Earlier in the day we posted THIS CHART of a multi-exchange after hours algo (which was most likely a test). As is can be a little difficult discerning the individual exchanges (as there are so many quotes in such little time), we thought this animation might help.

In the animation, each row represents a separate exchange, each quote from the exchange is represented by a colored cube (unique colors for each exchange, colors are shown on the left hand legend). You are zoomed into the ask prices here, because at the time the spread was a full $2.00 (you can barely see the bids way down below). When an exchange quote becomes the NBBO, a red wire-frame outlines its quote cube.

In the original chart, we show the full 26 second sequence. In the animation we show a mere 400 milliseconds.

This is what a multi-exchange algo looks like:

Nanex Ongoing Research