4 ms·
The NANEX research page[1] has a lot more information about the different MOs that they spot. It looks like NANEX first spotted it on October 1st: "On October
by dfc 14y ago
The NANEX research page[1] has a lot more information about the different MOs that they spot. It looks like NANEX first spotted it on October 1st:
"On October 1, 2012, we detected a new form of quote stuffing that tries to hide under the radar. It involves hundreds of stocks and millions of bogus quotes during the trading day. The algo that generates them is very careful to spread out the stocks targeted and limits each test to a blast of exactly 200 quotes in 25 milliseconds or less. The quotes all come from Nasdaq, and sometimes affect the Best Bid or Offer: the only change appears to be a fluttering of the bid or offer size."[2]
Doing my best tptacek impression "the nut graf is":
"We believe that this algo will continue to grow and if left unchecked, could very well contribute to the next flash crash because it removes precious network capacity and provides zero economic value such as price discovery."
They posted an update on the 5th with a neat visualization of the trading activity[3]. If you just want to see a neat animated gif the direct link is:
http://www.nxcoreapi.com/aqck2/Algo200.gif http://www.nxcoreapi.com/aqck2/Algo200.gif
They have a list of the activity from October 1st[4], but it is not clear to me what the second and third fields are:
Example:
09:01:03|P|9|UMDD
09:01:03|P|6|MVV
09:01:03|P|6|MIDU
09:01:03|P|4|IVOO
09:26:20|P|9|UMDD
09:28:44|P|7|SGOL
The second and third fields have the following possible values:
13 4 N P Q
0 1 2 3 4 5 6 7 8 9 a A b B C D E F
I was looking at the nxcore api docs [5] and I could not tell what these fields could be. The field values do not seem to match up to the listed values for exchanges or order types.
[1] http://www.nanex.net/aqck/aqckIndex.html http://www.nanex.net/aqck/aqckIndex.html
[2] New Quote Stuffing Algo http://www.nanex.net/aqck2/3610.html http://www.nanex.net/aqck2/3610.html
[3] Quote Spammer Spotted http://www.nanex.net/aqck2/3614.html http://www.nanex.net/aqck2/3614.html
[4] http://www.nanex.net/aqck2/3610%5C20121001.200.txt http://www.nanex.net/aqck2/3610%5C20121001.200.txt
[5] http://www.nanex.net/apidocs.html http://www.nanex.net/apidocs.html
EDIT:
I am delighted and rather surprised to say that someone from NANEX responded to my inquiry about the second and third fields.
"P = ARCA (we've since determined that the algo only ran on NYSE and Nasdaq listed issues)
N = NYSE
Q = Nasdaq
The 3rd column is the SIP multicast line that would carry the quote. For
Nasdaq listed, those are carried on UQDF which uses 6 lines and we label
as A, B, C, D, E, F. For NYSE/ARCA listed those are carried on CQS which
uses 12 lines, we label as 1-9,a,b."
- mcphilip 14y agoExcellent write up, I was hoping Nanex had some info on this. Tangentially related, The Rise of the HFT Machines is another great Nanex article that argues how it's not so much HF trading that threatens market stability, it's the HF quoting[1]. There are some great charts illustrating how every time exchanges increase quote processing capacity the HF algos gobble up the new bandwidth, but ultimately the number of executed trades has remained relatively consistent over the past five years. [1]http://www.nanex.net/aqck/2804.HTML http://www.nanex.net/aqck/2804.HTML
- deleted 14y ago[deleted]
- dchichkov 14y ago>>> The intent of these players isn't necessarily to slow down an exchange, but also to force "opponents" to slow down as they handle more of a load as the orderbook is frequently updated with garbage orders. LOL. You can't do that. It is illegal. And if you'd do that intentionally, SEC would be calling you the same day.
- nomurrcy 14y agoYou can't be serious. Quote stuffing the channel is standard HFT practice. 99% of the orders placed are never meant to be hit. The SEC is incapable and uninterested in policing this stuff. Put a .5 second minimum TTL on every order and you'd see all the 'liquidity' provided by the HFT world dry up instantly.
- yxhuvud 14y agoI think I'd prefer a small fee on cancelled orders.
- hasker 14y agoI think many exchanges actually already do this, with a rebate provided for actually orders that are executed. The idea being that it is fine to cancel five orders for every one fill or some other ratio of cancels to fills. Check the pricing for trading with Interactive Brokers. I think they are passing on these exchange fees directly.