New Level Of Stock Market Quote Insanity

Tyler Durden's picture

If there is one thing Nanex does with absolute perfection, as in the case below, it is to show how the New stock market Normal is best suited for various robotic creatures, and ideally to be avoided enitirely. Because surely after years of warning, and daily observations, including perfectly recurring events like the Flash Crash, at this point the farce that is the market should be known to everyone.

From Nanex:

New Level of Quote Insanity

We knew something was different about today. The following graphic neatly captures it. It shows the 15 minute average percentage of quotes considered excessive each minute (over 500 quotes per second per stock) between January 2010 and 11-May-2012 (plotted as thick red line). Note how this line was persistently high the entire day relative to trading days in the past. This probably explains the crazy high quote rates and prices shown in the charts below.

Excessive Quote (Percent)

Right before market open, 4 symbols had quote rates over 12,000 per second. Here is a list of those events:

Random images showing unusual quote activity involving multiple exchanges. Some of this activity was right before release of Consumer Confidence news (more on that here).

GOOG 100 ms

GOOG 25ms

GOOG 10ms

GOOG 1ms ~ This is just 1/2 second of time

MIDD 1sec ~ Look how frequent best bid/ask switches exchanges

MIDD 10ms ~ Zoom 1

MIDD 10ms ~ Zoom 2