Nanex ~ 24-Jan-2013 ~ Fantaseconds Illuminate Cheating
We wrote this
satire on fantaseconds to illustrate how High Frequency Traders
(or anyone subscribing to direct feeds) were getting an unfair, illegal speed
advantage. Read more about why this speed advantage is not only
against regulations, but also
The charts below show quotes and trades in SPY
from the consolidated feed over a 2 second
period of time beginning January 24, 2013 at 9:42:20.500 EST. This was when someone
bought about 4,000 eMini (ES.H13) futures contracts immediately, clearing 4 levels of
These charts clearly show trades appearing before quotes. Something that is impossible,
unless others are trading on information not yet available in the consolidated feed.
The consolidated feed is a key component which Reg NMS is based on. Reg NMS requires
that direct feeds may not provide market data faster than to the consolidated feed.
1. SPY - Showing Nasdaq non-ISO trades (circles) and Quote Spread (gray shading).
Note that trades print ahead of quotes by 1/2 second.
2. SPY - Showing all trades color coded by exchange and NBBO which is shaded red when crossed (bid > ask), yellow when locked (bid = ask) or gray if normal.
3. SPY - Showing non-ISO trades color coded by exchange and NBBO. Same as Chart 2 (above) but excludes ISO trades.
4. SPY - Showing trades (circles) and quote spread for NY-ARCA (PACF) and Nq-Boston (BOST)
Note how BOST quotes also lag by 1/2 second, yet trading appears unaffected.
5. SPY Showing non-ISO trades (circles) and quote spread for NY-ARCA (PACF) and Nq-Boston (BOST). Same as chart above, but excludes ISO trades.
6. SPY - Showing trades (circles) and quote spread for Nasdaq, NY-ARCA (PACF) and BATS
7. SPY - Showing trades (circles) and quote spread for Nasdaq, Edge and Edge-X
8. SPY - Showing trades (circles) and quote spread for Nasdaq and BATS-Y