Nanex: Incremental build-up over the last few years of superfluous quote traffic over the course of the day. That is to say, quotes which are entered into markets systems but are never actually transacted, hence they are Spam.
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Click to enlarge:
Source: Beware the market spam
FT.com, September 16, 2011
Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data, ability to repeat discredited memes, and lack of respect for scientific knowledge. Also, be sure to create straw men and argue against things I have neither said nor even implied. Any irrelevancies you can mention will also be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.
The best way to keep money in perspective is to have some. —Louis Rukeyser
"It's the end of the world as we know it and I feel fine" say the French as consumer confidence in May rose to the highest since Nov '10 as they welcome and get excited about new Pres Hollande. Also, the French 10 yr bond yield touched the lowest on record this morning. June consumer confidence in Germany held at 5.7, just .2 pts off the highest since Mar '11. To the euro bond debate which is now taking on greater rhetoric with those with high bond yields wanting them and those with low ones saying no way, ECB member...
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September 16th, 2011 at 12:43 pm
Barry,
you don’t think there are exceptionally mindless & hopelessly narrow lobbies at work?
http://thecounterpunch.hubpages.com/hub/The_Conquest_of_Poverty
make a copy of this; even this text might disappear someday
re-invented here, yet again (still no one listening; Barry – it’s not about the math :) )
Seven Deadly Frauds of Economic Policy (PDF Link)
http://moslereconomics.com/wp-content/powerpoints/7DIF.pdf
September 16th, 2011 at 1:56 pm
roger,
w/.. “…you don’t think there are exceptionally mindless & hopelessly narrow lobbies at work?…”
you’re appealing to the wrong dude..
Ritholtz is, still, pro-FedRes–yet, even he, “data-driven” as he proclaims, can’t(doesn’t) annunciate a coherent rationale for that position..
http://www.thefreedictionary.com/annunciation
September 16th, 2011 at 2:03 pm
I think its SCAM not SPAM. It is serving a specific purpose completely different from the apparent purpose. That is the reason we need to tax all bids and offers whether executed or not. Even if they only exist for a nano second they should be taxable events.
September 16th, 2011 at 3:14 pm
I didn’t think you guys were tracking me.
I know I change my quote a lot but that’s not my fault. It’s the floating price movement
September 16th, 2011 at 3:55 pm
DeDude nails it!!!!!!!!!
September 16th, 2011 at 4:04 pm
The hidden problem is the probability (remember the ‘Flash Crash’?) of bugs in these HFT systems. As the SPAM increases, so does the probability of a system-wide failure. Errors per 1000 lines of code are still in the area of 3 or 4 and there are a helluva lotta lines of code out there and still being added.
@DeDude: sounds right. Would also cause the HFT folks to re-examine their strategies and maybe cut the SPAM.
September 16th, 2011 at 4:59 pm
So I am “spamming” or “scamming” when I change my bid or asking price a couple times as I am adjusting to the change in price action?
Regards,
TDL
September 16th, 2011 at 6:03 pm
Looks like the markets need to charge more for the privilege of quoting.
September 16th, 2011 at 6:37 pm
Props to TDL: what fraction of these never-transacted bids or offers MIGHT realistically been acted upon? What harm for anybody (or any computer) used to watching a stock to see extra quotes than those that stay up for hours?
“Inquiring Minds Want to Know!Ú ®
September 16th, 2011 at 6:44 pm
@TDL;
As important as I think you are, I doubt that you are the dude that has driven this from dark blue to dark red in the last 4 years.
September 16th, 2011 at 8:03 pm
I think there should only be a per-quote tax if the trader would like the transaction to hold up in court. If they don’t want government enforcement services, there should be no tax, but the quote should include the information about whether it is a private sector quote or government enforceable one. Let’s face it. We’ve come a long way from the old over-the-counter brokerage motto, “My word is my bond.” That’s quaint. I’m more a “Put your money where your mouth is.” sort of guy these days.
September 17th, 2011 at 6:12 am
This is a really cool chart. It’s not about specific data points, but shows large trends in great detail, giving a sense of both the macro and micro texture. But it is a little misleading because the earlier days are obviously plotted first and then overwritten by the later days. With the density of information this kinda wipes out peaks of the earlier days. I’d like to see what it would look like if it were plotted in the opposite order.
September 17th, 2011 at 12:18 pm
DeDude,
I was not implying I was a mover of markets. Your snide comment doesn’t really answer my question either. By changing my bid or asking price as I adjust to the price action, am I engaged in “spamming” or “scamming”?
Regards,
TDL
P.S. I generally call bullshit on the HFT/algo is breaking the markets meme.
September 18th, 2011 at 11:20 am
TDLR: “So I am “spamming” or “scamming” when I change my bid or asking price a couple times as I am adjusting to the change in price action?”
You are if you are changing your bid/ask 1,000 times a second. That rate of quote updates per symbol occurs all the time. And it is growing — in both rate and number of symbols affected.
Edwardian: We plotted the chart in the opposite order and it looks very similar. I can send you that image — just shoot an email to pr@nanex.net.