Nanex Research

Nanex ~ 11-May-2012 ~ New Level of Quote Insanity

Update. We knew something was different about today. The following graphic neatly captures it. It shows the 15 minute average percentage of quotes considered extremely excessive each minute (over 500 quotes per second per stock) between January 2010 and 11-May-2012 (plotted as a thick red line). Note how this line was persistently high the entire day relative to trading days in the past. This probably explains the crazy high quote rates and prices shown in the charts at the bottom of this page.

Update 14-May-2012. The chart on the right includes data through 14-May-2012 and this day is plotted as a thick red line. This makes 2 days in a row with this new behavior.

Extremely Excessive Quote (Percent) 

Right before market open, 4 symbols had quote rates over 12,000 per second. We have recently warned about looking out for this behavior. Here is a list of those events showing symbol and number of quotes it has in that one second:

Random images showing unusual quote activity involving multiple exchanges. Some of this activity was right before release of Consumer Confidence news (more on that here).

Nanex Research