Since the arrival of HFT, quote spreads have become more erratic and wider during Fed Announcements
The following charts capture quote spreads for all U.S. stocks during the time period around Fed Announcements in the month of August for the years 2006 through
2011. Each line shows the percentage of U.S. stocks with a
quote spread greater than or
equal to 1 to 25 cents during each 1 second interval. The percentage of stocks with
spreads greater than or equal to 1 cent is plotted in dark violet (it's the 100% line).
The percentage of stocks with spreads greater than 2 cents is plotted in a lighter
violet, and so on up to the percentage of stocks with spreads greater than 25 cents
which is plotted in red. Lower values mean more stocks had tighter spreads during
The X-Axis shows time of day (Eastern Time) from 12:47 through the close of
Note how spreads are generally tighter and certainly more stable the further back in time you
look, which is the exact opposite of what HFT proponents claim. HFT influence started
in early 2007 and began to flourish near the end of that year.
We also have an animation showing quote spreads for the entire
trading day from 2006 - 2012.