Nanex ~ 28-Aug-2012 ~ FCNCA 300,000 Quotes, Zero Trades in 100 Seconds
On August 28, 2012 starting at 15:49:45 and ending 100 seconds later at 15:51:25, a
High Frequency Trading algorithm running wild in the stock First Citizens Bancshares
(symbol FCNCA) blasted 300,000 quotes. There were no trades. Note this happened during
a known feed
overload event (15:50:00). As of 15:55:00, FCNCA had 656,694 quotes
and 39 trades since the open.
We also created an animation
of this event that illustrates how fast (ridiculous) bid prices change.
1. FCNCA - 100 millisecond interval chart showing best bids and offers color-coded by reporting exchange.
Each of those black lines is a mass of bid prices from Nasdaq. See next chart for close-up.
2. FCNCA - 1 millisecond interval chart showing best bids and offers color-coded
by reporting exchange (zoom of Chart 1).
This is 1 second of data. Note how often the Best Bid Changes! The black snake-like
lines are a mass of triangles representing individual best bids that are placed and
immediately canceled. 4,243 times in this one second of data.