It's Official: HFT Breaks Speed-of-Light Barrier, Sets Trading Speed World Record
Submitted by Nanex
HFT Breaks Speed-of-Light Barrier, Sets Trading Speed World Record
Adds a new unit of time measurement to the lexicon: fantaseconds.
On September 15, 2011, beginning at 12:48:54.600, there was a time warp in the trading of Yahoo! (YHOO) stock. HFT has reached speeds faster than time itself. Up to 190 milliseconds into the future, or 0.19 fantaseconds is the record so far. It all happened in just over one second of trading, the evidence buried under an avalanche of about 19,000 quotations and 3,000 individual trade executions. The facts of the matter are indisputable. Based on official exchange timestamps, there is unmistakable proof that YHOO trades were executed on quotes that didn't exist until 190 milliseconds later!
Millions of traders depend on the accuracy of exchange timestamps -- especially after bad timestamps were found to be a key factor in the disastrous market crash known as the flash crash of May 2010. We are confident the exchange timestamp problem has been completely addressed by now: the SEC would have made sure of it. It's not like adding accurate timestamps is rocket science, or even considered a difficult problem. Based on recent marketing materials, the exchanges are practically experts on measuring time. And with hundreds of millions in annual data feed subscriptions paid by the same subscribers expecting quotes with accurate timestamps, there is no shortage of funds to make it happen.
So we can be certain the exchange timestamps were accurate, which means that HFT has truly entered the era of the fantasecond.
But let us suppose for a moment that in reality, quotes became queued (delayed) and were timestamped after leaving this queue. After detailed analysis of the UQDF data feed (see chart below) that transmits this information to traders, we find that the traffic rate for both the total of all output lines and specifically multicast line #6 which carries YHOO, were both well below peak rates. So it doesn't appear there were any capacity problems which have always been an excellent indication of feed delay.
This raises a few thorny questions.
Does this mean there are far more delays than we previously thought? Is there a delay every time we see an explosion of quotes in one stock? Because that sort of thing happens. All the time.
Regulation NMS is pretty clear that direct exchange feeds are prohibited from having a speed advantage over the UQDF data feed. UQDF computes the NBBO after all. So how does one ensure trade-through price protection if the price being protected hasn't even occurred yet? The NBBO lies at the heart of Regulation NMS (Reg. NMS) and is the key concept that assures investors are getting the best price when buying or selling stocks.
Maybe it would be better to just fantasize about fantaseconds after all.
The first chart is a 250 ms interval chart of the NBBO in YHOO which is plotted as vertical lines and colored red if the NBBO was crossed during the interval, yellow if it was locked, and gray if it was normal. The implied quote rate is shown as a histogram at the bottom -- and scaled in quotes/second. We will focus on the time shown in the black circle.
Zoomed in detail of above chart in 2 millisecond intervals.
The next chart is the same as the one above, but includes trade executions which are plotted as dots or squares and are sized according to trade size. Each reporting exchange uses a unique color and shape. An exchange code table appears at the end of this page. What is unusual about this chart is that trades are reported ahead of quotes. The dots/squares should trail after the quotes. Up to the point in time that is labeled "A", and after the point labeled "B", trades and quotes were in sync. Between these two points is where the quote timestamps began falling behind.
By plotting quotes and trades from just one of the active exchanges, we can easily measure how far in time the trade messages came before the quotes and therefore estimate the minimum amount of time the quotes were delayed. Below is a 1 millisecond interval chart of YHOO showing only Nasdaq trades (black circles) and the Nasdaq bid-ask spread (gray vertical bars).
Exchange Code Legend:
| 1 | NQEX | Nasdaq Exchange |
| 4 | AMEX | American Stock Exchange |
| 7 | PACF | NYSE ARCA |
| 8 | CINC | National Stock Exchange |
| 9 | PHIL | Philidelphia Stock Exchange |
| 11 | BOST | Boston Stock/Options Exchange |
| 57 | NQNX | NSX Trade Reporting Facility |
| 59 | NTRF | NYSE Trade Reporting Facility |
| 60 | BATS | BATS Trading |
| 63 | BATY | BATS Y Exchange |
| 64 | EDGE | Direct Edge A |
| 65 | EDGX | Direct Edge X |
The chart below shows quote message rates for UQDF and multicast line #6 which is the line that carries YHOO quotes. The time of the event is shown at the lower left. Although traffic from YHOO was a significant percentage of all traffic on UQDF, it was still not high enough to indicate any problems. Note that the surge on the right side of the chart is much higher, and there weren't any known problems at that time in YHOO.
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liquidity biatches!
No crime to see here.
Faster than time itself? Did I read that right?
The average man is f@$!ed
You read that right. Prepapre the market for LUDICROUS SPEED!
They've gone to PLAID!
http://www.youtube.com/watch?v=mk7VWcuVOf0
We are going to need to drag out our copies of "Time Traveler's Handbook of 1001 Tense Formations "
http://pages.cs.wisc.edu/~param/quotes/guide.html
beam us up, tyler
Doc Brown would be proud!
back to the future.
'pre-crime' has now officially been defined.
So.. who really runs Dodge when the law is shoot first, ask questions later?
"Prepapre the market for LUDICROUS SPEED!" My brains are going into my feet!
Front-running has entered a whole new dimension.
Question is, are either side of these transactions even real, or is an HFTbot trying to generate the appearance of a real market? At this point, they could be trying to replace the casino with a mere facade.
If Cramer starts getting his calls right, then it's time to get suspicious.
smokem if you got'em
Ye cannae change the laws of physics!
Karnac the maginificent has risen from the grave and is predicting answers to questions not asked.
Business @ the Speed of Thought - Bill Gates.
Comment @ the Speed of Ignorance - gojam
It's just scientific consensus.
- Ned
Laws of physics are just "tradition". :-P
couldn't give you a + vote "up there" New_Meat, so have one here!
and to the consensus, I'll add "paid for" since most science is funded. . . outcome decided, ayups!
It's the Large Hadron Collider. They can bend the laws of time and space to place trades in the future by observing the wave function BEFORE it collapses...
whats' a matter colonel sanders, chicken?
Now. You're looking at now, sir. Everything that happens now, is happening now.
The vacuum tubes are not only reading the headlines but now predicting them............
so let me see if I got this right.. by the time my limit order goes through the HFT bots have traded, gone to lunch, came back traded some more, the closing bell rang and they all left the building and I never got filled ?
And you too can retire through a well-diversified 401(k) equity investment strategy. Just shift your pre-tax DOHllars into the account, your employer will match your contributions, and you too will live in the lap of luxury during your golden years. Buy and hold. It's so easy a computer can do it. HAHAHAHAHAHAAAA
that's the same thing that happened to me!
then i changed the limit, and it got filled...
...fast, too!
now that the SEC has gotten into studying these hi-freek algoz, anything can happen
once tyler, via art_C, went into the future generations wanting to stay unborn, the SEC simply HAD to try to protect their future midgets!
Yep. And you might even get stopped out at a price that hasn't happened yet, and when it does happen it will be gone so fast that you cannot do anything about it.
There seems to be a crack in the porcelin of what the MSM has been touting.
Obviously, the bids are being interupted, somewhere along the line allowing the HFTs to be faster than the time stamps are allocated.
Question: How many coincidences does it take to manifest a conspiracy?
3?
looks to me like the webbot project is spot on
seeing the future...not just for clairvoyent humans anymore
Long tachyons.
http://en.wikipedia.org/wiki/Tachyon
i see you also got the new HPH report hot off the presses and read through to the conclusion. was just thinking the same thing. uncanny, huh? what's really odd is that it was scheduled to be released tonight and he released it last night instead. or maybe it was tonight last night and today is yesterday tomorrow?
They must have employed tachyon pulses rather than light pulses to communicate the information, either that or they are swindling fraudsters.
http://en.wikipedia.org/wiki/Tachyon
At the nanosecond and shorter level time starts behaving as a probability function so these bots may actually be able to react with future bids and offers but I'm at a loss to see how the the time stamp can be applied without collapsing the wave. Consequently I'm going with the 'swindling fraudsters' option.
Perhaps if we fire an inverse tachyon pulse into the HFT servers, we may be able to prevent the imminent crash.
does that mean they can sell the stock a few fanta seconds before they buy it? wow, neat trick
2x post deleted sorry
They just used Einstein Express!
http://www.hulu.com/watch/264060/saturday-night-live-einstein-express
Jim Kirk invested with one of these HFT shops with less than adequate results. Algorithmic error precipitated a backwardation of trade execution. Stale trades -- going back to the late 17th Century, and the London 'Change, as it were.
The SEC is still investigating, but progress is slow, due to the inability to depose the Cromwellian stockjobbbers in question.
http://cdn.argenteam.net/images/series/star-trek/s3/e23/323-big.jpg
Hey Don, nice avatar -- Lost Weekend!
We're deep into quantum physics here, it is very possible for mass less object to break the speed of light, electrons in the 'vacuum tubes' are mass less (according to modern physics) so trading faster than the speed of light is theoretically possible
It's like when Butch found Marty's sports almanac....
Bif..
damn. and it won't let me edit for some reason.
locked after u get a reply. otoh, if you had one of them magical time thingiez, u could go back and get it the way u want it now.
Busted computerized zombie market custodian of your IRA/401k, bitchezzzz!
THIS IS OBVIOUS MARKET CHEATING! HOW CAN THIS NOT BE A CRIME?
it is a crime, but who will prosecute? act accordingly.
Bailed out in March-2010 -- golden parachute! Saved by silkworms!
The new level of self destruction has been reached.
edit: double tap
So greed is officially infinite? No longer are we trading within the time-space continuum, this should do wonders for trader Joe.
It's not greed. Machines are heartless. For them, it's just 0s & 1s. It's madness!
Michael J Fox fat fingered those trades.
Why does Michale J Fox make the best milkshakes?
Because he uses the best ingredients.
Saw that one on the internet. Anyways, carry on.
"Area woman with Parkinson's Disease bankrupts self via Amazons one-click buy feature." - the Onion
It is my understanding that those trades would have required 1.21 gigawatts of energy to place. Hardly seems like a 1/4 penny is going to cover that electric bill.
http://www.youtube.com/watch?v=XV_Dh2zvwLI
This will surely add to the stability of the system.
wish I could find chicks that fast!
shoot wish I was that fast.. I could in the time she blinks strip her clothes off on the subway platform, bent her over handle my buisness, pull her panties back up, have a cig and walk away and no one notice except maybe she feels a slight sensation down there.
um. creepy.
you (and your imaginary girl friend) need to take your time and smell the roses - what is the hurry?
be sure to wash your hands now. . . and stay away from humanity.
What good is Captain Jacking before her panties are off?
you would've had sex with 5 guys, and not even know it at that speed!
I love their burgers, but TomJoad is strictly hetero regardless of the fact that Eddies in the Space-Time Continuum.
Jump! You Fuckers!
I don't understand that and you don't either.
+20.000
Sure you do...it means: you lose.
Rynak to the rescue:
I do, because behind this technical explanation, is something very simple:
You're getting obsolete quotes.
See, when you get a quote from an exchange, it carries a timestamp, so that your computer knows the exact time to which this quote applies.
Those timespans, when the servers are busy, simply are wrong. They're not just wrong on your machine - they're wrong already on the servers. To put it bluntly: Not even the exchange servers themselves in peak times, know what happened when, because the speed of trades has become so high, that during high server load, they cannot accurately keep up with the trades anymore, and stuff gets out of sync (nanex reported on this earlier already).
FLUX ME HARDER!!
"These are not the droids you're looking for" "Move along"
brilliant
Slowest algo holds an empty bag.
a little music for this event
http://www.youtube.com/watch?v=97mSAAzwtv8
sniffting gone wild!
Tyler touched my packet before it was even there..
Obviously, these orders were filled in a parallel universe but leaked into ours through some sort of a worm hole.
but even if you could prove it TPTB would just go back in time and kill your dad
Maybe this is what Einstein was trying to achieve. If we can keep this up long enough, we could go back in time and back date our own orders just like they do with stock options.
"we could go back in time and back date our own orders"
This is exactly what American Oligarchy is trying to achieve with all this money printing,theft, lies, and corrupt regulations: just get back to the old good times instead of facing a slaughter in not too distant future.
did in the '90s with options
did in the '00s with ...
This is the new futures market. Instead of buying Jan, Feb, Mar, etc...puts/calls you just buy the 190ms contract. Nothing to see here.
Good one!
SEC too busy surfing porn at work. Stop bothering them. Act on an insider tip from your friend at the pharmaceutical company about to release a helpful drug and you can be damn sure the SEC will stop whatever it is they are doing to come after your ass. 2 laws: 1 for them and 1 for you.
So, this will be allocated to the Division For Impossible Trades at the SEC.
They will spend about 5secs deciding whether or not it is more interesting than Paris Hilton screwing a donkey, then pass it off as "public comment", "no new info".
Such is life in the public service, add-no-value clowns who don't realize that they have less than 5 years, before they're cleaning out toilets for a living.
My donkey wants a copy of the Paris Hilton/donkey thing-- please send link
Reminds me of a 13 year old hacker, 30 years ago, who was the first to figure out how to hack a backbone router and sniff every single ID+pwd passing on the net. It took an armed assault on his mother's house to shut him down for good (he had infiltrated almost every connected computer).
Seems like his kids are work today!
I'm breaking out the IID (infinate improbability drive)....
http://www.youtube.com/watch?v=zjbtZ4NgtdA
DON'T PANIC!
http://www.youtube.com/watch?v=WB8XDk3sQBc
I wondered who would be first to bring in
Zaphod's ship "Heart of GOLD."
Ding! Ding! Give that papa a fine cuban cigar.