Nanex ~ Quote Spammer Spotted
The new quote spamming algo first spotted yesterday continues to grow. It accounts for
about 4% of all equity quotes and run almost every second of the trading day - except
for several 5 minutes gaps. It's signature is so large that it was easy to spot when
looking at the consolidated quote feed at millisecond resolution. When it runs, it blasts
200, 400 or 1000 quotes per symbol over about 25 milliseconds of time, and often accounts
for 80 percent or more of all quotes during that time. It appears oblivious to market
conditions - running whether trading is quiet, or full throttle. Which is disturbing,
because bandwidth is extremely scarce at peak activity.
The animation below shows 5 minutes worth of CQS quote messages on 2 millisecond intervals. Each line is colored by reporting exchange according to the legend below. Each frame in the animation below shows the first
1/2 second of each second.
The bottom panel shows each exchange's percentage of the total.
Note the red line bulge that appears between the 225 and 350 millisecond of each second. That's our quote spammer. Data covers 5 minutes.
Note the bulge slowly drifts to the right, and resets near the top of the next minute.