Nanex did some digging into market data before the Nasdaq blackout at 12:20 EDT on August 22, 2013. They discovered several significant periods of extremely high quote volume. By plotting the number of messages for each of the 6 multicast lines used by the Tape C SIP (Securities Information Processor), we discovered the quote blasts map directly to individual multicast lines.

Note that this is the data feed that Nasdaq claimed as the source of he bad data.

 

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From Nanex:

“The first chart above plots the number of messages for each multicast line between 10:50 and 12:10 EDT. Note there are several message surges: each of which is confined to an individual multicast lines (single color). The surge on line #6 at 10:55 (red line) is from zeroed bids and asks from ARCA (this is detailed in another chart below). The 3 surges at 11:48 (blue), 11:50 (red) and 11:54 (green) are actually from a resending of the previous 50 minutes worth of quotes as if they were new quotes. Each quote had a new timestamp and marked as if it were real-time – which caused these quotes to update the NBBO! We detail this in the stock ORLY in 2 below.”

We are slowly destroying the core structure of our capital markets.

 

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Source: Nanex

Category: Really, really bad calls, Think Tank, Trading

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

6 Responses to “Quote Blast Loops May Have Caused Nasdaq Freeze”

  1. Mike9 says:

    The market should be set up to be a FAIR Market for All Participants.
    There should be no market advantage built into the system for ANY ONE trader or firm.

  2. MP7 says:

    Any idea why any exchange allows these quote blasts to happen. As far as I know, the only reason for them is to try and manipulate s/t price movements. Who benefits from these?

  3. NoKidding says:

    A 10 second delay on order cancellations would eliminate this crap. There is no defensible need for less.

  4. Iamthe50percent says:

    Probably three seconds would do or even one second, but I would go along with 10. Just long enough for a quick person to click “cancel”. Milliseconds or microseconds is a program manipulating the market with fictitious orders.

  5. Obviously, this type of G*rbage isn’t, sufficiently, dis-incentivized..

    slap a ‘Commission’-charge on these ‘Quotes’–Bids/Offers, ‘Cancelled’, or not — and, then, let’s see if we continue to get this type of ‘Activity’..

  6. Frilton Miedman says:

    But … HFT’s ‘r good ’cause they “provide liquidity”!

    Combine the immense buying power of TBTF’s using 30 to 1 leverage, with the power these alg’s have over short term equity movements and the omnipotence of owning limitless undisclosed quantities of any future (thanks to the CFMA), which then controls input costs for said equities, and I can’t understand how anyone with basic math skills can conclude the market isn’t rigged.

    …Meanwhile, it looks like the architect of this madness, Summers, is going to be the next Fed chair.

    WTF?