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View Diary: The Evening Blues - 5-16-13 (81 comments)

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  •  bob did you see this? (7+ / 0-)
    [video description]

    1/2 second of trading activity in Johnson & Johnson (symbol JNJ) on May 2, 2013
    This video was featured at Wired Business Conference (watch it now: http://fora.tv/....)

    The animation tool that created this video was written in "C" using Windows GDI - simple lines, polygons and ellipses. We wrote it to explain to the SEC and CFTC (the regulators) how our markets work. We got the idea after realizing, in face to face meetings with them, they didn't understand market structure or the importance of latency and the consolidated feed. That was several years ago. We still aren't sure if they get it, or are just playing dumb.

    The bottom box (SIP) shows the National Best Bid and Offer. Watch how much it changes in the blink of an eye.

    Watch High Frequency Traders (HFT) at the millisecond level jam thousands of quotes in the stock of Johnson and Johnson (JNJ) through our financial networks on May 2, 2013. Video shows 1/2 second 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 bottom of the screen is 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.

    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.


    "Justice is a commodity"

    by joanneleon on Thu May 16, 2013 at 06:10:09 PM PDT

    [ Parent ]

    •  I had seen the first-screen image... (2+ / 0-)
      Recommended by:
      ek hornbeck, joe shikspack

      ...but never ran the video. I've been blogging about HFT for many years, now. Thanks for bringing this back to my attention! (It was from 2 or 3 weeks ago, right?)

      "I always thought if you worked hard enough and tried hard enough, things would work out. I was wrong." --Katharine Graham

      by bobswern on Thu May 16, 2013 at 08:00:56 PM PDT

      [ Parent ]

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