Nanex ~ 16-Dec-2013 ~ Extreme Futures Quoting
On December 16, 2013, between 3:00 and 6:36 AM ET, a high frequency trading (HFT) algo
ran in a number of futures contracts causing extreme per second quote rates (>2500/second).
Stock index, Treasury and Energy futures were affected. This algo was responsible for
about 3.6 million order cancellations during the 723 individual seconds it ran. Less
than 1 month ago, the CFTC fined a firm for "excessive order modifications" - and the
number of quotes involved in those instances,
were less than the number found on the morning of December 16 (below).
1. Showing Peak 1 second quote rates.
2. Another view, scaled by time.