Oct. 10, 2011 : RegNMS Rescinded

The SEC actually rubber-stamped Nasdaq's proposal (below) which, for all practical purposes, destroys the core concept that holds Reg NMS together - but only for the Nasdaq exchange. It's interesting that other exchanges have not made this proposal (that we can find). We strongly recommend the New York Attorney General or Congress investigate.

Dec. 22, 2011 : BLT

Bots placed 50,993 quotes, 0 trades in 5 Seconds on Blount International Inc (BLT) on December 22, 2011.

Dec. 22, 2011 : BLT - 2

Here's another look at the HFT on Blount International Inc (BLT) on December 22, 2011.

Dec. 22, 2011 : TNC - 7,000 quotes in 675 milliseconds

Bots placed 7,000 quotes in 675 milliseconds on Tennant Company (TNC) on December 22, 2011.

Dec. 22, 2011 : TNC - 2

Here's another look at HFT on Tennant Company (TNC) on December 22, 2011.

Dec. 22, 2011 : TNC - 3

Here's another look at HFT on Tennant Company (TNC) on December 22, 2011.

Dec. 22, 2011 : TNC - 4

Here's another look at HFT on Tennant Company (TNC) on December 22, 2011.

Dec. 22, 2011 : LRE - Blowup

This is evidence of HFT on LRR Energy LP (LRE) on December 22, 2011.

Dec. 22, 2011 : LRE - 2

Here's another look of HFT on LRR Energy LP (LRE) on December 22, 2011.

Dec. 22, 2011 : LRE - 3

This is a peek at HFT on LRR Energy LP (LRE) on December 22, 2011.

Dec. 21, 2011 : RDWR

This is HFT on Radware Ltd (RDWR) on December 21, 2011.

Dec. 21, 2011 : UGP

On December 21, 2012, Ultrapar Participacoes SA ADR (UGP) saw evidence of HFT.

Dec. 21, 2011 : UGP - 2

Here's another look at the HFT on Ultrapar Participacoes SA ADR (UGP) on December 21, 2012.

Dec. 21, 2011 : IPAR - 10,000 quote, 0 trades in 950 milliseconds

On December 21, 2011, bots placed 10,000 quotes with zero trades on Inter Parfums, Inc (IPAR) within 950 milliseconds.

Dec. 21, 2011 : IPAR - 2

Here's another look at HFT on Inter Parfums, Inc (IPAR) on December 21, 2011.

Dec. 21, 2011 : IPAR - 3

Here's another look at HFT on Inter Parfums, Inc (IPAR) on December 21, 2011.

Dec. 21, 2011 : Quote Stuffing Banned!

This week, the NYSE and NYSE/Arca have individually filed proposed rule changes that adopt the text of FINRA's (Financial Industry Regulatory Authority) rule 5210, which prohibits the publication of manipulative or deceptive quotations or transactions.

Dec. 21, 2011 : Flash Crash Analysis: Order Book Depth

We came across a few images showing order book depth for individual stocks during the flash crash that were never published. We constructed the data from order book data from direct exchange feeds.

Dec. 21, 2011 : Quote Stuffing Banned!

This week, the NYSE and NYSE/Arca have individually filed proposed rule changes that adopt the text of FINRA's (Financial Industry Regulatory Authority) rule 5210, which prohibits the publication of manipulative or deceptive quotations or transactions. The documents specifically use the term Quote Stuffing; a phrase Nanex coined after finding symbols with thousands of quotes per second while researching the flash crash.

Dec. 20, 2011 : CCOI

Check out the HFT on Cogent Communications Group, Inc (CCOI) on December 20, 2011.

Dec. 20, 2011 : IPAR

This is a look at HFT on Inter Parfums, Inc (IPAR) on December 20, 2011.

Dec. 20, 2011 : HFT Alert - Bot Spike

Here's a look at algo sequencing by exchange on December 20, 2011.

Dec. 20, 2011 : SMH

Merrill Lynch Semiconductors HOLDRS ETF (SMH) saw HFT on December 20, 2011.

Dec. 20, 2011 : Flash Crash Analysis: Flash Crash Revisited

One metric we use to measure severe feed saturation is the ratio of the number of messages in one second to the number of messages in 2 milliseconds (ms). The exchange feeds shown here generally queue high bursts of data at approximately 2 ms intervals.

Dec. 20, 2011 : Flash Crash Analysis: Feed Saturation Ratio

ne metric we use to measure severe feed saturation is the ratio of the number of messages in one second to the number of messages in 2 milliseconds (ms). The exchange feeds shown here generally queue high bursts of data at approximately 2 ms intervals. So this 2 ms interval become the absolute maximum message rate for that feed. Dividing the number of messages over a 1 second interval by this absolute maximum gives us a very good indication of feed saturation. By plotting this ratio for every trading day for a year preceding the flash crash, we can see just how unique May 6th was in terms of feed saturation.