Nanex Research

Nanex ~ 04-Feb-2014 ~ HFT Liquidity Waves

Between 8:00 and 9:20 on February 4, 2014, in the stock of The WhiteWave Foods Company (symbol WWAV, market cap $4 Billion), one or more High Frequency Trading (HFT) algos placed and cancelled 2.04 million top of book orders at Direct Edge. Most of these affected the NBBO (National Best Bid/Offer) hundreds of times per second. There were only 3 trades, and they all occurred at the very beginning of the quote onslaught.

By 9:20, the number of quotes in this one stock represented 27% of all quotes from all NMS symbols up to that point in time. There are over 8,000 NMS symbols comprised of NYSE, NY-Arca, NY-Mkt and Nasdaq listed stocks and ETFs.

Read what a HFT Lobbyist thinks of high order cancellation rates, or an Exchange CEO on quote flickering. Related (though it may ruin your day): quote spoofing.

1. WWAV - Bids and Asks color coded by exchange and NBBO (gray shading).
All 2.04 million quotes from EDGX (light blue) - were generated between 8:00 and 9:20. There were 3 trades (right at 8:00 - impossible to see). The red dots are quotes from NY-Arca (PACF).

2. WWAV - Zooming in from 8:06 to 8:24 (18 minutes).

3. WWAV - Zooming in on price (same time scale as chart 2 above).
Best bid price flutters between $22.00 and $23.00.

4. WWAV - Zooming in from 8:16 to 8:17:45 (just under 2 minutes).

5. WWAV - Best Bids and Asks, zoomed in to 1 second of time.

6. Short Video of a quote screen during this event.

Nanex Research