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Strange Days Aug 29th, 2011

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On August 29, 2011 over a 4 second period beginning at 12:19:48, there were 44,939 quotes from one exchange in one stock: NVIDIA (symbol NVDA). All but 14 of these quotes set the NBBO. There were exactly zero trades. During this period, these NVDA quotes accounted for 81% of all NBBO quotes for all NYSE, AMEX, ARCA, and Nasdaq equities. The algorithm appears to be the same one that caused excessive quotes in Dell on August 25th.

We hereby award the originator of this mess the HFT Pig Award.

The Chart below shows the percentage of quotes and NBBO quotes in NVDA compared to quotes from all stocks.

NVDA - NVIDIA, Price and Sizes

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Publication Date: 08/29/2011

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