Nanex Research

Nanex ~ The Rise of the HFT Machines

See also The Tighter Spreads Lie and The Liquidity Illusion

We created a high definition video of the animation below and posted it to youtube.

The following animated GIF chronicles the rise of the HFT Algo Machines from January 2007 through January 2012.


It's not high frequency trading (HFT) that concerns us. It's high frequency quoting, and it should concern everyone. The two images below tell the story. The chart on the left shows the growth of high frequency quoting. The chart on the right shows the (lack of) growth of high frequency trading. Quote data is from CQS, trade data is from CTA, both which cover listed stocks on NYSE, AMEX, and NYSE-Arca between 2008 and 2012. Quote spam has exploded with no signs of stopping, while trade frequency has stalled and is actually lower than it was years ago. Each day is plotted in a separate color over the course of a trading day (9:30 to 16:00 Eastern): older data uses colors towards the violet end of the spectrum, recent data towards the red end of the spectrum. The gaps you see between color groups on the quote chart (left-side) is when system capacity was upgraded to handle the increase in traffic, and quote spam jumped to fill the new capacity that very same day.
Quote Message Growth Trade Message Growth

Daily trade and quote counts for U.S. stocks. Click here for details.

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