ii-style-internment-camps-could-happen-again/article/2543424
DaddyO
ice age could happen also...
a meteor also...
aliens also...
a lot could "COULD"
Sounds more like an auctioneer who doesn't sell anything to me.
Haven't we learned that the future is always telegraphed beforehand?
Gotta use NDAA Indefinite Detention for something...
DaddyO
The markets are corrupt. That the SEC allows this theft on a daily basis is proof of the immorality of things.
THE SEC IS A FUCKING JOKE.
Right. The SEC does NOTHING to police the markets.
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.
It sucks when you don't speak Thai he?
a wife's decision is normally based on the amount of liquidity in your bank account.
http://www.duffelblog.com/2014/02/f35-delays-sentience/
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.
<---- Green Arrows for MayIMom... etc
Yours don't seem to be working for some reason.
MayImom... etc : +infinity. Exactly.
"God, what a mess that was.”
Have several dogs, but that was classic...
http://www.youtube.com/watch?v=rIcKeVvQMf4
" ... 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.
Why is this surprising in view of what we talk about day in and day out?
DaddyO
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.
NASTY SHIT AND NERVE WREKING!!
Those poor HF trading guys... can't pass a order the first time...
it's just hard to guess a option price i guess
Gotta love that LIQUIDITY, right?
Bueller?
...
Anyone??
Unfortunately, this is more about 'fat headed' regulators looking the other way, than 'fat fingered' traders...
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.
"John Connor: Why attack Russia? Aren't they our friends now?"
hahahahahahahahahah
today was a classic PPT intervention day ...
Player piano roll "Yes We Have No Bananas"
http://www.youtube.com/watch?v=BXFC8hiaRcI (3:01)
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.
The new 80/20 rule.
Someone correct me if I'm wrong but if this affects the NBBO then this is clear market manipulation?
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. :-)
If you say "black-letter" then Yes, Karl is rubbing off on you.
Wait, isn't that unlegal?
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
And send the animals to slaughter.
Vacuum tube blown.
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.
Can somebody please pull the plug!
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?
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 .... http://www.nyse.com/pdfs/Stop_Stop_Limit_Notice.pdf
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.
Add a random number of seconds to each transaction. Bammo ... problem disappears!
Why do they call it High Frequency TRADING, if it is really just high frequency QUOTING and high frequency CANCELLING...?
Too Big To Jail, says STFU go away peasant
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.
"Respect my liquid-i-tye!!!" - Cartman