This is how we get around the quote/trade
ratio limits. We just stuff more symbols from multiple exchanges, with a lower
rate from each exchange. The SEC are staffed by @@@%%$% [nice people] who will never
figure this out.
Chart 1. DBV 1 second interval showing NBBO quotes color coded by exchange.
Only 2 trades over this 15 minute period of madness. Note the constant, steady
quote rate from each exchange (looks like colored ribbons in lower panel) Chart 2. Zooming in closer.Chart 3. And closer.Here's a video simulating order
routing at the time.
We slow down time for a while after a few seconds so you can see patterns.
We mapped the quotes to sound notes and this came out:
Chart 4. Tick ChartChart 5. Hiccups or sudden liquidity drop-outs
Update: The charts below show the same symbol, DBV on the next day, 06-Jun-2012
Chart 6. DBV 1 second interval showing NBBO quotes color coded by exchange.
The Best Ask rapidly oscillates between $40 and $240. Note EDGX is absent from
participation. Chart 7. Zooming in closer.Chart 8. And closer.Chart 9. And closer.Chart 10. Tick Chart Nanex Research