Nanex ~ High Frequency Traders Infest Mastercard
Автор: EricHunsader
Загружено: 2012-05-24
Просмотров: 9977
Описание:
The bottom box (SIP) shows the National Best Bid and Offer. Watch how much it changes in a second.
Watch High Frequency Traders (HFT) at the millisecond level jam thousands of quotes in MasterCard Stock through our financial networks on May 16, 2012. Video shows about 5 seconds of time. If any of the connections are not running perfectly, High Frequency Traders can profit from the price discrepancies that result. There is no economic justification for this abusive behavior.
Each box represents one exchange. The SIP (CQS in this case) is the box at 6 o'clock. It shows the National Best Bid/Offer. Watch how much it changes in a fraction of a second. The shapes represent quote changes which are the result of a change to the top of the book at each exchange. The time at the top of the screen is the time of the last quote or trade update in Eastern Time HH:MM:SS:mmm (mmm = millisecond). We slow time down so you can see what goes on at the millisecond level. A millisecond (ms) is 1/1000th of a second. The blink of an eye is about 200 ms.
Note how every exchange must process every quote from the others -- for proper trade through price protection. This complex web of technology must run flawlessly every millisecond of the trading day, or arbitrage (HFT profit) opportunities will appear. It is easy for HFTs to cause delays in one or more of the connections between each exchange.
http://www.nanex.net/Research/IsNBBOI...
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