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Dear HFT, Please Explain This
From Nanex
Dear HFT, Please Explain This
On August 25, 2011 at 15:45:48, in a one second period of time, there were more than 10,000 quotes and exactly zero trades in DELL. Close inspection of these quotes reveals something very disturbing. This cannot be dismissed as a computer problem or glitch. This can't be explained as stupidity or some oversight. It is not pinging for hidden liquidity. And it's certainly not price discovery. As far as we can tell, it's not adding liquidity or narrowing the bid/ask spread.
What caused this blast of 10,000 quotes in DELL appears deliberate. Of the 10,000 quotes, the bid and ask prices remain the same. The bid size also remains constant except for one change after the first 7,000 or so quotes. The only real variation is the ask size. Not a simple 2 step variation, but one that repeats in a mathematical pattern with a long cycle. This makes it difficult to detect, but it also confirms that it must be emanating from a single source.
There are approximately 4,000 stocks that quote during active trading. Which means 40 million quotes/second if just one of the 9 exchanges allow this nonsense to spread to all 4,000 symbols. You would need 40 gigabits per second of bandwidth to receive data at that rate. Unfortunately, we think it's just a matter of time, because events like this one in Dell are no longer isolated or rare. And it doesn't look like there are any grown-ups in charge.
DELL - Dell, Price and Sizes
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Wish I could stay and watch the fed olympic games today with all of you and the flashing lights,cool colors and see all the lies and stealing,cheating thy brother but must go to get more fiat,ponzi toilet paper for the coming Shitstorm that lamestream media tells me is not coming.
Good luck and good day to you
OH MY GOD! You killed Kenny!
If not the SEC or some official government regulator, why aren’t the MSM all over this? They’re always in need of a juicy story. Where is 60 minutes, Geraldo Rivera, or those investigators from Channel 7 News who run around in black leather busting restaurants for putting cat food in their omelets or some old hag in Long Island for keeping 98 cats in her apartment? How hard would it be for these MSM vigilantes to bring this HFT stuff to everyone’s attention? The silence is deafening. It’s not natural. Some group with a lot of power and money is working very hard to keep this stuff under wraps. And that’s as absurd as the act itself.
Better get yer gold and silver quick,and it better be physical-in-your-hand.Or youll regret it.
Something is brewing,and it dont smell pretty.
Madoff must be laughing his ass off