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Growth of High Frequency Quote Spam in the Stock Market

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Published on Sep 14, 2013

More information: http://www.nanex.net/Research/CQSCap/...

2 millisecond peak message traffic for every 10 minute period between market open (9:30) and close (16:00) in Tapes A and B (CQS) for each trading day from September 2009 through September 13, 2013. CQS, the consolidated quote data feed carries quotes for NYSE, NYSE-Mkt, and NYSE-Arca listed securities.

The vertical scale is in quotes per second which was at 1000/second in 1999, and is now approaching 2 million/second. The gaping is when network capacity was increased.

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