Nanex Research

Nanex ~ 06-Sep-2012 ~ EDV 63,556 Quotes and 3 trades. Zero IQ Points

Words cannot describe how our regulators have failed to reign in High Frequency Trading Algos that are clearly running without safeguards. It's every machine for itself. We are back to square one. Caveat emptor for the investor and mundus vult decipi for the machines. 

Exchange computers and networks process quote and trade data by assigning goups of symbols to a particular machine and network. This means that any symbol in the group with high message traffic will cause a delay in all messages (quotes and trades) for all symbols in its group.

1. EDV ~ 1 Second interval chart showing the NBBO (gray shade) and the three trades.
Those trades sure look lonely. They need friends.

2. EDV ~ 1 Second interval chart showing best bids and offers color coded by exchange
Not very interesting. Nice blob of color though.

3. EDV ~ 25 millisecond interval chart (zoom of chart 2 above)
Blobs of color threaded on a string. We need to look closer. But first, notice how that red bar is curved not straight. This is not a good development.

4. EDV ~ 1 millisecond interval chart (zoom of chart 3 above). Chart shows 1 second of data.
Amazing price discovery in action. There are probably thousands of news items around the world affecting the price of this stock. 6,000 times a second.

Nanex Research