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Daily High Frequency Quoting Stats

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Below are lists generated by the applications we use to screen for high quote rates, sequential quote bursts and strange sequences. Once screened we then look at the issues in our Price Sequencer and produce the charts presented in our 'Crop Circle of the Day' page.

This page will be updated on a daily basis at approx 16:30 PM EST.

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  1. High Quote Counts

    Stocks having a high number of quotes per second. These quotes can be from any exchange and may or may not effect the BBO. The Fields shown are:

    Time Time of occurrence in HH:MM:SS
    Symbol Symbol of stock.
    Strength #Quotes recorded in that second.
    Trades #Trades recorded in that second.
    BBO Count #Of times quotes were the BBO.

    The threshold for this list is a minimum of 1,000 quotes per second.


  2. HFT Quote Counts (Per second, Sequential Per Exchange)

    Stocks with a high burst of quotes from a single exchange, reported sequentially with no other exchange quoting at the same time.

    Time Time of occurrence in HH:MM:SS
    Symbol Symbol of stock.
    Exchange Exchange quotes are recorded from.
    Strength #Quotes recorded in that second.
    BBO Count #Of times quotes were the BBO.

    The threshold for this list is a minimum of 500 quotes per second. Sequences which pass the threshold level multiple times in the same second are tagged with "**" in the Strength field.


  3. Potential Strange HFT Sequences (Per second, Sequential Per Exchange)

    Stocks with a high burst of quotes from a single exchange, reported sequentially with no other exchange quoting at the same time, with fluttering prices or fluttering sizes.

    Time Time of occurrence in HH:MM:SS
    Symbol Symbol of stock.
    Exchange Exchange quotes are recorded from.
    Strength #Quotes recorded in that second.
    Description Description of which item is fluttering. (Bid Price, Bid Size, Ask Price, Ask Size).
    BBO Count #Of times quotes were the BBO.

    The threshold for this list is a minimum of 250 quotes per second. Sequences which pass the threshold level multiple times in the same second are tagged with "**" in the Strength field.




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