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Quote Stuffing: Bizarre New Phenomenon

post #1 of 4
Thread Starter 
I have recently been reading about a bizzarre unexplained and anomalous occurrence known as "Quote Stuffing".

I'll try to explain and show some pics which illustrate it better.

Basically, trading on the Stock Exchange is now carried on by bots that can place thousands of trades a second and which operate from dedicated server farms. The data is analyzed by specialist Companies to whom it is subcontracted - one of these Data Service companies, Nanex, has identified a series of several patterns in the graphs of this data.

For example. a barrage of 10,000 quotes was placed over a 12 second period and this is resulted in the below pattern - the 'Bandsaw'



Below: a "flag repeater" - 15,000 quote requests were made in 11 seconds in a repeating pattern. Each iteration upped the quote a penny until $9.36, and then the algorithm went down the same way, a penny at a time.



This is one of my faves - 56,000 quotes in one second all at the same price (the top chart) but with the size of the order increasing by one (i.e. 100 shares) all the way up to 40,000.



This one's called "The Knife"



More in depth analys in the quoted article.

Nanex themselves are collating this data and publishing it on their web where they liken it to the Crop Circle phenomena and post a Crop Circle of The Day.

What's going on? Anyone any idea?
What is Faith? When your good deed pleases you and your evil deed grieves you, you are a believer. What is Sin? When a thing disturbs the peace of your heart, give it up - Prophet Muhammad
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What is Faith? When your good deed pleases you and your evil deed grieves you, you are a believer. What is Sin? When a thing disturbs the peace of your heart, give it up - Prophet Muhammad
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post #2 of 4
Quote stuffing makes no sense. They put in a bunch of quotes they know no one is going to fill and retract them before anything happens.


SEC Is Looking at 'Quote Stuffing'

SEC Probes Canceled Trades

High Frequency Trader Fined: ‘Quote-Stuffing’ Crackdown Afoot?


Data Wonks Debut Dizzying Diagram of Flash Crash

A smoking gun for the flash crash was never found if I remember.
post #3 of 4
Thread Starter 
Quote:
Originally Posted by FloorJack View Post

Quote stuffing makes no sense. They put in a bunch of quotes they know no one is going to fill and retract them before anything happens.


SEC Is Looking at 'Quote Stuffing'

SEC Probes Canceled Trades

High Frequency Trader Fined: Quote-Stuffing Crackdown Afoot?


Data Wonks Debut Dizzying Diagram of Flash Crash

A smoking gun for the flash crash was never found if I remember.

So who's doing it then? And why?
What is Faith? When your good deed pleases you and your evil deed grieves you, you are a believer. What is Sin? When a thing disturbs the peace of your heart, give it up - Prophet Muhammad
Reply
What is Faith? When your good deed pleases you and your evil deed grieves you, you are a believer. What is Sin? When a thing disturbs the peace of your heart, give it up - Prophet Muhammad
Reply
post #4 of 4
From my reading it seems like the market makers are doing it. Why, I don't know. It's not like a stuffer steps forward and says "we do this because ..."
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