We wanted to see the extent of the delay between NYSE quotes from CQS and
OpenBook on a more recent trading day. So we synchronized quotes from CQS and
OpenBook for GE between 1pm and 4pm Eastern time and plotted 30 minutes worth
of timestamp differences along with the quote price which are shown in Chart 1
below. We were surprised to see the frequency and magnitude of the delay. We
thought high quote activity in a stock would cause a delay in that stock's
quote, but could not find any correlation between the quote activity in GE and
Then we decided to focus on the one minute that had the highest delay, which is
highlighted with a yellow circle in Chart 1. This one minute sample of the
delay is plotted in Chart 2.
| Instead of looking at the quote rate for just GE, we decided to plot the
quote rate for all stocks that NYSE sends to CQS. In other words, we plotted
the sum total number of quotes where the listed exchange and reporting exchange
are NYSE. This is plotted in Chart 3, which has the same time interval as Chart
You can see that there is a very strong correlation between the quote rate in
Chart 3, and the delay in Chart 2. Whenever the quote rate in Chart 3 exceeds
20,000/second, a corresponding delay is seen in Chart 2. The higher or longer
the quote rate exceeds 20,000/second, the greater the delay.
We then looked at all 3 hours and noticed the same relationship between total
NYSE to CQS quote rate and a delay in GE.
Then something very disturbing dawned on us. If the average or base quote rate
is around 10,000/second, then it only takes an additional 10,000 quotes/second
to reach the magic 20,000 quotes/seconds where a corresponding delay is seen in
NYSE quote from CQS. This 10,000 quotes/second can be in any stock or
combination of stocks that NYSE sends quotes to CQS for.
The high occurrence of strange crop
circles we have noted elsewhere, are suddenly beginning to make
Publication Date: August 23, 2010
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