2. A High Frequency Trading Firm Exonerates High Frequency Trading
We finally know who helped the SEC write the
flash crash report: the infamous report that
incorrectly laid blame on a mutual fund company that traded futures through
Barclay's. This is the same report that exonerated High Frequency Trading (HFT) from
causing the flash crash.
A High Frequency Trading firm provided flash crash analysis that exonerated High Frequency
Trading. See if you can find this disclosed anywhere in the
SEC flash crash report
or related press conferences. Did the press
bother to ask? Will they now?
3. High Frequency Quote Spam
Odd how most charts are millisecond/microsecond, except when it comes answering one very
question: how fast are orders canceled? The best charts to use in answering
that question are the
cumulative cancel charts (click last button - "Cancel Survivor and CDF", should
look like black chart on the right, below). Why is this chart shown in minutes? It's
one of the few charts that are.
We know you can download data and create your own charts, but not many people are
going to take the time, so we did it for you. We created the left chart
with data downloaded from the
SEC's website. This chart is essentially a much expanded view of the first 10
to 100 milliseconds of the chart on the bottom right.
With our chart, you can quickly see that over 25% of all orders in "Large Stocks" are
canceled in about 25ms (1/50th of a second): which is before they could be physically
accessed by anyone west of the Mississippi. These are large capitalization stocks.
This is High Frequency Quote Spam. This is from the SEC's own website!
Watch the video below (or on youtube)
to see HFT Quote Spam in action.