HFT/AlgoSequence Rates - Part 1
Many who have read our original analysis of May 6'th ask us just how much HFT
patterns, potential quote-stuffing and strange sequences were occuring on the
day of May 6'th 2010, and specifically in the minutes leading up to and during
the final plunge. In this article we present the rates we recorded during that
time and at other times and for other days. using 3 of our monitoring tools
developed while analysing the flash crash. The monitors consist of the
following:
- #Stocks with HFT Algo Sequences/ Seq. Per Recording Exchage:
This represent the # of stocks, per reporting exhange, that exhibit high rates
of quotes with patterns we present in our Crop Circle of the Day page, and as
reported in our originally Crash Flash Analysis. The count scale is shown on
the right. As an example if the line representing the BATS exchange is at 50,
that signifies 50 stocks had a sequence reported from BATS in that second.
- #Stocks with HFT Quote Sequences/ Seq. Per Recording Exchange:
This represent the # of stocks, per reporting exhange, that exhibit unusually
high rates of quotes in any given second. The count scale is shown on the
right. As an example if the line representing the NSDQ exchange is at 21, that
signifies 21 stocks had a sequence reported from BATS in that second. This
chart is closely tied to chart type #3, which reports high quote counts for the
listed exchanges.
- #Stocks with HFT Quote Sequences/ Seq. Per Listed Exchange:
This represent the # of stocks, per listed exhange, that exhibit unusually high
rates of quotes in any given second. The count scale is shown on the right. As
an example if the line representing the NSDQ exchange is at 21, that signifies
21 stocks had a sequence reported from BATS in that second. This chart is
closely tied to chart type #2, which reports high quote counts for the
reporting exchanges. Not how and which listed exchanges are effected by the
reporting exchanges.
The following charts all display 480 seconds of data (1 second at a time). Each
second contains an accumulated count of the # of stocks exhibiting the desired
behaviour in that second. We have chosen the timeframe of 14:41 through 14:48
as this is the timeframe just prior and during the flash crash on May 6.
Chart 1 - 05/05/06. The day before the flash crash, this is typical of the
counts we see normally on any given day at any given time.
Chart 2 - 05/06/2010. Minutes before and during the flash crash.
It is clear from this chart that not only was this activity occuring the day of
the flash crash but it was occuring at extremely high rates. Notice in chart 3
NYSE listed stocks are the stocks the HFT and HFT Algo sequences are effected
nearly double that of stock listed on other listing exchanges. As we also
reported in our initial Flash Crash Analysis report, the NYSE started sending
delayed quotes (which were timestamped as if they were current) at approx 14:42
and this is when the final plunge of the market began.
Chart 3 - 08/02/2010. Another normal day.
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Publication Date: July 08, 2010
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