We also recommend and use both HFT Alert and HFT Alert Pro to monitor algorithmic activity for our daily trading.
Also surf Themis Trading's Market Structure Analysis
|Interactive Chart Here|
Here is Apple's stock. Day high is $100,000.00 and it opened at $253.83
A controversial computerized trading practice offered by some stock exchanges. Flash trading uses highly sophisticated high-speed computer technology to allow traders to view orders from other market participants fractions of a second before others in the marketplace. This gives flash traders the advantage of being able to gauge supply and demand and recognize movements in market sentiment before other traders.
A program trading platform that uses powerful computers to transact a large number of orders at very fast speeds. High-frequency trading uses complex algorithms to analyze multiple markets and execute orders based on market conditions. Typically, the traders with the fastest execution speeds will be more profitable than traders with slower execution speeds. As of 2009, it is estimated more than 50% of exchange volume comes from high-frequency trading orders.
The following video is an explanation on how to use the only software that is available to track the performance of HFT activity.
Visualizing Exchange Routing (from Nanex)
The all information comes from Nanex and specific sentences we picked (lifted) from their releases are in bold.
Below is a 5 millisecond interval chart of SPY showing Nasdaq trades (circles) and quotes (shaded vertical lines).
- The distance between the points labeled A and a is the minimum time that trades came ahead of quotes.
The next chart shows the NBBO at on 1 millisecond basis. Note how quickly and often the NBBO changes. This chart shows about 1 second's worth of data. (Read more here)
- This chart is for ticker WAB and captures the dramatic changes in the National Best Bid and Offer.
Below is a 1 millisecond interval chart showing trades as circles and the bid-ask spread as vertical lines from one exchange (Nasdaq). To get an idea of the extent of the delay, simply match the upper case letters (where trades occurred) to the lower case letters (where the corresponding quotes occurred). We could fantasize that this is HFT trading faster than the speed of light and call the negative difference fantaseconds, but we know better. (Read more here).
You won't find these trades in most databases any longer, they have already been scrubbed (they didn't happen). The following chart plots quotes and trades of the stock CNTY on 06/21/2011. The stock cycled violently from approximately $2.75 to $8.00 several times:
Next is a chart from the Flash Crash on May 6'th 2010. The first chart at the top of this page shows the detail of various price levels as the exchanges were being overloaded with data. This chart shows the message rates in the direct feeds. Notice the tight red lines at 14:42:00, when it all started to pick up
- Note how often the delay (red line) peaks right at 200,000 microseconds: this is very suspicious and merits additional investigation. Many delays also appear near 35,000 microseconds. Finally, note how often the peaks in message rate are at the same level: this is a common phenomenon on saturated networks.
Keep mind the exchanges can charge hedge funds and large financial institutions to gain access to this data in under 100 milliseconds. Ethics and conflicts of interest are rampant here. CNBC reports "Deutsche Boerse will pay a single-digit million dollar amount, including a performance-related payment, for one of the most widely followed barometers of the U.S. economy", said Holger Wohlenberg, managing director, market data & analytics for Deutsche Boerse, in a statement. Now the exchanges can front run the Chi-town PMI and use their HFT algorithms to team up with their clients (Hedge funds and Banks) to make a hefty profit.
Nanex has compiled a truly extensive amount of data in the chart, starting with data on slow quote/bid mode on the NYSE's Liquidity Replenishment Points, Stub Trades, the delay for GE on the CQS, the overall CQS quote rate, as well as the actual trade rate.
Sample of HFT Portfolio Performance Over Time