Algo Wars–Massive Quote Stuffing or Just a Production Test …

CNBC reported another interesting series of events in the weird world of algos. An apparently new algo made up some 4% of the quote traffic during the first week of October, apparently using up 10% of the capacity of the US stock market on October 8th. But the really interesting bit… it didn’t make a single trade, all of the orders were cancelled.

This appears to either be quote stuffing on a huge scale or perhaps an organisation trying to avoid another Knight Capital event and decided they needed production testing!

Nanex has some of the research around the event.


~ by kevinsmi on October 26, 2012.

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