I’m personally a fan of reading about odd stock market stories where HFT or an anomalously bid ask spread happens. An example on December 9, 2011, commencing at 11:01:16, there occurred two anomalous and likely unrelated incidents involving the symbols PDLI and BAC. Both incidents entailed a significant volume of trades originating from the BATS exchange. In the case of the PDLI event, there were oscillations in trade and quote prices reminiscent of a previously documented algorithm observed in Natural Gas Futures. On the other hand, the BAC event witnessed an influx of approximately 800 trades per second, sustained for a continuous duration of 77 seconds. Notably, the cumulative number of trades executed in BAC during this brief timeframe accounted for around 30% of the total trades conducted throughout the entirety of the trading day. http://www.nanex.net/StrangeDays/12092011.html That is the link to the deep dive. Nanex research has some great articles that might interest you
I’m personally a fan of reading about odd stock market stories where HFT or an anomalously bid ask spread happens. An example on December 9, 2011, commencing at 11:01:16, there occurred two anomalous and likely unrelated incidents involving the symbols PDLI and BAC. Both incidents entailed a significant volume of trades originating from the BATS exchange. In the case of the PDLI event, there were oscillations in trade and quote prices reminiscent of a previously documented algorithm observed in Natural Gas Futures. On the other hand, the BAC event witnessed an influx of approximately 800 trades per second, sustained for a continuous duration of 77 seconds. Notably, the cumulative number of trades executed in BAC during this brief timeframe accounted for around 30% of the total trades conducted throughout the entirety of the trading day. http://www.nanex.net/StrangeDays/12092011.html That is the link to the deep dive. Nanex research has some great articles that might interest you
Thank you very much! I love these examples!
Of course, I’m excited to see the final end product you put together! and i’ll also look through some more of my archives