Nanex Research

Nanex 15-Apr-2014 ~ SPY Quotes Per Trade

One second interval quotes (top of book from the SIP) per second in SPY reveals extreme High Frequency Trading cancel rates that are obscured in daily averages (compare charts 1 & 2 with chart 3 below). Note that there are 3 seconds that exceed 1000 top of book quotes (best quotes from each exchange) per trade. Also, during the time shown: 13% of the samples exceed 100 quotes per trade, and 5% exceed 200 quotes per trade.

1. SPY 1-Second Quotes Per Trade from 9:00 to 10:30 on one trading day.
The first 30 minutes is premarket (market opens at 9:30). The dip before 9:55 is from anticipation of the release of Michigan Consumer Sentiment News
2. SPY 1-Second Quotes Per Trade - Log Scale to see detail

3. SPY Quotes per Trade - Daily Average
Compare this chart to the one above - this is why averaging over the entire day can significantly hide HFT's extreme cancel rates.

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