Nanex ~ 11-Oct-2013 ~ GE Meets HFT
On October 11, 2013, at 11:38:01 - the stock of GE suddenly tumbled
in 1/4 of a second,
more than half of it's average daily range.
The price nearly recovered just seconds
later. During the plung, the number of quotes per millisecond averaged 52, and peaked
at 134. These are network equivalent rate of 52,000 and 134,000 messages per second.
It was a little over a month ago, that Nasdaq claimed message rates of 25,000 caused
a 3.5 hour blackout.