Nanex ~ 24-Sep-2013 ~ HFT, Nasdark and TwitterFall
Comparing NBBO metrics on the day of the infamous
White House Down Tweet (23-Apr-2013) vs
The Day the Nasdaq Died (22-Aug-2013). Basically, when the scary tweet came
out, High Frequency Traders (HFT) tucked tail and got out as fast as they could - and
what remained, had quote spam turned up to 11.
When Nasdaq went dark, the behavior was subdued - other than the huge number of locked
and crossed NBBO quotes. Also, quote spam was way down (which is interesting, because
most quote spam is in non-Nasdaq listed stocks).