Dec. 14, 2012 : Quote Stuffing Bombshell

In June 2010, while analyzing the Flash Crash, we noticed that many stocks had extremely high rates of canceled orders (1000+ per stock, per second). We then looked at data back to 2004 and found hundreds of thousands of examples: the first beginning in July 2007, which not coincidentally is when High Frequency Trading (HFT) began exploiting the flaws of Reg. NMS.

Aug. 15, 2012 : HFT Doesn't Harm Investors

From the 1990's through the end of 2006, electronic trading increased transparency which attracted liquidity, leading to to narrower spreads and greater market stability. The graphic in this recent New York Times article shows the steady reduction in trading costs up until about 2006. Since that time, trading costs have not changed significantly on the execution side but on the analysis side (not factored into the New York Times article), both the number of quotes and the cost of receiving and processing them has exploded.1 Spreads have also become considerably less stable.

July 26, 2012 : Salami Slicing Sub-Penny Style

A study of 41 billion trade reports since 2006 reveals a clear winner from retail price improvement. Hint: it's not the retail trader.

March 23, 2012 : The BATS IPO and halt in AAPL

The March 23, 2012 IPO of BATS was brief. Apple (AAPL) stock began trading at 11:14:18.436 with an initial price of $15.25. Within 900 milliseconds from opening the stock price had fallen to $0.2848. Within 1.5 seconds the price bottomed at $0.0002. 567 trades were executed before the stock was halted (532 are shown below).

Nov. 1, 2012 : The Denial of Service Algo

When this algo ran, it effectively shut down trading in that stock. We found that this algo completely jammed up the consolidated quote when it ran in Nasdaq stocks. Themis Trading believes they found what caused the high quote spam traffic.

Feb. 29, 2012 : SPY Closing Events of February 29, 2012 and July 29, 2011

During the market close in SPDR S&P 500 ETF Trust (SPY) (and dozens of related ETFs) on February 29, 2012, a delay of about 1.25 seconds developed in quotes from Nasdaq relative to quotes from other exchanges. Execution trade prices from Nasdaq appeared synchronous with trade prices from other exchanges, which shouldn't be possible, since Nasdaq's quote was behind. We also noticed an anomaly in the trade condition.

Dec. 31, 2012 : Record Activity, Lowest Liquidity

Our eMini Depth of Book indicator has proven to be an excellent early warning signal for extreme intraday volatility. It is based on the number of orders resting in the nearest 10 levels of depth for the active Electronic S&P 500 Futures Contract (symbol ES), also referred to as the "eMini".

Dec. 31, 2012 : Visa's Priceless Moment

Our eMini Depth of Book indicator has proven to be an excellent early warning signal for extreme intraday volatility. It is based on the number of orders resting in the nearest 10 levels of depth for the active Electronic S&P 500 Futures Contract (symbol ES), also referred to as the "eMini".

Dec. 31, 2012 : XOM 1000,000 Share Mistake?

On December 31, 2012 at 10:42:21, the stock of Exxon Mobil Corporation Inc. (symbol XOM) suddenly dropped 0.24 on about 100,000 shares. 3 minutes later, it suddenly rose 0.26 on about 100,000 shares. An expensive lesson (~$16,000) if it was a mistake.

Dec. 31, 2012 : NMS Trade, Quote, and Symbol Counts

The charts below show daily total trade, quote and active symbol counts for NMS stocks from all reporting exchanges from 2004 through December 14, 2012. NMS stocks comprise all NYSE, NYSE-AMEX, NYSE-ARCA and Nasdaq Listed Stocks. Click Prev/Next to step through all 13 images showing counts for NMS Stocks for the top stack, or Prev/Next for NYSE Listed Stock images in the bottom stack.

Dec. 31, 2012 : ES.H13 ~ Demon Skull

Dec. 28, 2012 : ES.H13

EMini (ES.H13) ends with a bang and a fizzle on December 28, 2012.

Dec. 28, 2012 : Record Low Liquidity

The charts below show daily total trade, quote and active symbol counts for NMS stocks from all reporting exchanges from 2004 through December 14, 2012. NMS stocks comprise all NYSE, NYSE-AMEX, NYSE-ARCA and Nasdaq Listed Stocks. Click Prev/Next to step through all 13 images showing counts for NMS Stocks for the top stack, or Prev/Next for NYSE Listed Stock images in the bottom stack.

Dec. 28, 2012 : IRET - IRET Explosion/Implosion

Here we have two views of HFT on Investors Real Estate Trust (IRET) on December 28, 2012.

Dec. 28, 2012 : BUD

Check out the algo's-eye view of one minute of algo activity on Anheuser-Busch InBev SA/NV (BUD) on December 28, 2012.

Dec. 28, 2012 : Botless

These three charts would typically show stocks with HFT by exchange, but it's all quiet on December 28, 2012.

Dec. 28, 2012 : eMini Depth at Close

Here's a peek at liquidity evaporation on ES.H13 at close on December 28, 2012.

Dec. 27, 2012 : GRMN

Take an algo's-eye view of Garmin (GRMN) over a single minute on December 27, 2012.

Dec. 27, 2012 : eMini Rollercoaster

Check out the bot coaster on eMini Futures on December 27, 2012.

Dec. 27, 2012 : CQB - 2 Sec Implosion/Recovery

Here we have charts detailing Chiquita Brands International Inc's (CQB) two second implosion and recovery on December 27, 2012.

Dec. 27, 2012 : ES.H13 ~ ES.H13 ~ 3D Depthmap

This is a 3D animated gif showing the Emini contract ES.U13.

Dec. 26, 2012 : Orchestrating Chaos

On December 26, 2012 at 11:02:59, the market suddenly exploded with activity (SPY dropped below 141.88 - a low set 12 days earlier on December 14). Approximately 3,800 March 2013 eMiini futures contracts (S$P 500) were sold during that second. We thought the sudden explosion in activity warranted a closer look.

Dec. 26, 2012 : Orchestrating Chaos

On December 26, 2012 at 11:02:59, the market suddenly exploded with activity (SPY dropped below 141.88 - a low set 12 days earlier on December 14). Approximately 3,800 March 2013 eMini futures contracts (S$P 500) were sold during that second. We thought the sudden explosion in activity warranted a closer look.

Dec. 26, 2012 : DVA, SYT, CCI Smash Crashes

DaVita HealthCare Partners Inc (DVA), Syngenta AG (SYT) and Crown Castle International Corp (CCI) all experience min i flash crashes on December 26, 2012.

Dec. 24, 2012 : Update: eMini Depth of Book

The depth of book for the eMini contract is higher on one of the quietest trading days of the year (December 24, 2012: thick red), than it was during the explosively violent trading days in August 2011 (dark purple).